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Forecasting Productivity Using Information from Firm-Level Data

Bartelsman, Eric J.; Wolf, Zoltán - Tinbergen Institute - 2009

This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...

Persistent link: https://www.econbiz.de/10005016264

Variable Selection and Functional Form Uncertainty in Cross-Country Growth Regressions

Salimans, Tim - Tinbergen Institute - 2011

suggested by new growth theory, while addressing the variable selection problem by means of Bayesian model averaging …. Controlling for variable selection uncertainty, we confirm the evidence in favor of new growth theory presented in several earlier …

Persistent link: https://www.econbiz.de/10008838591

Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility

Bos, Charles S. - Tinbergen Institute - 2008

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

Persistent link: https://www.econbiz.de/10005450762

Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information

Pooter, Michiel D. de; Ravazzolo, Francesco; Dijk, Dick van - Tinbergen Institute - 2007

We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of models that have been used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian inference compared to frequentist estimation techniques,...

Persistent link: https://www.econbiz.de/10005504892

Measuring and Predicting Heterogeneous Recessions

Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Institute - 2011

suggested by the ‘financial accelerator’ theory. Multivariate Markov-switching models that allow for phase shifts between the …

Persistent link: https://www.econbiz.de/10009369369

The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - Tinbergen Institute - 2008

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

Persistent link: https://www.econbiz.de/10005137091

A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model

Kleijn, Richard; Dijk, Herman K. van - Tinbergen Institute - 2001

The failure to describe the time series behaviour of most real exchange rates as temporary deviations from fixed long-term means may be due to time variation of the equilibria themselves, see Engel (2000). We implement this idea using an unobserved components model and decompose the observations...

Persistent link: https://www.econbiz.de/10005137233

The Impact of Central Bank FX Interventions on Currency Components

Beine, Michel; Bos, Charles S.; Laurent, Sebastian - Tinbergen Institute - 2005

1989-2003. We identify the currency components of the mean and the volatility processes of exchange rates using the recent …

Persistent link: https://www.econbiz.de/10005137342

Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging

Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Institute - 2010

The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class of

Persistent link: https://www.econbiz.de/10008838546

Divergent Priors and well Behaved Bayes Factors

Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Institute - 2011

Divergent priors are improper when defined on unbounded supports. Bartlett's paradox has been taken to imply that using improper priors results in ill-defined Bayes factors, preventing model comparison by posterior probabilities. However many improper priors have attractive properties that...

Persistent link: https://www.econbiz.de/10008838626