Search Results - subject:"predictive density"

Testing for convergence clubs in income per-capita : a predictive density approach

Canova, Fabio - HWWA Institut für Wirtschaftsforschung - 2001

approach uses the predictive density of the data, conditional on the parameters of the model. The steady state distribution of …

Persistent link: https://www.econbiz.de/10010985092

Testing for Convergence Clubs in Income Per-Capita: A Predictive Density Approach

Canova, Fabio - HWWA Institut für Wirtschaftsforschung - 2001

approach uses the predictive density of the data, conditional on the parameters of the model. The steady state distribution of …

Persistent link: https://www.econbiz.de/10004989366

Bayesian Prediction with a Cointegrated Vector Autoregression

Villani, Mattias - Sveriges Riksbank - 1999

A complete procedure for calculating the joint predictive distribution of future observations based on the cointegrated vector autoregression is presented. The large degree of uncertainty in the choise of the cointegration vectors is incorporated into the analysis through a prior distribution on...

Persistent link: https://www.econbiz.de/10005190804

Bayesian Prediction with a Cointegrated Vector Autoregression

Villani, Mattias - 1999

Persistent link: https://www.econbiz.de/10010321334

Bayesian prediction with a cointegrated vector autoregression

Villani, Mattias - 1999

Persistent link: https://www.econbiz.de/10011584826

Bayesian parametric inference in a nonparametric framework

Walker, Stephen; Gutiérrez-Peña, Eduardo - In: TEST: An Official Journal of the Spanish Society of … 16 (2007) 1, pp. 188-197

Persistent link: https://www.econbiz.de/10005613305

Bayesian tolerance intervals for the balanced two-factor nested random effects model

Merwe, Abrie; Hugo, Johan - In: TEST: An Official Journal of the Spanish Society of … 16 (2007) 3, pp. 598-612

Persistent link: https://www.econbiz.de/10005613306

Testing for convergence clubs in income per-capita: A predictive density approach

Canova, Fabio - Department of Economics and Business, Universitat … - 1997

approach uses the predictive density of the data, conditional on the parameters of the model. The steady state distribution of …

Persistent link: https://www.econbiz.de/10005707991

The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives

Swanson, Norman; Korenok, Oleg - Department of Economics, Rutgers University-New Brunswick - 2006

. With respect to predictive density evaluation, our results suggest that the standard sticky price model discussed in Calvo …In this paper we construct output gap and inflation predictions using a variety of DSGE sticky price models. Predictive … density accuracy tests related to the test discussed in Corradi and Swanson (2005a) as well as predictive accuracy tests due …

Persistent link: https://www.econbiz.de/10005800396

Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection

Corradi, Valentina; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2004

In recent years it has become apparent that many of the classical testing procedures used to select amongst alternative economic theories and economic models are not realistic. In particular, researchers have become more aware of the fact that parameter estimation error and data dependence play...

Persistent link: https://www.econbiz.de/10005746182