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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 the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10011377110
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Combined density nowcasting in an uncertain economic environment
Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10010465155
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Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality
Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse … variances, allows for unbiased convergence diagnostics and for a simple implementation of the estimation on parallel computers …. Finally, we provide all algorithms in the open source software JBendge for the solution and estimation of a general class of …
Persistent link: https://www.econbiz.de/10003636133
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Forecasting inflation in Argentina
Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018
In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...
Persistent link: https://www.econbiz.de/10011882797
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Bayesian analysis of bubbles in asset prices
Fulop, Andras; Yu, Jun - In: Econometrics : open access journal 5 (2017) 4, pp. 1-23
We develop a new model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a...
Persistent link: https://www.econbiz.de/10011781855
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Measuring uncertainty and its effects in a small open economy
Cabello, Miguel; Nivin, Rafael - 2022
In the aftermath of the 2008 Global Financial Crisis (GFC), scholars and policymakers turned their attention to the role of uncertainty in amplifying the effects of economic or financial shocks on economic activity. A growing literature has focused on addressing this question. Most works find...
Persistent link: https://www.econbiz.de/10013540621
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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W. - 2009
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10012720260
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …
Persistent link: https://www.econbiz.de/10011389735
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Bayesian Analysis of Moving Average Stochastic Volatility Models : Modelling in Mean Effects and Leverage for Financial Time Series
Dimitrakopoulos, Stefanos - 2017
leverage. For parameter estimation, we develop efficient Markov chain Monte Carlo algorithms and illustrate our methods, using …
Persistent link: https://www.econbiz.de/10012956581
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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
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10010325721