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Monitoring the pandemic: A fractional filter for the COVID-19 contact rate
Hartl, Tobias - 2021
This paper aims to provide reliable estimates for the COVID-19 contact rate of a Susceptible-Infected-Recovered (SIR) model, From observable data on confirmed, recovered, and deceased cases, a noisy measurement for the contact rate can be constructed, To filter out measurement errors and...
Persistent link: https://www.econbiz.de/10012623126
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How to prioritise policies for poverty reduction: Applying Bayesian Model Averaging to Vietnam
Klump, Rainer; Prüfer, Patricia - 2005
The UN Millennium Development Goals have recognized poverty reduction as the main goal of global development policy. A comprehensive framework to evaluate the effectiveness of single policy measures and policy packages with respect to poverty reduction is still lacking, though. Policy evaluation...
Persistent link: https://www.econbiz.de/10010295979
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Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?
Berg, Tim Oliver; Henzel, Steffen - 2013
Forecast models with large cross-sections are often subject to overparameterization leading to unstable parameter estimates and hence inaccurate forecasts. Recent articles suggest that a large Bayesian vector autoregression (BVAR) with sufficient prior information dominates competing approaches....
Persistent link: https://www.econbiz.de/10010329317
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Finding good predictors for inflation by shotgun stochastic search
Scharnagl, Michael; Schumacher, Christian - 2010
hundred indicators and their lags. S³ absorbs posterior mass much quicker than MC³ and makes Bayesian estimation of the …
Persistent link: https://www.econbiz.de/10010273611
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Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information
Hautsch, Nikolaus; Voigt, Stefan - 2017
We propose a Bayesian sequential learning framework for high-dimensional asset al-locations under model ambiguity and parameter uncertainty. The model is estimated via MCMC methods and allows for a wide range of data sources as inputs. Employing the proposed framework on a large set of...
Persistent link: https://www.econbiz.de/10011712735
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Restrictions Search for Panel VARs
Schnücker, Annika - 2016
suited for global spillover analyses. However, PVARs require restrictions to ensure the feasibility of the estimation. The … selection for PVAR models (SSVSP) as an alternative estimation procedure for PVARs. This extends Koop's and Korobilis …
Persistent link: https://www.econbiz.de/10011527693
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Seasonal adjustment and reliability of euro area GDP – Increased uncertainty in times of unusual developments?
Mehrhoff, Jens; Eiglsperger, Martin; Haine, Wim - 2011
Seasonally adjusted gross domestic product (GDP) data are inevitably surrounded by uncertainty. Disregarding methodological improvements, two main sources of revisions can be distinguished: First, revisions that reflect the incorporation of more comprehensive or more representative, but...
Persistent link: https://www.econbiz.de/10010305956
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Testing heteroskedastic time series for normality
Demetrescu, Matei; Kruse, Robinson - 2015
Heteroskedasticity and Autocorrelation Robust [HAR] approach of Kiefer and Vogelsang (2005, ET). The effect of estimation uncertainty … well in terms of size (which is mainly due to the adopted fixed-b framework for long-run covariance estimation), but also …
Persistent link: https://www.econbiz.de/10011301817
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Monitoring Stationarity and Cointegration
Wagner, Martin; Wied, Dominik - 2014
least squares estimation, using either Fully Modified, Dynamic or Integrated Modified OLS. The procedure is inspired by Chu … et al. (1996) in that it is based on parameter estimation only on a pre-break ``calibration'' period rather than being … based on sequential estimation over the full sample. We investigate the asymptotic behavior of the procedures under the null …
Persistent link: https://www.econbiz.de/10010396695
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Analysis of Asymmetry in Slovak Gasoline and Diesel Retail Market
Szomolányi, Karol; Lukáčik, Martin; Lukáčiková, … - 2019
In this paper we examine if Slovak retail gasoline and diesel prices respond more quickly when crude oil price rises rather than when it decreases. The error correction model with irreversible behaviour of explanatory variables is considered to be basic tool for the analysis of asymmetric retail...
Persistent link: https://www.econbiz.de/10012141506