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of the different models, respectively. We find that overall the large Bayesian VAR and the Bayesian factor augmented VAR …
Persistent link: https://www.econbiz.de/10010357899
(VAR) forecasting models. The analyses show that certain factor-augmented VAR models improve upon a simple univariate …
Persistent link: https://www.econbiz.de/10011890976
Viewed over the whole available history of fiat money in Sweden, high levels of inflation have been present only over a short time span. It is only in the last two decades - the seventies and the eighties - that inflation has been high, at an average of eight percent on an annual basis. Based on...
Persistent link: https://www.econbiz.de/10011584828
exchange rate pass-through to domestic prices in the European transition economies. We estimate VAR model to investigate (1 …
Persistent link: https://www.econbiz.de/10011553101
This study analyzes the impact of supply and demand shocks on income and price inequality in the economy using data from Korea. First, supply and demand shocks are identified from output and price data in Korea using the methods found in Blanchard and Quah (1989) and Bashar (2011). In addition,...
Persistent link: https://www.econbiz.de/10013198179
We present a study on combining the forecasts from a time-series model and an econometric model in the context of the inflation rates of Turkey and propose a new weighting scheme, the time-varying simple weighting method. Our guiding principle for the deduction of this method is based on...
Persistent link: https://www.econbiz.de/10013124997
In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012842441
In this paper we present various techniques to estimate Sri Lanka's potential output and output gap, including statistical and model-based approaches. Compared to conventional statistical filters that rely exclusively on information in a single series, the model-based approaches allow potential...
Persistent link: https://www.econbiz.de/10013055678
We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...
Persistent link: https://www.econbiz.de/10012924242
We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...
Persistent link: https://www.econbiz.de/10011809984