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DSGE-based priors for BVARs & quasi-Bayesian DSGE estimation
Filippeli, Thomai; Harrison, Richard; Theodoridis, … - 2018
vector can be recovered from the BVAR posterior estimates: a new 'quasi-Bayesian' DSGE estimation. An empirical application … 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 control the tightness of the DSGE-implied priors on the autoregressive …
Persistent link: https://www.econbiz.de/10011886093
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Adaptive importance sampling for DSGE models
Grassi, Stefano; Lorusso, Marco; Ravazzolo, Francesco - 2021
Persistent link: https://www.econbiz.de/10013179338
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Bayesian mixed frequency VARs
Eraker, Bjørn; Chiu, Ching Wai Jeremy; Foerster, Andrew; … - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 698-721
Persistent link: https://www.econbiz.de/10011339252
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The small sample properties of Indirect Inference in testing and estimating DSGE models
Meenagh, David; Minford, Patrick; Wickens, Michael R.; … - 2018
Indirect inference testing can be carried out with a variety of auxiliary models. Asymptotically these different models make no difference. However, the small sample properties can differ. We explore small sample power and estimation bias both with different variable combinations and descriptive...
Persistent link: https://www.econbiz.de/10011886113
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Importance sampling from posterior distributions using copula-like approximations
Dellaportas, Petros; Tsionas, Efthymios G. - In: Journal of econometrics 210 (2019) 1, pp. 45-57
Persistent link: https://www.econbiz.de/10012303370
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Estimating VAR's sampled at mixed or irregular spaced frequencies : a Bayesian approach
Chiu, Ching Wai Jeremy; Eraker, Bjørn; Foerster, Andrew; … - 2011
Persistent link: https://www.econbiz.de/10009413004
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Identification and inference with ranking restrictions
Amir Ahmadi, Pooyan; Drautzburg, Thorsten - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 1-39
We propose to add ranking restrictions on impulse-responses to sign restrictions to narrow the identified set in vector autoregressions (VARs). Ranking restrictions come from micro data on heterogeneous industries in VARs, bounds on elasticities, or restrictions on dynamics. Using both a fully...
Persistent link: https://www.econbiz.de/10012432770
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General Bayesian time-varying parameter VARs for modeling government bond yields
Fischer, Manfred M.; Hauzenberger, Niko; Huber, Florian; … - 2022
Persistent link: https://www.econbiz.de/10012498662
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General Bayesian time-varying parameter vector autoregressions for modeling government bond yields
Fischer, Manfred M.; Hauzenberger, Niko; Huber, Florian; … - In: Journal of applied econometrics 38 (2023) 1, pp. 69-87
Persistent link: https://www.econbiz.de/10014287924
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Updating Variational Bayes : fast sequential posterior inference
Tomasetti, Nathaniel; Forbes, Catherine Scipione; … - 2019
Persistent link: https://www.econbiz.de/10012592824