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  • Search: subject:"Time varying parameters"
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Year of publication
Subject
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time-varying parameters 264 Time-varying parameters 181 Schätzung 158 Estimation 154 Zeitreihenanalyse 144 Time series analysis 139 VAR-Modell 111 VAR model 104 Estimation theory 101 Schätztheorie 101 Volatility 94 Volatilität 94 Theorie 93 Theory 89 Inflation 67 Bayes-Statistik 62 Prognoseverfahren 62 Bayesian inference 61 Forecasting model 61 stochastic volatility 55 Monetary policy 51 Stochastischer Prozess 50 Zustandsraummodell 49 Geldpolitik 48 State space model 48 Schock 47 Shock 46 Stochastic process 46 Welt 40 World 39 Konjunktur 37 USA 37 Stochastic volatility 36 Business cycle 35 Time-Varying Parameters 33 Time varying parameters 30 time varying parameters 30 Phillips curve 28 forecasting 27 ARCH-Modell 26
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Online availability
All
Free 386 Undetermined 168 CC license 8
Type of publication
All
Book / Working Paper 366 Article 227 Other 2
Type of publication (narrower categories)
All
Working Paper 229 Article in journal 174 Aufsatz in Zeitschrift 174 Graue Literatur 130 Non-commercial literature 130 Arbeitspapier 128 Article 7 Aufsatz im Buch 4 Book section 4 research-article 3 Konferenzschrift 2 Thesis 2 Report 1 Research Report 1
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Language
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English 456 Undetermined 138 Russian 1
Author
All
Koopman, Siem Jan 48 Lucas, André 33 Mumtaz, Haroon 18 Benati, Luca 17 Blasques, Francisco 17 Kapetanios, George 15 Karlsson, Sune 15 Korobilis, Dimitris 15 Marcellino, Massimiliano 15 Österholm, Pär 15 Petrella, Ivan 14 Caporale, Guglielmo Maria 13 Delle Monache, Davide 13 Giraitis, Liudas 13 Petrova, Katerina 12 Schaumburg, Julia 12 Creal, Drew 11 Gorgi, Paolo 11 Franta, Michal 9 Huber, Florian 9 Lucas, Andre 9 Schwaab, Bernd 9 Zhang, Xin 9 Basturk, Nalan 8 Ceyhan, Pinar 8 Nason, James Michael 8 Ooms, Marius 8 Amman, Hans M. 7 Koop, Gary 7 Onorante, Luca 7 Paesani, Paolo 7 Rodriguez, Gabriel 7 Tucci, Marco Paolo 7 Venditti, Fabrizio 7 Byrne, Joseph P. 6 Callot, Laurent 6 Grassi, Stefano 6 Koopman, S.J. 6 Kristensen, Johannes Tang 6 Ooms, M. 6
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Institution
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Tinbergen Instituut 15 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 14 European Central Bank 9 Tinbergen Institute 7 Crawford School of Public Policy, Australian National University 4 Rimini Centre for Economic Analysis (RCEA) 4 School of Economics, Universiteit Utrecht 4 Society for Computational Economics - SCE 4 Bank of England 3 C.E.P.R. Discussion Papers 3 School of Economics and Management, University of Aarhus 3 Česká Národní Banka 3 CESifo 2 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 2 Charles H. Dyson School of Applied Economics and Management, Cornell University 2 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 2 Economics Department, University of Strathclyde 2 KOF Swiss Economic Institute, Department of Management, Technology and Economics (D-MTEC) 2 Norges Bank 2 School of Economics, UNSW Business School 2 Scottish Institute for Research in Economics (SIRE) 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Suomen Pankki 2 Banca d'Italia 1 Birkbeck, Department of Economics, Mathematics & Statistics 1 Centro di Economia del Lavoro e di Politica Economica (CELPE), Università degli Studi di Salerno 1 Courant Research Centre PEG 1 Departamento de Economía, Facultad de Economía y Negocios 1 Department of Economics, Adam Smith Business School 1 Department of Economics, Boston College 1 Department of Economics, Faculty of Economic and Management Sciences 1 Department of Economics, International Business School, Brandeis University 1 Deutsche Bundesbank 1 Dipartimento di Economia Politica e Statistics, Facoltà di Economia "Richard M. Goodwin" 1 EconWPA 1 Economics Department, University of California-Davis 1 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Federal Reserve Bank of Cleveland 1
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Published in...
