Showing 1 - 10 of 10
A general model is proposed for flexibly estimating the density of a continuous response variable conditional on a possibly high-dimensional set of covariates. The model is a finite mixture of asymmetric student-t densities with covariate dependent mixture weights. The four parameters of the...
Persistent link: https://www.econbiz.de/10008469620
The multivariate split nomal distribution extends the usual multivariate normal distribution by a set of parameters which allows for skewness in the form of contraction/dilation along a subset of the prinicpal axis. The paper derives some properties for this distribution, including its moment...
Persistent link: https://www.econbiz.de/10005190794
A neglected aspect of the otherwise fairly well developed Bayesian analysis of cointegration is the point estimation of the cointegration space. It is pointed out here that, due to the well known non-identification of the cointegration vectors, the parameter space is not an inner product space...
Persistent link: https://www.econbiz.de/10005190812
The degree of empirical support of a priori plausible structures on the cointegration vectors has a central role in the analysis of cointegration. Villani (2000) and Strachan and van Dijk (2003) have recently proposed finite sample Bayesian procedures to calculate the posterior probability of...
Persistent link: https://www.econbiz.de/10005423740
This paper estimates and tests a new Keynesian small open economy model in the tradition of Christiano, Eichenbaum, and Evans (2005) and Smets and Wouters (2003) using Bayesian estimation techniques on Swedish data. To account for the switch to an inflation targeting regime in 1993 we allow for...
Persistent link: https://www.econbiz.de/10005423767
This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the Euro area during 1994Q1-2002Q4. We compare the DSGE model and a few variants of this model to various reduced form forecasting models such as vector autoregressions (VAR) and...
Persistent link: https://www.econbiz.de/10005649034
Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...
Persistent link: https://www.econbiz.de/10005649059
This paper uses an estimated open economy DSGE model to examine if constant interest forecasts one and two years ahead can be regarded as modest policy interventions during the period 1993Q4-2002Q4. An intervention is here defined to be modest if it does not trigger the agents to revise their...
Persistent link: https://www.econbiz.de/10005649081
We propose a general class of flexible models for longitudinal data with special emphasis on discrete-time survival data. The model is a finite mixture model where the subjects are allowed to move between components through time. The time-varying probability of component memberships is modeled...
Persistent link: https://www.econbiz.de/10010818846
Smooth mixtures, i.e. mixture models with covariate-dependent mixing weights, are very useful flexible models for conditional densities. Previous work shows that using too simple mixture components for modeling heteroscedastic and/or heavy tailed data can give a poor fit, even with a large...
Persistent link: https://www.econbiz.de/10008671765