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Nowcasting GDP with a large factor model space
Eraslan, Sercan; Schröder, Maximilian - 2019
We propose a novel time-varying parameters mixed-frequency dynamic factor model which is integrated into a dynamic model averaging framework for macroeconomic nowcasting. Our suggested model can efficiently deal with the nature of the real-time data flow as well as parameter uncertainty and...
Persistent link: https://www.econbiz.de/10012119825
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Identification of prior information via moment-matching
Sacht, Stephen - 2014
In this paper we apply a sensitivity analysis regarding two types of prior information considered within the Bayesian estimation of a standard hybrid New-Keynesian model. In particular, we shed a light on the impact of micro- and macropriors on the estimation outcome. First, we investigate the...
Persistent link: https://www.econbiz.de/10010234025
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Estimating (Markov-switching) VAR models without Gibbs sampling : a sequential Monte Carlo approach
Bognanni, Mark; Herbst, Edward P. - 2015 - This draft: December 10, 2015
Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...
Persistent link: https://www.econbiz.de/10011499604
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Modelling Okun's law - does non-Gaussianity matter?
Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - 2022
In this paper, we analyse Okun's law - a relation between the change in the unemployment rate and GDP growth - using data from Australia, the euro area, the United Kingdom and the United States. More specifically, we assess the relevance of non-Gaussianity when modelling the relation. This is...
Persistent link: https://www.econbiz.de/10012799537
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Estimating (Markov-Switching) VAR Models Without Gibbs Sampling : A Sequential Monte Carlo Approach
Bognanni, Mark - 2015
Vector autoregressions with Markov-switching parameters (MS-VARs) offer dramatically better data fit than their constant-parameter predecessors. However, computational complications, as well as negative results about the importance of switching in parameters other than shock variances, have...
Persistent link: https://www.econbiz.de/10013031756
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Estimating (Markov-Switching) VAR Models Without Gibbs Sampling : A Sequential Monte Carlo Approach
Bognanni, Mark - 2015
Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...
Persistent link: https://www.econbiz.de/10013210359
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
Persistent link: https://www.econbiz.de/10014490330
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Bayes estimators of the cointegration space
Villani, Mattias - 2003
A neglected aspect of the otherwise fairly well developed Bayesian analysis of cointegration is the point estimation of … the cointegration space. It is pointed out here that, due to the well known non-identification of the cointegration … usual decision theoretic foundation. We present a Bayes estimator of the cointegration space which takes the curved geometry …
Persistent link: https://www.econbiz.de/10011584335
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...
Persistent link: https://www.econbiz.de/10011418016
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How interdependent are Eastern European economies and the Euro area?
Prettner, Catherine; Prettner, Klaus - 2014
Persistent link: https://www.econbiz.de/10010241448