Search Results - subject:"Time varying parameters"

A General Framework for Observation Driven Time-Varying Parameter Models

Creal, Drew; Koopman, Siem Jan; Lucas, Andre - Institute of Economic Research, Hitotsubashi University - 2009

framework for introducing time-varying parameters in a wide class of non-linear models. The GAS model encompasses other well … of new observation driven models. Examples include non-linear regression models with time-varying parameters, observation … driven analogues of unobserved components time series models, multivariate point process models with time-varying parameters …

Persistent link: https://www.econbiz.de/10005650699

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

Koop, Gary; Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2009

Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...

Persistent link: https://www.econbiz.de/10008487526

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2009

Persistent link: https://www.econbiz.de/10008561154

VAR forecasting using Bayesian variable selection

Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2009

Carlo experiment, and in forecasting 4 macroeconomic series of the UK using time-varying parameters vector autoregressions …

Persistent link: https://www.econbiz.de/10008593003

Estimating Value-at-Risk (VaR) using TiVEx-POT Models

Mapa, Dennis S.; Cayton, Peter Julian; Lising, Mary Therese - Volkswirtschaftliche Fakultät, … - 2009

) - peaks over thresholds model (POT). The time varying parameters are linked to the linear predictor variables through link … functions. To estimate parameters of the linear predictors, maximum likelihood estimation is used with the time-varying … parameters being replaced from the likelihood function of the GPD. The test series used for the paper was the Philippine Peso …

Persistent link: https://www.econbiz.de/10008685553

Would the Bundesbank have prevented the Great Inflation in the United States?

Benati, Luca - European Central Bank - 2009

Policy counterfactuals based on estimated structural VARs routinely suggest that bringing Alan Greenspan back in the 1970s’ United States would not have prevented the Great Inflation. We show that a standard policy counterfactual suggests that the Bundesbank–which is near-universally...

Persistent link: https://www.econbiz.de/10008558915