Search Results - subject:"State Space modeling"

Media content, African swine fever, a trade war, and US lean hog futures

Griffin, Tori M.; Hagerman, Amy D.; Lambert, Dayton M.; … - In: Journal of agricultural and applied economics : JAEE 56 (2024) 4, pp. 530-543

Persistent link: https://www.econbiz.de/10015188233

Synthetic control with time varying coefficients a state space approach with Bayesian shrinkage

Klinenberg, Danny - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1065-1076

Persistent link: https://www.econbiz.de/10014448550

Measuring international uncertainty using global vector autoregressions with drifting parameters

Pfarrhofer, Michael - 2019

This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model six economies jointly. The measure of uncertainty is...

Persistent link: https://www.econbiz.de/10012271234

Measuring international uncertainty using global vector autoregressions with drifting parameters

Pfarrhofer, Michael - 2019

Persistent link: https://www.econbiz.de/10012052678

Modeling and forecasting the co-movement of international yield curve drivers

Sprincenatu, Maria - 2019

Persistent link: https://www.econbiz.de/10012172917

Estimation of dynamic panel data models with stochastic volatility using particle filters

Xu, Wen - In: Econometrics 4 (2016) 4, pp. 1-13

Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel...

Persistent link: https://www.econbiz.de/10011755352

Estimation of dynamic panel data models with stochastic volatility using particle filters

Xu, Wen - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13

Persistent link: https://www.econbiz.de/10011650493

Evaluating the Euler equation in an open economy framework with time-varying preference rate

Neto, Alberto Ronchi; Candido, Osvaldo - In: The empirical economics letters : a monthly … 19 (2020) 10, pp. 1181-1187

Persistent link: https://www.econbiz.de/10012597954

What do Professional Forecasters actually predict?

Nibbering, Didier; Paap, Richard; van der Wel, Michel - 2015

In this paper we study what professional forecasters actually explain. We use spectral analysis and state space … modeling to decompose economic time series into a trend, a business-cycle, and an irregular component. To examine which …

Persistent link: https://www.econbiz.de/10011403556

What do professional forecasters actually predict?

Nibbering, Didier; Paap, Richard; Wel, Michel van der - 2015

Persistent link: https://www.econbiz.de/10011305773