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Bayesian demographic modeling and forecasting : an application to U.S. mortality
Sarferaz, Samad (contributor) - 2008
We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U … jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a similar … forecasts for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10003770767
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Modeling and forecasting age-specific mortality : a Bayesian approach
Sarferaz, Samad (contributor) - 2008
We present a new way to model age-specific demographic variables, using the example of age-specific mortality in the … their dynamics jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a … for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10003770768
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Forecasting with instabilities : an application to DSGE models with financial frictions
Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - 2015
This paper examines whether the presence of parameter instabilities in dynamic stochastic general equilibrium (DSGE) models affects their forecasting performance. We apply this analysis to medium-scale DSGE models with and without financial frictions for the US economy. Over the forecast period...
Persistent link: https://www.econbiz.de/10011349997
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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 and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011389735
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Forecasting performance of an open economy Dynamic Stochastic General Equilibrium model
Adolfson, Malin; Lindé, Jesper; Villani, Mattias - 2006 - Revised
This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the Euro area during 1994Q1-2002Q4. We compare the DSGE model and a few variants of this model to various reduced form forecasting models such as vector autoregressions (VAR) and...
Persistent link: https://www.econbiz.de/10011584035
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A Bayesian infinite hidden Markov vector autoregressive model
Nibbering, Didier; Paap, Richard; Wel, Michel van der - 2016
We propose a Bayesian infinite hidden Markov model to estimate time- varying parameters in a vector autoregressive model. The Markov structure allows for heterogeneity over time while accounting for state-persistence. By modelling the transition distribution as a Dirichlet process mixture model,...
Persistent link: https://www.econbiz.de/10011569148
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Money growth and inflation : evidence from a Markov Switching Bayesian VAR
Amisano, Gianni; Colavecchio, Roberta - 2013
We contribute to the empirical debate on the role of money in monetary policy by analysing the features of the relationship between money growth and inflation in a Bayesian Markov Switching framework for a set of four countries, the US, the UK, the Euro area and Japan, over an estimation period...
Persistent link: https://www.econbiz.de/10010425829
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Forecast accuracy of a BVAR under alternative specifications of the zero lower bound
Berg, Tim Oliver - 2015
This paper discusses how the forecast accuracy of a Bayesian vector autoregression (BVAR) is affected by introducing the zero lower bound on the federal funds rate. As a benchmark I adopt a common BVAR specification, including 18 variables, estimated shrinkage, and no nonlinearity. Then I...
Persistent link: https://www.econbiz.de/10011306293
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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
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Real-time forecasting using mixed-frequency VARs with time-varying parameters
Heinrich, Markus; Reif, Magnus - 2020
This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...
Persistent link: https://www.econbiz.de/10012154665