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Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots

Silva, Ricardo Gonçalves - EconWPA - 2004

In this paper we consider bayesian semiparametric regression within the generalized linear model framework. Specifically, we study a class of autoregressive time series where the time trend is incorporated in a nonparametrically way. Estimation and inference where performed through Markov Chain...

Persistent link: https://www.econbiz.de/10005407984

Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?

Starica, Catalin - EconWPA - 2004

-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the … unconditional variance leads to poor volatility forecasts during the period under discussion with the MSE of GARCH(1,1) 1-year ahead … volatility more than 4 times bigger than the MSE of a forecast based on historical volatility. We test and reject the hypothesis …

Persistent link: https://www.econbiz.de/10005407908

Bayesian Stochastic Frontier Analysis Using WinBUGS

Griffin, Jim; Steel, Mark - EconWPA - 2005

Markov chain Monte Carlo (MCMC) methods have become a ubiquitous tool in Bayesian analysis. This paper implements MCMC methods for Bayesian analysis of stochastic frontier models using the WinBUGS package, a freely available software. General code for cross-sectional and panel data are presented...

Persistent link: https://www.econbiz.de/10005062542

Semiparametric Bayesian Inference for Stochastic Frontier Models

Griffin, Jim E.; Steel, Mark F.J. - EconWPA - 2002

In this paper we propose a semiparametric Bayesian framework for the analysis of stochastic frontiers and efficiency measurement. The distribution of inefficiencies is modelled nonparametrically through a Dirichlet process prior. We suggest prior distributions and implement a Bayesian analysis...

Persistent link: https://www.econbiz.de/10005556378

On Priors for Impulse Responses in Bayesian Structural VAR Models

Kociêcki, Andrzej - EconWPA - 2003

, useful factorization of the posterior was given and efficient method for sampling from the posterior was outlined. …

Persistent link: https://www.econbiz.de/10005062544

Impulse Response Priors for Discriminating Structural Vector Autoregressions

Dwyer, Mark - EconWPA - 1998

The structural vector autoregression (SVAR) has become a central tool for research in empirical macroeconomics. Because the vast majority of these models are exactly identified, researchers have traditionally relied upon the informal use of prior information to compare alternative...

Persistent link: https://www.econbiz.de/10005556303

Solving, Estimating and Selecting Nonlinear Dynamic Economic Models without the Curse of Dimensionality

Winschel, Viktor - EconWPA - 2005

A welfare analysis of a risky policy is impossible within a linear or linearized model and its certainty equivalence property. The presented algorithms are designed as a toolbox for a general model class. The computational challenges are considerable and I concentrate on the numerics and...

Persistent link: https://www.econbiz.de/10005556708

Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance

Ramos, Francisco F. R. - EconWPA - 1996

This paper develops a Bayesian vector autoregressive model(BVAR) for the leader of the Portuguese car market to forecast the market share. The model includes five marketing decision variables.The Bayesian prior is selected on the basis of the accuracy of the out-of-sample forecasts. We find that...

Persistent link: https://www.econbiz.de/10005119163

Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market

Radchenko, Stanislav - EconWPA - 2004

Using Markov Chain Monte Carlo algorithms within the limited information Bayesian framework, we estimate the parameters of the structural equation of interest and test weak exogeneity in a simultaneous equation model with white noise as well as autocorrelated error terms. A numerical example and...

Persistent link: https://www.econbiz.de/10005119187

Cointegration in Frequency Domain

Levy, Daniel - EconWPA - 2004

Existence of a cointegration relationship between two time series in the time domain imposes restrictions on the series zero-frequency behaviour in terms of their squared coherence, phase, and gain, in the frequency domain. I derive these restrictions by studying cross-spectral properties of a...

Persistent link: https://www.econbiz.de/10005556273