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In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 875-887

Persistent link: https://www.econbiz.de/10011621857

The empirical analysis of exchange rate regimes and nonlinear econometrics

Winschel, Viktor - 2005

Persistent link: https://www.econbiz.de/10003300833

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

Threshold cointegration in international exchange rates : a Bayesian approach

Huber, Florian; Zörner, Thomas - In: International journal of forecasting 35 (2019) 2, pp. 458-473

Persistent link: https://www.econbiz.de/10012300684

DSGE-based priors for BVARs & quasi-Bayesian DSGE estimation

Filippeli, Thomai; Harrison, Richard; Theodoridis, … - 2018

We present a new method for estimating Bayesian vector autoregression (VAR) models using priors from a dynamic stochastic general equilibrium (DSGE) model. We use the DSGE model priors to determine the moments of an independent Normal-Wishart prior for the VAR parameters. Two hyper-parameters...

Persistent link: https://www.econbiz.de/10011886093