Search Results - subject:"Hierarchical prior"

What are the macroeconomic effects of asset purchases?

Weale, Martin; Wieladek, Tomasz - 2014

We examine the impact of large-scale asset purchases of government bonds on real GDP and the CPI in the United Kingdom and the United States with a Bayesian VAR, estimated on monthly data from 2009 M3 to 2013 M5. We identify an asset purchase shock with sign and zero restrictions. In contrast to...

Persistent link: https://www.econbiz.de/10010403096

Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?

Eo, Yunjong; Kim, Chang-Jin - School of Economics, Faculty of Arts and Social Sciences - 2012

In this paper, we relax the assumption of constant regime-specific mean growth rates in Hamilton's (1989) two-state Markov-switching model of the business cycle. We first present a benchmark model, in which each regime-specific mean growth rate evolves according to a random walk process over...

Persistent link: https://www.econbiz.de/10011262980

Hierarchical Shrinkage in Time-Varying Parameter Models

Belmonte, Miguel; Koop, Gary; Korobilis, Dimitris - Economics Department, University of Strathclyde - 2011

In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the...

Persistent link: https://www.econbiz.de/10009653403

Hierarchical shrinkage in time-varying parameter models

BELMONTE, Miguel A.G.; KOOP, Gary; KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011

Persistent link: https://www.econbiz.de/10010610466

Hierarchical Shrinkage in Time-Varying Parameter Models

Belmonte, Miguel A. G.; Koop, Gary; Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2011

Persistent link: https://www.econbiz.de/10009142666

Hierarchical shrinkage in time-varying parameter models

Miguel, Belmonte; Gary, Koop; Dimitris, Korobilis - Volkswirtschaftliche Fakultät, … - 2011

Persistent link: https://www.econbiz.de/10009147878

Hierarchical shrinkage in time-varying parameter models

Belmonte, Miguel A. G.; Koop, Gary; Korobilis, Dimitris - In: Journal of forecasting 33 (2014) 1, pp. 80-94

Persistent link: https://www.econbiz.de/10010424876

Model-based Clustering of non-Gaussian Panel Data

Juarez, Miguel A.; Steel, Mark F. J. - Volkswirtschaftliche Fakultät, … - 2006

In this paper we propose a model-based method to cluster units within a panel. The underlying model is autoregressive and non-Gaussian, allowing for both skewness and fat tails, and the units are clustered according to their dynamic behaviour and equilibrium level. Inference is addressed from a...

Persistent link: https://www.econbiz.de/10005619576

Prior elicitation in multiple change-point models

Koop, Gary M.; Potter, Simon M. - 2004

This paper discusses Bayesian inference in change-point models. Current approaches place a possibly hierarchical prior …

Persistent link: https://www.econbiz.de/10010283440

Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points

Koop, Gary; Potter, Simon M. - Department of Economics, Leicester University - 2004

) model. JEL classification: C11, C22, E17 Keywords: Bayesian, structural break, Markov Chain Monte Carlo, hierarchical prior … the number of change-points in the sample is known). In Bayesian language, (2.2) describes a hierarchical prior for the … is important to develop a hierarchical prior which treats the number of regimes as unknown. In summary, the pioneering …

Persistent link: https://www.econbiz.de/10005561905