Search Results - subject:"Bayesian methods."

Um modelo econométrico para previsão de impostos no Brasil

Mendonça, Mário Jorge; Sachsida, Adolfo; Medrano, … - In: Economia aplicada : EA 17 (2013) 2, pp. 295-329

Persistent link: https://www.econbiz.de/10011449474

Improving Mantelâ€“Haenszel DIF Estimation Through Bayesian Updating

Zwick, Rebecca; Ye, Lei; Isham, Steven - In: Journal of Educational and Behavioral Statistics 37 (2012) 5, pp. 601-629

This study demonstrates how the stability of Mantelâ€“Haenszel (MH) DIF (differential item functioning) methods can be improved by integrating information across multiple test administrations using Bayesian updating (BU). The authors conducted a simulation that showed that this approach,...

Persistent link: https://www.econbiz.de/10011138702

Prior Selection for Vector Autoregressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E - C.E.P.R. Discussion Papers - 2012

Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables....

Persistent link: https://www.econbiz.de/10011083403

Estimating Dynamic Equilibrium Models with Stochastic Volatility

Fernández-Villaverde, Jesús; Guerron-Quintana, Pablo A.; … - C.E.P.R. Discussion Papers - 2012

-scale models, such as those often employed by policy-making institutions. As an application, we use our algorithm and Bayesian … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …

Persistent link: https://www.econbiz.de/10011084344

Applications of Bayesian methods in wind energy conversion systems

Li, Gong; Shi, Jing - In: Renewable Energy 43 (2012) C, pp. 1-8

energy conversion systems. Bayesian methods have shown unique advantages in statistical modeling and data analysis for the … quantity of interest with uncertainty and variability. The adoption of Bayesian methods carries great potentials for various …-term forecasts. This paper summarizes the basic theories of several Bayesian methods, and extensively reviews the literature …

Persistent link: https://www.econbiz.de/10010806362

Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case

Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-Yi - In: Management Science 58 (2012) 9, pp. 1732-1746

In this paper, we formulate a single-period portfolio choice problem with parameter uncertainty in the framework of relative regret. Relative regret evaluates a portfolio by comparing its return to a family of benchmarks, where the benchmarks are the wealths of fictitious investors who invest...

Persistent link: https://www.econbiz.de/10010990462

Diagnosis and prediction of rebounds in financial markets

Yan, Wanfeng; Woodard, Ryan; Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 1361-1380

We introduce the concept of “negative bubbles” as the mirror (but not necessarily exactly symmetric) image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the...

Persistent link: https://www.econbiz.de/10011058729

Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs

Canova, Fabio; Forero, Fernando J. Pérez - Barcelona Graduate School of Economics (Barcelona GSE) - 2012

This paper provides a method to estimate time varying coefficients structural VARs which are non-recursive and potentially overidentified. The procedure allows for linear and non-linear restrictions on the parameters, maintains the multi-move structure of standard algorithms and can be used to...

Persistent link: https://www.econbiz.de/10011019708

Forecasting government bond yields with large Bayesian vector autoregressions

Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of Banking & Finance 36 (2012) 7, pp. 2026-2047

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector Autoregression (BVAR) with an optimal amount of shrinkage towards univariate AR...

Persistent link: https://www.econbiz.de/10010574827

ClubMed? Cyclical fluctuations in the Mediterranean basin

Canova, Fabio; Ciccarelli, Matteo - In: Journal of International Economics 88 (2012) 1, pp. 162-175

We investigate macroeconomic fluctuations in the Mediterranean, their similarities and convergence. A model with four indicators, roughly covering the West, the East and the Middle East and the North Africa portions of the Mediterranean, characterizes well the historical experience since the...

Persistent link: https://www.econbiz.de/10010580831