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In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … models (TVP-VARs). To overcome computational constraints with likelihood-based estimation of large systems, we rely on Kalman … filter estimation with forgetting factors. We also draw on ideas from the dynamic model averaging literature and extend the …
Persistent link: https://www.econbiz.de/10013108928
This paper reconciles two widely used trend-cycle decompositions of GDP that give markedly different estimates: the correlated unobserved components model yields output gaps that are small in amplitude, whereas the Hodrick-Prescott (HP) filter generates large and persistent cycles. By embedding...
Persistent link: https://www.econbiz.de/10012986610
We propose a decomposition to distinguish between Knightian uncertainty (ambiguity) and risk, where the first measures the uncertainty about the probability distribution generating the data, while the second measures uncertainty about the odds of the outcomes when the probability distribution is...
Persistent link: https://www.econbiz.de/10012992154
We investigate the presence of international business cycles in macroeconomic aggregates (output, consumption, investment) using a panel of 60 countries over the period 1961-2014. The paper presents a Bayesian stochastic factor selection approach for dynamic factor models with predetermined...
Persistent link: https://www.econbiz.de/10012980650
This paper proposes a multi-level dynamic factor model to identify common components in output gap estimates. We pool multiple output gap estimates for 157 countries and decompose them into one global, eight regional, and 157 country-specific cycles. Our approach easily deals with mixed...
Persistent link: https://www.econbiz.de/10012663182
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We consider VAR models for variables exhibiting cointegration and comon cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...
Persistent link: https://www.econbiz.de/10001590471
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