All
Working Paper 27 Discussion paper / Tinbergen Institute 25 Tinbergen Institute Discussion Paper 25 Tinbergen Institute Discussion Papers 22 Working paper 15 MPRA Paper 14 ECB Working Paper 13 Journal of econometrics 10 CESifo Working Paper 9 Economics letters 9 Working Paper Series / European Central Bank 9 CESifo working papers 8 Economic modelling 8 Energy economics 8 Computational economics 7 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 6 Journal of international money and finance 6 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 6 CAMA working paper series 5 International journal of forecasting 5 Journal of economic dynamics & control 5 CAMA Working Papers 4 Discussion papers / CEPR 4 Documento de trabajo 4 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 4 Journal of forecasting 4 Temi di discussione / Banca d'Italia 4 Working Paper Series / Rimini Centre for Economic Analysis (RCEA) 4 Working Papers / School of Economics, Universiteit Utrecht 4 Working paper series / European Central Bank 4 Applied economics 3 Applied economics letters 3 Bank of England working papers 3 CEPR Discussion Papers 3 CREATES Research Papers 3 Computational Economics 3 Discussion Papers 3 Empirical Economics 3 Empirical economics : a quarterly journal of the Institute for Advanced Studies 3 Federal Reserve Bank of Cleveland working paper series 3
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Source
All
ECONIS (ZBW) 312 RePEc 164 EconStor 109 BASE 7 Other ZBW resources 3
Showing 411 - 420 of 595
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A Taylor Rule for Fiscal Policy
Kendrick, D.A.; Amman, H.M. - School of Economics, Universiteit Utrecht - 2011
In times of rapid macroeconomic change it would seem useful for both fiscal and monetary policy to be modified frequently. This is true for monetary policy with monthly meetings of the Open Market Committee. It is not true for fiscal policy which mostly varies with the annual Congressional...
Persistent link: https://www.econbiz.de/10009352218
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State-Space Cointegration Modeling for the Analysis of Exogenous Shocks to Prices in Israeli-Palestinian Food Trade
Ihle, Rico; Götz, Linde; Rubin, Ofir D. - Courant Research Centre PEG - 2011
The Israeli-Palestinian conflict constitutes a prominent example of a long-lasting political conflict which has major consequences for the livelihoods of the people on both sides. The agricultural sectors of the Palestinian and Israeli economies are tightly connected. However, various security...
Persistent link: https://www.econbiz.de/10009364975
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Evaluating Changes in the Monetary Transmission Mechanism in the Czech Republic
Franta, Michal; Horvath, Roman; Rusnak, Marek - Česká Národní Banka - 2011
-2010 period by employing a time-varying parameters Bayesian vector autoregression model with stochastic volatility. We evaluate …
Persistent link: https://www.econbiz.de/10009398250
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Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra
Koopman, Siem Jan; Wong, Soon Yip - In: Journal of Forecasting 30 (2011) 1, pp. 147-167
We develop a flexible semi-parametric method for the introduction of time‐varying parameters in a model‐based signal … we obtain time‐varying parameter estimates. The time series decomposition model with the resulting time‐varying … parameters reflect the time‐varying spectrum accurately. This approach to model‐based signal extraction includes a bootstrap …
Persistent link: https://www.econbiz.de/10008774204
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Identification of Monetary Policy Shocks in Japan Using Sign Restrictions within the TVP-VAR Framework
Franta, Michal - Institute for Monetary and Economic Studies, Bank of Japan - 2011
This paper contributes to the discussion on the functioning of the monetary policy transmission mechanism in Japan during the past three decades. It extends the methodology of time-varying parameter vector autoregressions (TVP-VAR) by employing an identification scheme based on sign...
Persistent link: https://www.econbiz.de/10009142089
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Hierarchical Shrinkage in Time-Varying Parameter Models
Belmonte, Miguel A. G.; Koop, Gary; Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 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/10009142666
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Hierarchical shrinkage in time-varying parameter models
Miguel, Belmonte; Gary, Koop; Dimitris, Korobilis - Volkswirtschaftliche Fakultät, … - 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/10009147878
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Parameter Drifting in a DSGE Model Estimated on Czech Data
Tonner, Jaromir; Polansky, Jiri; Vašíèek, Osvald - In: Czech Journal of Economics and Finance (Finance a uver) 61 (2011) 5, pp. 510-524
In this article, the authors investigate the possible time-varying structure of DSGE models. They follow the study of Andrle et al. (2009), which argues that models designed for monetary policy analysis and forecasting of an economy that is undergoing structural changes must include exogenous...
Persistent link: https://www.econbiz.de/10010686514
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Conditional probabilities and contagion measures for Euro area sovereign default risk
Zhang, Xin; Schwaab, Bernd; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720702
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Cover Image
State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade
Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011
The Israeli-Palestinian conflict constitutes a prominent example of a long-lasting political conflict which has major consequences for the livelihoods of the people on both sides. The agricultural sectors of the Palestinian and Israeli economies are tightly connected. However, various security...
Persistent link: https://www.econbiz.de/10010356541
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