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Fitting a distribution to survey data for the half-life of deviations from PPP
Fisher, Mark - 2015
This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as...
Persistent link: https://www.econbiz.de/10011403123
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Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models
Deschamps, Philippe J. - 2012
Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented. The first model, GHt-GARCH, is a threshold GARCH with a skewed and heavy-tailed error distribution; in this model, the latent variables that account for skewness and heavy tails are...
Persistent link: https://www.econbiz.de/10013105412
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Efficient Estimation of Bayesian VARMAs with Time-Varying Coefficients
Chan, Joshua C. C. - 2015
estimation of VARMAs is perceived to be challenging and proposed various ways to simplify it. Nevertheless, VARMAs continue to be …
Persistent link: https://www.econbiz.de/10013021301
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Online estimation of DSGE models
Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2019
generalized tempering for "online" estimation, and provide examples of multimodal posteriors that are well captured by SMC methods …. We then use the online estimation of the DSGE model to compute pseudo-out-of-sample density forecasts of DSGE models with …
Persistent link: https://www.econbiz.de/10012038824
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K-state switching models with time-varying transition distributions : does credit growth signal stronger effects of variables on inflation?
Kaufmann, Sylvia - 2014
Two Bayesian sampling schemes are outlined to estimate a K-state Markov switching model with time-varying transition …. Identification issues are addressed with random permutation sampling. In terms of efficiency, the extension to the difference in … random utility specification in combination with random permutation sampling performs best. We apply the method to estimate a …
Persistent link: https://www.econbiz.de/10010493611
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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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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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Estimating Low Sampling Frequency Risk Measure by High-Frequency Data
Wesselhöfft, Niels - 2020
.99%. Accordingly, this paper presents a semi-parametric estimation method, re-scaling data from high- to low-frequency which allows to … obtain significantly more data points for the estimation of the respective risk measures. The presented methodology in the α …
Persistent link: https://www.econbiz.de/10012827639
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Real-time inflation forecasting in a changing world
Groen, Jan J. J.; Paap, Richard; Ravazzolo, Francesco - 2009
This paper revisits inflation forecasting using reduced-form Phillips curve forecasts, that is, inflation forecasts that use activity and expectations variables. We propose a Phillips-curve-type model that results from averaging across different regression specifications selected from a set of...
Persistent link: https://www.econbiz.de/10003947544