Search Results - subject:"Time‐varying parameters"

Learning About Learning in Dynamic Economic Models

Kendrick, D.A.; Amman, H.M.; Tucci, M.P. - School of Economics, Universiteit Utrecht - 2008

This chapter of the Handbook of Computational Economics is mostly about research on active learning and is confined to discussion of learning in dynamic models in which the systems equations are linear, the criterion function is quadratic and the additive noise terms are Gaussian. Though there...

Persistent link: https://www.econbiz.de/10005040838

Comparison of Policy Functions from the Optimal Learning and Adaptive Control Frameworks

Kendrick, D.A.; Amman, H.M. - School of Economics, Universiteit Utrecht - 2008

In this paper we turn our attention to comparing the policy function obtained by Beck and Wieland (2002) to the one obtained with adaptive control methods. It is an integral part of the optimal learning method used by Beck and Wieland to obtain a policy function that provides the optimal control...

Persistent link: https://www.econbiz.de/10005040858

A General Framework for Observation Driven Time-Varying Parameter Models

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2008

unified and consistent framework for introducing time-varying parameters in a wide class of non-linear models. The GAS model … parameters, observation driven analogues of unobserved components time series models, multivariate point process models with time-varying … specification provides a wide range of new observation driven models. Examples include non-linear regression models with time-varying …

Persistent link: https://www.econbiz.de/10005209514

Sources of Uncertainty for Conducting Monetary Policy in Chile

Lavín, Felipe Morandé; Tejada, Mauricio - Departamento de Economía, Facultad de Economía y Negocios - 2008

uncertainties we estimate the equations that govern the behavior of the economy with time-varying parameters and with state …

Persistent link: https://www.econbiz.de/10008567858

A General Framework for Observation Driven Time-Varying Parameter Models

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2008

Persistent link: https://www.econbiz.de/10011255643

A general framework for observation driven time-varying parameter models

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2008

Persistent link: https://www.econbiz.de/10011377309

A quasi-Bayesian local likelihood approach to time varying parameter VAR models

Petrova, Katerina - In: Journal of econometrics 212 (2019) 1, pp. 286-306

Persistent link: https://www.econbiz.de/10012303932

A time-varying parameter structural model of the UK economy

Kapetanios, George; Masolo, Riccardo M.; Petrova, Katerina - In: Journal of economic dynamics & control 106 (2019), pp. 1-26

Persistent link: https://www.econbiz.de/10012131985

Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data

Basturk, Nalan; Ceyhan, Pinar; van Dijk, Herman K. - 2014

Time varying patterns in US growth are analyzed using various univariate model structures, starting from a naive model structure where all features change every period to a model where the slow variation in the conditional mean and changes in the conditional variance are specified together with...

Persistent link: https://www.econbiz.de/10010491342

Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy

Callot, Laurent; Kristensen, Johannes Tang - 2014

This paper proposes a parsimoniously time varying parameter vector autoregressive model (with exogenous variables, VARX) and studies the properties of the Lasso and adaptive Lasso as estimators of this model. The parameters of the model are assumed to follow parsimonious random walks, where...

Persistent link: https://www.econbiz.de/10010491376