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Bayesian demographic modeling and forecasting: An application to U.S. mortality
Reichmuth, Wolfgang H.; Sarferaz, Samad - 2008
development of adjacent age groups is assured allowing for consistent forecasts. We develop an appropriate Markov Chain Monte … Carlo algorithm to estimate the parameters and the latent variables in an efficient one-step procedure. Via the Bayesian …
Persistent link: https://www.econbiz.de/10010276366
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The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US
Kaufmann, Sylvia; Valderrama, Maria Teresa - 2007
estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate …
Persistent link: https://www.econbiz.de/10011604862
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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; van Dijk, Herman K. - 2008
using Markov chain Monte Carlo techniques. …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/10010325721
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The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
macroeconomic time series. The coincident economic indicator is based on a multivariate trend-cycle decomposition model that … account for all the heteroskedasticity present in the data. The empirical results are based on a Bayesian analysis and show …
Persistent link: https://www.econbiz.de/10010325871
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Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series
Basturk, Nalan; Cakmakli, Cem; Ceyhan, Pinar; van Dijk, … - 2013
posterior inference of a basic PC model are analyzed using a Bayesian simulation based approach. Next, structural time series … favorably with existing Bayesian Vector Autoregressive and Stochastic Volatility models in terms of fit and predictive …
Persistent link: https://www.econbiz.de/10010326136
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Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
Strachan, Rodney; van Dijk, Herman K. - 2012
valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on …
Persistent link: https://www.econbiz.de/10010326330
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Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with Non-filtered Data
Basturk, Nalan; Cakmakli, Cem; Ceyhan, Pinar; van Dijk, … - 2013
simulation based Bayesian techniques for the empirical analysis. No credible evidence is found on endogeneity and long run … observed long run inflation from the survey data. The extended PC structures compare favorably with existing basic Bayesian …
Persistent link: https://www.econbiz.de/10010326539
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Measuring and Predicting Heterogeneous Recessions
Cakmakli, Cem; Paap, Richard; van Dijk, Dick - 2011
This paper conducts an empirical analysis of the heterogeneity of recessions inmonthly U.S. coincident and leading indicator variables. Univariate Markovswitchingmodels indicate that it is appropriate to allow for two distinct recessionregimes, corresponding with ‘mild’ and ‘severe’...
Persistent link: https://www.econbiz.de/10010326552
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The macroeconomic effects of fiscal policy
Afonso, António; Sousa, Ricardo M. - 2009
We investigate the macroeconomic effects of fiscal policy using a Bayesian Structural Vector Autoregression approach …
Persistent link: https://www.econbiz.de/10011605037
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Putting the New Keynesian DSGE model to the real-time forecasting test
Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009
-time forecasts from a richly-specified DSGE model to those from the Survey of Professional Forecasters, Bayesian VARs and VARs using …
Persistent link: https://www.econbiz.de/10011605156