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Bayesian estimation of sparse dynamic factor models with order-independent identification
Kaufmann, Sylvia; Schumacher, Christian - 2013
The analysis of large panel data sets (with N variables) involves methods of dimension reduction and optimal information extraction. Dimension reduction is usually achieved by extracting the common variation in the data into few factors (k, where k N). In the present project, factors are...
Persistent link: https://www.econbiz.de/10010221685
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Empirical Bayes methods for dynamic factor models
Koopman, Siem Jan; Mesters, Geert - 2014
latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the …
Persistent link: https://www.econbiz.de/10010357912
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Precision-based sampling with missing observations : a factor model application
Hauber, Philipp; Schumacher, Christian - 2021
easily integrated into Bayesian estimation procedures like the Gibbs sampler. By allowing for incomplete data sets, the …
Persistent link: https://www.econbiz.de/10012510141
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Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2010
We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a...
Persistent link: https://www.econbiz.de/10011378359
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Finding relevant variables in sparse Bayesian factor models : economic applications and simulation results
Kaufmann, Sylvia; Schumacher, Christian - 2012
This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly … estimation with sparse priors on the loadings matrix. The choice of a sparse prior is an extension to the existing macroeconomic … majority of the variables in both datasets are irrelevant for factor estimation. -- Factor models ; variable selection ; sparse …
Persistent link: https://www.econbiz.de/10009674269
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State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade
Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011
The Israeli-Palestinian conflict constitutes a prominent example of a long-lasting political conflict which has major consequences for the livelihoods of the people on both sides. The agricultural sectors of the Palestinian and Israeli economies are tightly connected. However, various security...
Persistent link: https://www.econbiz.de/10010356541
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Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy
Callot, Laurent; Kristensen, Johannes Tang - 2014
finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with …
Persistent link: https://www.econbiz.de/10010433901
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Bayesian estimation and model selection in the generalised stochastic unit root model
Yang, Fuyu; Leon-Gonzalez, Roberto - 2010
We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …
Persistent link: https://www.econbiz.de/10003952817
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The spectral envelope : an application to the decoupling problem in economics
Nachane, Dilip M.; Dubey, Amlendu Kumar - In: Journal of quantitative economics 19 (2021), pp. 287-308
Persistent link: https://www.econbiz.de/10013441726
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A flexible state-space model with lagged states and lagged dependent variables : simulation smoothing
Hauber, Philipp; Schumacher, Christian; Zhang, Jiachun - 2019
We provide a simulation smoother to a exible state-space model with lagged states and lagged dependent variables. Qian (2014) has introduced this state-space model and proposes a fast Kalman filter with time-varying state dimension in the presence of missing observations in the data. In this...
Persistent link: https://www.econbiz.de/10012000564