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Penalized sieve estimation and inference of semi-nonparametric dynamic models : a selective review
Chen, Xiaohong - 2011
two-step estimators and their consistent variance estimators. Examples from dynamic asset pricing, nonlinear spatial VAR …, semiparametric GARCH, and copula-based multivariate financial models are used to illustrate the general results. -- Nonlinear time … ; Semiparametric two-step ; Nonlinear ill-posed inverse ; Mixtures ; Conditional moment restrictions ; Nonparametric endogeneity …
Persistent link: https://www.econbiz.de/10009230387
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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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Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model
Gürtler, Marc; Rauh, Ronald - 2009 - This Version: 2009-09-09
A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a...
Persistent link: https://www.econbiz.de/10009487233
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From a rise in B to a fall in C? : SVAR analysis of environmental impact of biofuels
Ciaian, Pavel; Kancs, D'Artis; Pirolix, Giuseppe; … - 2015
This is the first paper that econometrically estimates the impact of rising Bioenergy production on global CO2 emissions. We apply a structural vector autoregression (SVAR) approach to time series from 1961 to 2009 with annual observation for the world biofuel production and global CO2...
Persistent link: https://www.econbiz.de/10011285425
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Estimating time-varying DSGE models using minimum distance methods
Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015
Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...
Persistent link: https://www.econbiz.de/10011405253
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Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models : A Selective Review
Chen, Xiaohong - 2011
two-step estimators and their consistent variance estimators. Examples from dynamic asset pricing, nonlinear spatial VAR …
Persistent link: https://www.econbiz.de/10013124712
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Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-Stationary Return Series Model
Gürtler, Marc - 2009
In this paper we first investigate the validity of a general Value at Risk approach, which is widely used for risk management in banking and insurance companies. We discuss and widely reject the conventional assumptions, e.g. independent identically distributed normal returns, and as consequence...
Persistent link: https://www.econbiz.de/10013159079
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Time Varying Cointegration and the UK Great Ratios
Kapetanios, George - 2018
We re-examine the great ratios associated with balanced growth models and ask whether they have remained constant over time. We first use a benchmark DSGE model to explore how plausible smooth variations in structural parameters lead to movements in great ratios that are comparable to those seen...
Persistent link: https://www.econbiz.de/10012909076
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A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters
Bormetti, Giacomo; Corsi, Fulvio - 2021
We propose an observation-driven time-varying SVAR model where, in agreement with the Lucas Critique, structural shocks drive both the evolution of the macro variables and the dynamics of the VAR parameters. Contrary to existing approaches where parameters follow a stochastic process with random...
Persistent link: https://www.econbiz.de/10013219496
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On Time-Varying VAR Models : Estimation, Testing and Impulse Response Analysis
Yan, Yayi; Gao, Jiti; Peng, Bin - 2021
Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new class of time-varying VAR models in which the coefficients...
Persistent link: https://www.econbiz.de/10013313987