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On Time-Varying VAR Models : Estimation, Testing and Impulse Response Analysis
Yan, Yayi; Gao, Jiti; Peng, Bin - 2021
Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new class of time-varying VAR models in which the coefficients...
Persistent link: https://www.econbiz.de/10013313987
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Markov-Chain Approximation and Estimation of Nonlinear, Non-Gaussian State Space Models
Farmer, Leland - 2014
estimation of nonlinear dynamic economic models, many of which are computationally intractable using exisiting methods. I …
Persistent link: https://www.econbiz.de/10013048908
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Likelihood Based Inference for an Identifiable Fractional Vector Error Correction Model
Carlini, Federico - 2018
and the cointegration rank exactly in the same way as in the standard I(1) cointegration framework of Johansen (1995) and … estimation of the FECM model of Avarucci (2007) turns out to be more complicated. Therefore, we propose a 4-step estimation … procedure of Mosconi and Paruolo (2014). We check the performance of the proposed estimation procedure in finite samples by …
Persistent link: https://www.econbiz.de/10012907879
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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
employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …
Persistent link: https://www.econbiz.de/10010356541
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Assessing seasonal asymmetric price transmission in Ghanaian tomato markets with the Johansen estimation method
Ihle, Rico; Amikuzuno, Joseph - 2010
, Tamale and Accra, in a multivariate asymmetric price transmission framework. The estimation of the model is based on a unique … dataset and on a modified version of the Johansen estimation procedure which is suitable for estimating such multivariate …
Persistent link: https://www.econbiz.de/10010342911
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Testing for common cyclical features in var models with cointegration
Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001
We consider VAR models for variables exhibiting cointegration and common 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 …
Persistent link: https://www.econbiz.de/10011398127
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Estimating (Markov-switching) VAR models without Gibbs sampling : a sequential Monte Carlo approach
Bognanni, Mark; Herbst, Edward P. - 2015 - This draft: December 10, 2015
Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...
Persistent link: https://www.econbiz.de/10011499604
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A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains
Gospodinov, Nikolaj; Lkhagvasuren, Damba - 2013
This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional moments of the underlying continuous process. The proposed method is more robust to the number of discrete values and...
Persistent link: https://www.econbiz.de/10010126857
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Estimating (Markov-Switching) VAR Models Without Gibbs Sampling : A Sequential Monte Carlo Approach
Bognanni, Mark - 2015
Vector autoregressions with Markov-switching parameters (MS-VARs) offer dramatically better data fit than their constant-parameter predecessors. However, computational complications, as well as negative results about the importance of switching in parameters other than shock variances, have...
Persistent link: https://www.econbiz.de/10013031756
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Estimating (Markov-Switching) VAR Models Without Gibbs Sampling : A Sequential Monte Carlo Approach
Bognanni, Mark - 2015
Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...
Persistent link: https://www.econbiz.de/10013210359