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Inference in vector autoregressive models with an informative prior on the steady state

Villani, Mattias - 2005

Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...

Persistent link: https://www.econbiz.de/10011585058

Bayes estimators of the cointegration space

Villani, Mattias - 2003

A neglected aspect of the otherwise fairly well developed Bayesian analysis of cointegration is the point estimation of … the cointegration space. It is pointed out here that, due to the well known non-identification of the cointegration … usual decision theoretic foundation. We present a Bayes estimator of the cointegration space which takes the curved geometry …

Persistent link: https://www.econbiz.de/10011584335

The divergence of the high and low frequency estimation : causes and consequences

Kinlaw, William; Kritzman, Mark; Turkington, David - 2014 - This version: May 2, 2014

Financial analysts typically estimate volatilities and correlations from monthly or higher frequency returns when determining the optimal composition of a portfolio. Although it is widely acknowledged that these measures are not necessarily stationary across samples, most analysts assume...

Persistent link: https://www.econbiz.de/10010353307

The divergence of high- and low-frequency estimation : implications for performance measurement

Kinlaw, William; Kritzman, Mark; Turkington, David - 2014 - This version: July 24, 2014

The Sharpe ratio is the most widely used metric for comparing performance across investment managers and strategies, and the information ratio is as commonly used to evaluate performance relative to a benchmark. Although it is widely recognized that non-linearities arising from the inclusion of...

Persistent link: https://www.econbiz.de/10010387204

State-Observation Sampling and the Econometrics of Learning Models

Calvet, Laurent E. - 2013

In nonlinear state-space models, sequential learning about the hidden state can proceed by particle filtering when the density of the observation conditional on the state is available analytically (e.g. Gordon et al. 1993). This condition need not hold in complex environments, such as the...

Persistent link: https://www.econbiz.de/10013093423

Online Estimation of DSGE Models

Cai, Michael - 2019

This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, explore the benefits of an SMC variant we call generalized tempering for “online” estimation, and...

Persistent link: https://www.econbiz.de/10012865218

Online Estimation of DSGE Models

Cai, Michael - 2019

Persistent link: https://www.econbiz.de/10012865980

Efficient Estimation of Bayesian VARMAs with Time-Varying Coefficients

Chan, Joshua C. C. - 2015

Empirical work in macroeconometrics has been mostly restricted to using VARs, even though there are strong theoretical reasons to consider general VARMAs. A number of articles in the last two decades have conjectured that this is because estimation of VARMAs is perceived to be challenging and...

Persistent link: https://www.econbiz.de/10013021301

Online estimation of DSGE models

Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2019

Persistent link: https://www.econbiz.de/10012038824

Forecasting inflation in Argentina

Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018

In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...

Persistent link: https://www.econbiz.de/10011882797

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