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On the Relationship between the Conditional Mean and Volatility of Stock Returns : A Latent VAR Approach
Kang, Qiang - 2002
We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a...
Persistent link: https://www.econbiz.de/10012787157
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Real-Time Forecasting with a Mixed-Frequency VAR
Schorfheide, Frank - 2013
This paper develops a vector autoregression (VAR) for time series which are observed at mixed frequencies - quarterly and monthly. The model is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. We show how to evaluate the marginal data density to...
Persistent link: https://www.econbiz.de/10013071894
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When is Nonfundamentalness in Vars a Real Problem? an Application to News Shocks
Beaudry, Paul - 2015
When the VAR representation of a times series has a non-fundamental representation, standard SVAR techniques cannot be used to exactly identify the effects of structural shocks. This problem is know to potentially arise when one of the structural shocks represents news about the future. However,...
Persistent link: https://www.econbiz.de/10013017491
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Forecasts in a Slightly Misspecified Finite Order VAR
Müller, Ulrich K. - 2011
in closed-form solutions for the best forecast. When applied to data on 132 U.S. monthly macroeconomic time series, the …
Persistent link: https://www.econbiz.de/10013131235
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Continuous-Time Linear Models
Cochrane, John H. - 2012
models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction …
Persistent link: https://www.econbiz.de/10013104725
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Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models
Cheung, Yin-Wong; Chinn, Menzie David - 2021
estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following … requirements: the forecast and the actual series i) have the same order of integration, ii) are cointegrated, and iii) have a …, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …
Persistent link: https://www.econbiz.de/10013236694
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Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
Brown, Scott J.; Engle, Robert F.; Coulson, N. Edward - 2021
equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting …This paper tests for cointegration between regional output of an industry and national output of the same industry. An … using the shift and share framework often acts as if cointegration does not exist. Data analysis on broad industrial sectors …
Persistent link: https://www.econbiz.de/10013221307
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Business Cycle Anatomy
Angeletos, George-Marios - 2018
We propose a new strategy for dissecting the macroeconomic time series, provide a template for the business-cycle propagation mechanism that best describes the data, and use its properties to appraise models of both the parsimonious and the medium-scale variety. Our findings support the...
Persistent link: https://www.econbiz.de/10012913777
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Implications of Dynamic Factor Models for VAR Analysis
Stock, James H.; Watson, Mark W. - 2022
This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...
Persistent link: https://www.econbiz.de/10013322868
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How to Estimate a VAR after March 2020
Lenza, Michele; Primiceri, Giorgio E. - 2022
This paper illustrates how to handle a sequence of extreme observations—such as those recorded during the COVID-19 pandemic—when estimating a Vector Autoregression, which is the most popular time-series model in macroeconomics. Our results show that the ad-hoc strategy of dropping these...
Persistent link: https://www.econbiz.de/10013406833