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Filippeli, Thomai; Theodoridis, Konstantinos - 2014

comparable - if not better - to the one obtained using theory free "Minnesota" priors (Doan et al., 1984). Additionally, the … marginal-likelihood of the time-series model with theory founded priors - derived from the output of the Gibbs sampler - can be …

Persistent link: https://www.econbiz.de/10010339762

Streamlining time-varying VAR with a factor structure in the parameters

Beyeler, Simon - 2019

I introduce a factor structure on the parameters of a Bayesian TVP-VAR to reduce the dimension of the model's state space. To further limit the scope of over-fitting the estimation of the factor loadings uses a new generation of shrinkage priors. A Monte Carlo study illustrates the ability of...

Persistent link: https://www.econbiz.de/10011990248

Forecasting inflation in Argentina

Garegnani, María Lorena; Gómez Aguirre, Mauricio - 2018

During the year 2016, the Central Bank of Argentina has begun to announce inflation targets. In this context, providing the authorities of good estimates of relevant macroeconomic variables turns out to be crucial to make the pertinent corrections to reach the desired policy goals. This paper...

Persistent link: https://www.econbiz.de/10011846246

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

DSGE-based priors for BVARs & quasi-Bayesian DSGE estimation

Filippeli, Thomai; Harrison, Richard; Theodoridis, … - 2018

We present a new method for estimating Bayesian vector autoregression (VAR) models using priors from a dynamic 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...

Persistent link: https://www.econbiz.de/10011886093

Priors for the long run

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2017

). These priors can be naturally elicited using economic theory, which provides guidance on the joint dynamics of macroeconomic …

Persistent link: https://www.econbiz.de/10011754400

Priors for the long run

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2018

priors can be naturally elicited using economic theory, which provides guidance on the joint dynamics of macroeconomic time …

Persistent link: https://www.econbiz.de/10011802148

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

A parsimonious approach to stochastic mortality modelling with dependent residuals

Mavros, George; Cairns, Andrew; Kleinow, Torsten; … - 2014

Persistent link: https://www.econbiz.de/10010362818

A Unified Approach to Mortality Modelling Using State-Space Framework : Characterisation, Identification, Estimation and Forecasting

Fung, Simon Man Chung - 2016

mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a … general state-space modelling methodology, which allows modelling, estimation and forecasting of mortality under a unified … inference. We then develop a novel class of Bayesian state-space models which incorporate apriori beliefs about the mortality …

Persistent link: https://www.econbiz.de/10012990764

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