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Identification of vector autoregressive models with nonlinear contemporaneous structure
Cordoni, Francesco; Doremus, Nicolas; Moneta, Alessio - 2024
We propose a statistical identification procedure for structural vector autoregressive (VAR) models that present a nonlinear dependence (at least) at the contemporaneous level. By applying and adapting results from the literature on causal discovery with continuous additive noise models to...
Persistent link: https://www.econbiz.de/10013548855
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Nowcasting in a pandemic using non-parametric mixed frequency VARs
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using …
Persistent link: https://www.econbiz.de/10012405305
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Nowcasting in a pandemic using non-parametric mixed frequency VARs
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using …
Persistent link: https://www.econbiz.de/10012501159
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Is there really a global business cycle? : a dynamic factor model with stochastic factor selection
Berger, Tino; Pozzi, Lorenzo - 2016
, investment) using a panel of 60 countries over the period 1961 - 2014. The paper presents a Bayesian stochastic factor selection …
Persistent link: https://www.econbiz.de/10011556201
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Large vector auto regressions
Song, Song; Bickel, Peter J. - 2011
One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine...
Persistent link: https://www.econbiz.de/10009266948
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Macroeconomic and financial effects of oil price shocks : evidence for the Euro area
Morana, Claudio - 2016
The paper investigates the macroeconomic and financial effects of oil prices shocks in the euro area since its creation in 1999, with a special focus on the recent slump. The analysis is carried out episode by episode, within a time-varying parameter framework, consistent with the view that "not...
Persistent link: https://www.econbiz.de/10011451685
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Modeling dynamics of metal price series via state space approach with two common factors
Golosnoy, Vasyl; Rossen, Anja - 2014
In this paper we model the dynamics of 100 years long monthly price series of eight non-ferrous and precious metals. Applying the state space framework we impose and identify two common factors related to non-ferrous and precious metals, respectively, which exhibit quite distinct autoregressive...
Persistent link: https://www.econbiz.de/10010433963
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Bayesian forecast combination for VAR models
Andersson, Michael K. (contributor);  … - 2007
variables to include in the model in addition to the forecast variables. The key difference from traditional Bayesian variable … problem to tackle with a traditional Bayesian approach. Our solution is to focus on the forecasting performance for the … evaluated in a small simulation study and found to perform competitively in applications to real world data. -- Bayesian model …
Persistent link: https://www.econbiz.de/10003581516
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Bayesian averaging over many dynamic model structures with evidence on the Great Ratios and liquidity trap risk
Strachan, Rodney W.; Dijk, Herman K. van - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within …
Persistent link: https://www.econbiz.de/10011377110
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Testing for near I(2) trends when the signal-to-noise ratio is small
Jusélius, Katarina - 2014
Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test they frequently find double unit roots in the data. The...
Persistent link: https://www.econbiz.de/10010355373