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Estimating (Markov-switching) VAR models without Gibbs sampling : a sequential Monte Carlo approach
Bognanni, Mark; Herbst, Edward P. - 2015 - This draft: December 10, 2015
Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...
Persistent link: https://www.econbiz.de/10011499604
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Estimating (Markov-Switching) VAR Models Without Gibbs Sampling : A Sequential Monte Carlo Approach
Bognanni, Mark - 2015
Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...
Persistent link: https://www.econbiz.de/10013210359
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The slice sampler and centrally symmetric distributions
Planas, Christophe; Rossi, Alessandro - 2018
stepping out and multivariate sampling with hyperrectangles. In the general asymmetric case, we argue that symmetrizing the … with several sampling problems. …
Persistent link: https://www.econbiz.de/10012055009
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Estimating (Markov-Switching) VAR models without gibbs sampling : a sequential Monte Carlo approach
Bognanni, Mark; Herbst, Edward P. - 2014
Persistent link: https://www.econbiz.de/10010497164
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Monitoring multicountry macroeconomic risk
Korobilis, Dimitris; Schröder, Maximilian - 2023
inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for …
Persistent link: https://www.econbiz.de/10014314068
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Estimating US fiscal and monetary interactions in a time varying VAR
Gerba, Eddie; Hauzenberger, Klemens - 2013
We contribute to the growing empirical literature on monetary and fiscal interactions by applying a sign restriction identification scheme to a structural TVP-VAR in order to disentangle and evaluate the policy shocks and policy transmissions. This in turn allows us to study the Great Recession...
Persistent link: https://www.econbiz.de/10009722854
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To bridge, to warp or to wrap? : a comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods
Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - 2009
importance sampling or the independence chain Metropolis-Hastings algorithm for posterior analysis. A comparative analysis is … robust and flexible estimation strategy is demonstrated where the complete posterior distribution is explored. In this … appropriately yet quickly tuned candidate, straightforward importance sampling provides the most efficient estimator of the marginal …
Persistent link: https://www.econbiz.de/10011377602
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To Bridge, to Warp or to Wrap? A Comperative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood
Ardia, David - 2015
use of importance sampling or the independence chain Metropolis-Hastings algorithm for posterior analysis. A comparative … importance of a robust and flexible estimation strategy is demonstrated where the complete posterior distribution is explored. In … appropriately yet quickly tuned candidate, straightforward importance sampling provides the most efficient estimator of the marginal …
Persistent link: https://www.econbiz.de/10012749869
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The Bayesian method in estimating Polish and German industry betas : a comparative nalysis of the risk between the main economic sectors from 2001-2020
Feder-Sempach, Ewa; Szczepocki, Piotr - In: Comparative economic research : Central and Eastern Europe 25 (2022) 2, pp. 45-60
This paper examines the long‑term dependence between the Polish and German stock markets in terms of industry beta risk estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and German beta parameters of five Polish and...
Persistent link: https://www.econbiz.de/10013334984
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Accurate Monte Carlo Estimation of Very Small P-Values in Markov Chains
Wilbur, W. John - 1998
There are many events in the real world that are far from random. If we could assign significance levels to them based on a rigorous random model, such p-values must be very small indeed. Why should we be interested in such small numbers? Basically because the number -log(pval) is an estimate of...
Persistent link: https://www.econbiz.de/10014052364