Specification and Estimation of Bayesian Dynamic Factor Models : A Monte Carlo Analysis with an Application to Global House Price Comovement
We compare methods to measure comovement in business cycle data using multi-level dynamic factor models. To do so, we employ a Monte Carlo procedure to evaluate model performance for different specifications of factor models across three different estimation procedures. We consider three general factor model specifications used in applied work. The first is a single- factor model, the second a two-level factor model, and the third a three-level factor model. Our estimation procedures are the Bayesian approach of Otrok and Whiteman (1998), the Bayesian state space approach of Kim and Nelson (1998) and a frequentist principal components approach. The latter serves as a benchmark to measure any potential gains from the more computationally intensive Bayesian procedures. We then apply the three methods to a novel new dataset on house prices in advanced and emerging markets from Cesa-Bianchi, Cespedes, and Rebucci (2015) and interpret the empirical results in light of the Monte Carlo results
Year of publication: |
2019
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Authors: | Jackson Young, Laura |
Other Persons: | Kose, M. Ayhan (contributor) ; Otrok, Chris (contributor) ; Owyang, Michael (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Immobilienpreis | Real estate price | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Modellierung | Scientific modelling | Welt | World |
Saved in:
Extent: | 1 Online-Ressource (46 p) |
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Series: | FRB St. Louis Working Paper ; No. 2015-31 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2015-08-26 erstellt |
Classification: | C3 - Econometric Methods: Multiple/Simultaneous Equation Models |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012903895