Search Results - subject:"Bayesian methods."

Housing market spillovers: Evidence from an estimated DSGE model

Iacoviello, Matteo; Neri, Stefano - Banca d'Italia - 2008

investigated using U.S. data and Bayesian methods. The estimated model, which contains nominal and real rigidities and collateral …

Persistent link: https://www.econbiz.de/10005111542

Economic theory and forecasting: lessons from the literature

Giacomini, Raffaella - C.E.P.R. Discussion Papers - 2014

Does economic theory help in forecasting key macroeconomic variables? This article aims to provide some insight into the question by drawing lessons from the literature. The definition of "economic theory" includes a broad range of examples, such as accounting identities, disaggregation and...

Persistent link: https://www.econbiz.de/10011084122

Bubbles over the U.S. business cycle: A macroeconometric approach

Luik, Marc-André; Wesselbaum, Dennis - In: Journal of Macroeconomics 40 (2014) C, pp. 27-41

This paper builds a New Keynesian model with financial frictions and monetary and fiscal rules for the United States. We incorporate a rational bubble process in the (relative) price of capital. Our results show that bubbles account for a significant amount of variance in key macroeconomic...

Persistent link: https://www.econbiz.de/10010777108

Measuring Discontinuity in Binary Longitudinal Data

Whalen, Thor; Boeri, Miriam - In: Sociological Methods & Research 43 (2014) 2, pp. 248-279

Life course perspectives focus on the variation in trajectories, generally to identify differences in variation dynamics and classify trajectories accordingly. Our goal here is to develop methods to gauge the discontinuity characteristics trajectories exhibit and demonstrate how these measures...

Persistent link: https://www.econbiz.de/10010793597

Bayesian methods in family business research

Block, Joern H.; Miller, Danny; Wagner, Dominik - In: Journal of Family Business Strategy 5 (2014) 1, pp. 97-104

Bayesian methods constitute an alternative to null hypothesis significance testing (NHST). This article briefly reviews … the concept of Bayesian methods, describes their differences from NHST, and discusses the potential of Bayesian methods to … advance family business research and practice. We argue that Bayesian methods are well suited to account for the significant …

Persistent link: https://www.econbiz.de/10010875400

A Bayesian approach to estimating animal density from binary acoustic transects

Horrocks, Julie; Rueffer, Matthew - In: Computational Statistics & Data Analysis 80 (2014) C, pp. 17-25

A Bayesian model is proposed for estimating abundance or density of animals from passive acoustic binary data. The data are collected at points along one or more transects, and the points are spaced so that a single individual can be heard multiple times. Thus successive data points are...

Persistent link: https://www.econbiz.de/10010906913

Exchange Rate Predictability in a Changing World

Byrne, Joseph P.; Korobilis, Dimitris; Ribeiro, Pinho J. - Scottish Institute for Research in Economics (SIRE) - 2014

Crisis. This paper forecasts exchange rates using such Taylor rules with Time Varying Parameters (TVP) estimated by Bayesian … methods. In core out-of-sample results, we improve upon a random walk benchmark for at least half, and for as many as eight …

Persistent link: https://www.econbiz.de/10010907883

Professional forecasters and real-time forecasting with a DSGE model

Smets, Frank; Warne, Anders; Wouters, Rafael - In: International Journal of Forecasting 30 (2014) 4, pp. 981-995

This paper analyses the real-time forecasting performance of the New Keynesian DSGE model of Galí, Smets and Wouters (2012), estimated on euro area data. It investigates the extent to which the inclusion of forecasts of inflation, GDP growth and unemployment by professional forecasters improve...

Persistent link: https://www.econbiz.de/10011051441

An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification

Kim, Jae-Young - In: Journal of Econometrics 178 (2014) P1, pp. 132-145

This paper studies an alternative quasi likelihood approach under possible model misspecification. We derive a filtered likelihood from a given quasi likelihood (QL), called a limited information quasi likelihood (LI-QL), that contains relevant but limited information on the data generation...

Persistent link: https://www.econbiz.de/10011052341

Optimal strategies for selecting project portfolios using uncertain value estimates

Vilkkumaa, Eeva; Liesiö, Juuso; Salo, Ahti - In: European Journal of Operational Research 233 (2014) 3, pp. 772-783

Practically all organizations seek to create value by selecting and executing portfolios of actions that consume resources. Typically, the resulting value is uncertain, and thus organizations must take decisions based on ex ante estimates about what this future value will be. In this paper, we...

Persistent link: https://www.econbiz.de/10011052780