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Combining Bayesian VARs with Survey Density Forecasts : Does it Pay Off?

Banbura, Marta; Brenna, Federica; Paredes, Joan; … - 2021

This paper studies how to combine real-time forecasts from a broad range of Bayesian vector autoregression (BVAR) specifications and survey forecasts by optimally exploiting their properties. To do that, it compares the forecasting performance of optimal pooling and tilting techniques, including...

Persistent link: https://www.econbiz.de/10013229967

Bayesian VARs and prior calibration in times of COVID-19

Hartwig, Benny - 2022

This paper investigates the ability of several generalized Bayesian vector autoregressions to cope with the extreme COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that the preferred model interprets the pandemic episode as a...

Persistent link: https://www.econbiz.de/10013472790

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/10010342246

Inference in vector autoregressive models with an informative prior on the steady state

Villani, Mattias - 2005

Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...

Persistent link: https://www.econbiz.de/10011585058

Modeling Mortality with a Bayesian Vector Autoregression

Njenga, Carolyn; Sherris, Michael - ARC Centre of Excellence in Population Ageing Research … - 2011

Mortality risk models have been developed to capture trends and common factors driving mortality improvement. Multiple … is necessary to take into account the richer age structure of mortality improvement from young ages to middle and then …

Persistent link: https://www.econbiz.de/10010551692

Bayesian demographic modeling and forecasting: An application to U.S. mortality

Reichmuth, Wolfgang H.; Sarferaz, Samad - 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/10010276366

Insurance penetration and economic growth in Africa : dynamic effects analysis using Bayesian TVP-VAR approach

Olayungbo, D. O.; Akinlo, Anthony Enisan - In: Cogent economics & finance 4 (2016) 1, pp. 1-19

This paper examines the dynamic interactions between insurance and economic growth in eight African countries for the period of 1970-2013. Insurance demand is measured by insurance penetration which accounts for income differences across the sample countries. A Bayesian Time Varying Parameter...

Persistent link: https://www.econbiz.de/10011531077

Life Tables in Actuarial Models : From the Deterministic Setting to a Bayesian Approach

Olivieri, Annamaria - 2011

The mortality dynamics experienced in the latest decades, especially at adult and old ages, has motivated the … introduction of major innovations in the modeling of mortality for actuarial applications; such innovations concern, in particular …, the representation of the uncertainty relating to aggregate mortality.In this paper, we first provide a description of the …

Persistent link: https://www.econbiz.de/10013125501

Technology shocks and aggregate fluctuations in an estimated hybrid RBC model

Malley, James R.; Woitek, Ulrich - 2009

This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model's posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we...

Persistent link: https://www.econbiz.de/10003833344

Productivity shocks and aggregate cycles in an estimated endogenous growth model

Malley, James R.; Woitek, Ulrich - 2009

Using a two-sector endogenous growth model, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate cycles in output, consumption, investment and hours. To contextualize our findings, we also assess whether the human capital...

Persistent link: https://www.econbiz.de/10003850283