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Bayesian analysis of econometric time series models using hybrid integration rules
Moreira, Ajax; Gamerman, Dani - 2015
This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In … are analytically integrated and hyperparameters are integrated by Markov chain Monte Carlo methods. Credibility regions …
Persistent link: https://www.econbiz.de/10012018632
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Bayesian analysis of econometric time series models using hybrid integration rules
Moreira, Ajax; Gamerman, Dani - 2001
This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In … are analytically integrated and hyperparameters are integrated by Markov chain Monte Carlo methods. Credibility regions …
Persistent link: https://www.econbiz.de/10011762920
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Large Bayesian VARMAs
Chan, Joshua; Eisenstat, Eric; Koop, Gary - In: Journal of econometrics 192 (2016) 2, pp. 374-390
Persistent link: https://www.econbiz.de/10011704723
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Evaluating forecasts of political conflict dynamics
Brandt, Patrick T.; Freeman, John R.; Schrodt, Philip A. - In: International journal of forecasting 30 (2014) 4, pp. 944-962
Persistent link: https://www.econbiz.de/10010517775
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Idiosyncratic labour income risk and aggregate consumption : an unobserved component approach
Pozzi, Lorenzo - 2007
We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is decomposed into an aggregate and into an...
Persistent link: https://www.econbiz.de/10011372981
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Regime-switching cointegration
Jochmann, Markus; Koop, Gary - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 35-48
Persistent link: https://www.econbiz.de/10011311202
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Taming volatile high frequency data with long lag structure : an optimal filtering approach for forecasting
Drechsel, Dirk; Neuwirth, Stefan - 2016 - Preliminary version
We propose a Bayesian optimal filtering setup for improving out-of-sample forecasting performance when using volatile …
Persistent link: https://www.econbiz.de/10011490594
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Forecasting the price of gold using dynamic model averaging
Aye, Goodness C.; Gupta, Rangan; Hammoudeh, Shawkat; … - In: International review of financial analysis 41 (2015), pp. 257-266
Persistent link: https://www.econbiz.de/10011508954
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Measuring the natural rates, gaps, and deviation cycles
Murasawa, Yasutomo - In: Empirical economics : a journal of the Institute for … 47 (2014) 2, pp. 495-522
Persistent link: https://www.econbiz.de/10010391160
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Testing for international business cycles : A multilevel factor model with stochastic factor selection
Berger, Tino; Everaert, Gerdie; Pozzi, Lorenzo - In: Journal of economic dynamics & control 128 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012628242