Search Results - subject:"Bayesian Model Selection"

What drives output volatility? : the role of demographics and government size revisited

Iseringhausen, Martin; Vierke, Hauke - 2018

Persistent link: https://www.econbiz.de/10011890257

Applying meta-modeling for extended CGE-modeling: Sampling techniques and potential application

Jin, Ding; Hedtrich, Johannes; Henning, Christian H. C. A. - 2018

ahead of us, therefore we are motivated to apply the Bayesian model selection method and the meta-modeling technique in … models. The meta-modeling technique can be deemed as an intermediate step towards the application of Bayesian model selection … Bayesian model selection method. The purpose of this paper is to demonstrate the meta-modeling techinique, test the performace …

Persistent link: https://www.econbiz.de/10012040561

Measuring the international dimension of output volatility

Everaert, Gerdie; Iseringhausen, Martin - 2017

Persistent link: https://www.econbiz.de/10012007275

Incorporating statistical clustering methods into mortality models to improve forecasting performances

Tsai, Cary Chi-Liang; Cheng, Echo Sihan - In: Insurance 99 (2021), pp. 42-62

Persistent link: https://www.econbiz.de/10012649207

Heterogeneity and aggregate fluctuations

Chang, Minsu; Chen, Xiaohong; Schorfheide, Frank - 2021

Persistent link: https://www.econbiz.de/10012515882

Restrictions on risk prices in dynamic term structure models

Bauer, Michael D. - 2015

Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by creating a tighter link between cross-sectional and time-series variation of interest rates. This paper presents a new econometric framework for estimation of affine Gaussian DTSMs...

Persistent link: https://www.econbiz.de/10010491726

Restrictions on Risk Prices in Dynamic Term Structure Models

Bauer, Michael D. - 2015

Persistent link: https://www.econbiz.de/10010500406

Restrictions on Risk Prices in Dynamic Term Structure Models

Bauer, Michael D. - CESifo - 2015

Persistent link: https://www.econbiz.de/10011200050

Prior selection for panel vector autoregressions

Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2015

There is a vast literature that specifies Bayesian shrinkage priors for vector autoregressions (VARs) of possibly large dimensions. In this paper I argue that many of these priors are not appropriate for multi-country settings, which motivates me to develop priors for panel VARs (PVARs). The...

Persistent link: https://www.econbiz.de/10011272688

Bayesian nonparametric sparse VAR models

Billio, Monica; Casarin, Roberto; Rossini, Luca - In: Journal of econometrics 212 (2019) 1, pp. 97-115

Persistent link: https://www.econbiz.de/10012303895