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Methods for inference in large multiple-equation Markov-switching models

Sims, Christopher A. (contributor); … - 2006

The inference for hidden Markov chain models in which the structure is a multiple-equation macroeconomic model raises a number of difficulties that are not as likely to appear in smaller models. One is likely to want to allow for many states in the Markov chain without allowing the number of...

Persistent link: https://www.econbiz.de/10003730549

Hysteresis and NAIRU in the Euro area

Logeay, Camille; Tober, Silke - 2005 - This version: July 2005

This paper analyses the Nairu in the Euro Area and the influence that hysteresis had on its development. Using the Kalman-filter technique we find that the Nairu has varied considerably since the early seventies. The Kalman-filter technique is applied here using explicit exogenous variables. In...

Persistent link: https://www.econbiz.de/10003744523

Trend dominance in macroeconomic fluctuations

Shibayama, Katsuyuki - 2015

This paper investigates multivariate Beveridge-Nelson decomposition of key macro aggregate data. We find (a) inflation seems to be dominated by its trend component, and, perhaps as a result of this, the short-term interest rate is also trend dominated; and (b) consumption also seems to be...

Persistent link: https://www.econbiz.de/10011342928

The effects of oil prices on inflation and growth : time series analysis In Turkish economy for 1988:01-2013:04 period

Kargi, Bilal - 2014

types that is a major input of aggregate output which becomes a source of economic growth with increasing in costs. The … aggregate output is also a function of energy that is the one of production inputs. Moreover, energy is an imported by several … product costs. The second argument is that the increasing of aggregate output is generally affected by energy use, and is …

Persistent link: https://www.econbiz.de/10010380131

Hidden Markov models in time series, with applications in economics

Kaufmann, Sylvia - 2016

Markov models introduce persistence in the mixture distribution. In time series analysis, the mixture components relate to different persistent states characterizing the state-specific time series process. Model specification is discussed in a general form. Emphasis is put on the functional form...

Persistent link: https://www.econbiz.de/10011538665

The response of stock market volatility to futures-based measures of monetary policy shocks

Gospodinov, Nikolaj; Jamali, Ibrahim - 2014

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...

Persistent link: https://www.econbiz.de/10010395968

Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy

Callot, Laurent; Kristensen, Johannes Tang - 2014

This paper proposes a parsimoniously time varying parameter vector autoregressive model (with exogenous variables, VARX) and studies the properties of the Lasso and adaptive Lasso as estimators of this model. The parameters of the model are assumed to follow parsimonious random walks, where...

Persistent link: https://www.econbiz.de/10010433901

Forecast Densities for Economic Aggregates from Disaggregate Ensembles

Ravazzolo, Francesco - 2010

We propose a methodology for producing forecast densities for economic aggregates based on disaggregate evidence. Our ensemble predictive methodology utilizes a linear mixture of experts framework to combine the forecast densities from potentially many component models. Each component represents...

Persistent link: https://www.econbiz.de/10013138719

A Closed Form Multivariate Linear Filter

Vitek, Francis - 2019

Multivariate LinearFilter to jointly estimate potential output, the natural rate of unemployment and thenatural rate of interest …

Persistent link: https://www.econbiz.de/10012895105

Robust Inference In Time-Varying Structural VAR Models : The DC-Cholesky Multivariate Stochastic Volatility Model

Hartwig, Benny - 2020

This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are imposed when the ratio of volatilities is time-varying....

Persistent link: https://www.econbiz.de/10012826753

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