Search Results - subject:"Linear Models"

Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods

Mirestean, Alin; Tsangarides, Charalambos G.; Chen, Huigang - International Monetary Fund (IMF) - 2009

Bayesian Model Averaging (BMA) provides a coherent mechanism to address the problem of model uncertainty. In this paper we extend the BMA framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information...

Persistent link: https://www.econbiz.de/10004999975

Regional Financial Spillovers Across Europe; A Global VAR Analysis

Sgherri, Silvia; Galesi, Alessandro - International Monetary Fund (IMF) - 2009

The recent financial crisis raises important issues about the transmission of financial shocks across borders. In this paper, a global vector autoregressive (GVAR) model is constructed to assess the relevance of international spillovers following a historical slowdown in U.S. equity prices. The...

Persistent link: https://www.econbiz.de/10005604825

The Role of Financial Variables in Predicting Economic Activity in the Euro Area

Lombardi, Marco; Espinoza, Raphael A.; Fornari, Fabio - International Monetary Fund (IMF) - 2009

The U.S. business cycle typically leads the European cycle by a few quarters and this can be used to forecast euro area GDP. We investigate whether financial variables carry additional information. We use vector autoregressions (VARs) which include the U.S. and the euro area GDPs as a minimal...

Persistent link: https://www.econbiz.de/10008540921

Solving Macroeconomic Models with "Off-the-Shelf" Software: An Example of Potential Pitfalls

Herbert, Ric D.; Stemp, Peter J. - Department of Econometrics and Business Statistics, … - 2009

-form solution of the model, which we use as our "true" benchmark, for comparison with computational solutions of both linear and non-linear … models. Our approach is to compare the "goodness of fit" of reverse-shooting solutions for both the linear and non …

Persistent link: https://www.econbiz.de/10008492269

Improved Baseline Sales

Jetta, Kurt A.; Rengifo, Erick W. - Economics Department, Fordham University - 2009

Linear Models and a Multiple Structural Change Model (DLM/MSCM). We first discuss the value of utilizing aggregated (chain … standard ones on the two measures of performance. Our tests find the DLM/MSCM baseline sales to be superior to the existing log-linear … models by reducing the weekly baseline sales volatility by over 80% and by being uncorrelated to promotional activities. …

Persistent link: https://www.econbiz.de/10005260564

Poisson Autoregression

Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - School of Economics and Management, University of Aarhus - 2009

concerned. Keywords: asymptotic theory, count data, generalized linear models, geometric ergodicity, integer GARCH, likelihood … both type of models are given. Non linear models for count time series have not been discussed in the literature and their …) by (2). Model (1) (or its rephrasing (2)) is related to the theory of generalized linear models for time series, see …

Persistent link: https://www.econbiz.de/10005198856

Interventions in ingarch processes

Fokianos, Konstantions; Fried, Roland - Institut für Wirtschafts- und Sozialstatistik, … - 2009

We study the problem of intervention effects generating various types of outliers in a linear count time series model. This model belongs to the class of observation driven models and extends the class of Gaussian linear time series models within the exponential family framework. Studies about...

Persistent link: https://www.econbiz.de/10009219878

Aplicación de un modelo de multiplicadores contables y de análisis estructural a políticas sociales seleccionadas en el estado de Nuevo León.

Viera, Marcos Esaú Domínguez - In: Ensayos Revista de Economia XXVIII (2009) 2, pp. 95-137

This paper analyzes the economic effects of “Oportunidades” Program, “Programa de Atención al Adulto Mayor” (PAAM) and “Programa de Apoyo para las Personas con Discapacidad” (PAPD) on the State of Nuevo Leon, by a linear model applied to a 2004 Social Accounting Matrix. The mainly...

Persistent link: https://www.econbiz.de/10009141610

Benchmark Priors Revisited:on Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging

Feldkircher, Martin; Zeugner, Stefan - International Monetary Fund (IMF) - 2009

Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and proposes to address it by a hyper-g prior, whose data-dependent shrinkage adapts...

Persistent link: https://www.econbiz.de/10008559278

GLM estimation of trade gravity models with fixed effects

Egger, Peter; Staub, Kevin E - C.E.P.R. Discussion Papers - 2015

Many empirical gravity models are now based on generalized linear models (GLM), of which the Poisson pseudo …

Persistent link: https://www.econbiz.de/10011168907