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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
processors employed. The performance of the algorithms is illustrated using a well-known macroeconomic model. Bayesian estimation …
Persistent link: https://www.econbiz.de/10003779724
The full Bayesian treatment of error component models typically relies on data augmentation to produce the required inference. Never stricly necessary a direct approach is always possible though not necessarily practical. The mechanics of direct sampling are outlined and a template for including...
Persistent link: https://www.econbiz.de/10002595455
In a Bayesian analysis, different models can be compared on the basis of theexpected or marginal likelihood they attain. Many methods have been devised to compute themarginal likelihood, but simplicity is not the strongest point of most methods. At the sametime, the precision of methods is often...
Persistent link: https://www.econbiz.de/10011327538
We develop a new method to sample from posterior distributions in hierarchical models without using Markov chain Monte Carlo. This method, which is a variant of importance sampling ideas, is generally applicable to high-dimensional models involving large data sets. Samples are independent, so...
Persistent link: https://www.econbiz.de/10010195102
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011383033
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10013130370
Recently, a large body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up on standard Bayesian methods applied to hedge fund evaluation. Little...
Persistent link: https://www.econbiz.de/10013124433
network theory can be applied to detect contagion channels within the financial network, to measure the systemic importance of …
Persistent link: https://www.econbiz.de/10012968879
We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...
Persistent link: https://www.econbiz.de/10012860573