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  • Search: subject:"Reduced rank models"
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Year of publication
Subject
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Gibbs sampler 8 MCMC 8 reduced rank models 8 non-stationarity 6 random effects panel data models 6 serial correlation 6 state-space models 6 Reduced rank models 4 model selection criteria 3 Bayesian model averaging 2 autocorrelation 2 error correction models 2 forecasting accuracy 2 nonstationarity 2 random effects panel date models 2 state space models 2 Bayes-Statistik 1 Bayesian inference 1 Common factors 1 Cross equation restrictions 1 Estimation theory 1 Markov chain 1 Markov-Kette 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Multivariate forecasting 1 Sampling 1 Schätztheorie 1 Stichprobenerhebung 1 Time series analysis 1 Zeitreihenanalyse 1 forecasting 1 variance decomposition 1
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Online availability
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Free 12
Type of publication
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Book / Working Paper 12
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 6 Undetermined 6
Author
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Dijk, Herman K. van 3 Segers, Rene 3 Segers, René 3 van Dijk, Herman K. 3 Athanasopoulos, George 2 De Pooter, Michiel 2 Dijk, H.K. van 2 Pooter, M.D. de 2 Pooter, Michiel D. de 2 Segers, R. 2 Vahid, Farshid 2 Anderson, Heather M 1 Guillén, Osmani T. de C. 1 Guillén, Osmani Teixeira de Carvalho 1 Issler, J.V. 1 Issler, João V. 1 Issler, João Victor 1 Pooter, Michiel de 1 Ravazzolo, F. 1 Ravazzolo, Francesco 1 Vahid, F. 1 de Pooter, Michiel D. 1
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Institution
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Department of Econometrics and Business Statistics, Monash Business School 4 Erasmus University Rotterdam, Econometric Institute 2 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 2 Tinbergen Institute 1 Tinbergen Instituut 1
Published in...
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Monash Econometrics and Business Statistics Working Papers 4 Econometric Institute Report 2 Econometric Institute Research Papers 2 Tinbergen Institute Discussion Papers 2 Discussion paper / Tinbergen Institute 1 Tinbergen Institute Discussion Paper 1
Source
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RePEc 10 ECONIS (ZBW) 1 EconStor 1
Showing 1 - 10 of 12
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VARs, Cointegration and Common Cycle Restrictions
Anderson, Heather M; Vahid, Farshid - Department of Econometrics and Business Statistics, … - 2010
This paper argues that VAR models with cointegration and common cycles can be usefully viewed as observable factor models. The factors are linear combinations of lagged levels and lagged differences, and as such, these observable factors have potential for forecasting. We illustrate this...
Persistent link: https://www.econbiz.de/10008470783
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Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
Athanasopoulos, George; Guillén, Osmani T. de C.; … - Department of Econometrics and Business Statistics, … - 2009
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties for a...
Persistent link: https://www.econbiz.de/10005087606
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Bayesian near-boundary analysis in basic macroeconomic time series models
Pooter, M.D. de; Ravazzolo, F.; Segers, R.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2008
multimodality can result in very slow converge for the Gibbs sampler. Multimodality may occur in reduced rank models when one is …, in particular on GDP growth, are presented. Keywords: Gibbs sampler, MCMC, autocorrelation, nonstationarity, reduced rank … models, state space models, error correction models, random effects panel data models, Bayesian model averaging JEL …
Persistent link: https://www.econbiz.de/10004972192
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Bayesian near-boundary analysis in basic macroeconomic time series models
De Pooter, Michiel; Ravazzolo, Francesco; Segers, Rene; … - Faculteit der Economische Wetenschappen, Erasmus … - 2008
Several lessons learnt from a Bayesian analysis of basic macroeconomic time series models are presented for the situation where some model parameters have substantial posterior probability near the boundary of the parameter region. This feature refers to near-instability within dynamic models,...
Persistent link: https://www.econbiz.de/10010731830
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On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling
de Pooter, Michiel D.; Segers, René; van Dijk, Herman K. - 2006
Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...
Persistent link: https://www.econbiz.de/10010325199
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On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling
Pooter, Michiel D. de; Segers, René; Dijk, Herman K. van - Tinbergen Institute - 2006
Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...
Persistent link: https://www.econbiz.de/10005504906
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Gibbs sampling in econometric practice
Pooter, M.D. de; Segers, R.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2006
, serial correlation, non-stationarity, reduced rank models, state-space models, random effects panel data models. JEL …
Persistent link: https://www.econbiz.de/10005450858
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On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling
Pooter, Michiel D. de; Segers, René; Dijk, Herman K. van - Tinbergen Instituut - 2006
Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...
Persistent link: https://www.econbiz.de/10011256846
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Gibbs sampling in econometric practice
De Pooter, Michiel; Segers, Rene; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2006
We present a road map for effective application of Bayesian analysis of a class of well-known dynamic econometric models by means of the Gibbs sampling algorithm. Members belonging to this class are the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root...
Persistent link: https://www.econbiz.de/10010731767
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On the practice of Bayesian inference in basic economic time series models using Gibbs sampling
Pooter, Michiel de; Segers, Rene; Dijk, Herman K. van - 2006
Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...
Persistent link: https://www.econbiz.de/10011349180
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