Showing 1 - 10 of 241
This article develops a new econometric methodology for performing stochastic model specification search (SMSS) in the vast model space of time-varying parameter VARs with stochastic volatility and correlated state transitions. This is motivated by the concern of over-fitting and the typically...
Persistent link: https://www.econbiz.de/10011206979
Vector Autoregressive Moving Average (VARMA) models have many theoretical properties which should make them popular among empirical macroeconomists. However, they are rarely used in practice due to over-parametrization concerns, difficulties in ensuring identification and computational...
Persistent link: https://www.econbiz.de/10011171371
The time-varying parameter vector autoregressive (TVP-VAR) model has been used to successfully model interest rates and other variables. As many short interest rates are now near their zero lower bound (ZLB), a feature not included in the standard TVP-VAR specification, this model is no longer...
Persistent link: https://www.econbiz.de/10011206978
Empirical work in macroeconometrics has mostly restricted to using VARs, even though there are strong theoretical reasons to consider general VARMAs. This is perhaps because estimation of VARMAs is perceived to be challenging. In this article, we develop a Gibbs sampler for the basic VARMA, and...
Persistent link: https://www.econbiz.de/10011107184
We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is fundamental in Bayesian model comparison and Bayesian model averaging. This approach is motivated by the difficulty of obtaining an accurate estimate through existing algorithms that...
Persistent link: https://www.econbiz.de/10011114415
We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is fundamental in Bayesian model comparison and Bayesian model averaging. This approach is motivated by the difficulty of obtaining an accurate estimate through existing algorithms that...
Persistent link: https://www.econbiz.de/10011201593
This article develops a new econometric methodology for performing stochastic model specification search (SMSS) in the vast model space of time-varying parameter VARs with stochastic volatility and correlated state transitions. This is motivated by the concern of over-fitting and the typically...
Persistent link: https://www.econbiz.de/10010904327
We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is fundamental in Bayesian model comparison and Bayesian model averaging. This approach is motivated by the difficulty of obtaining an accurate estimate through existing algorithms that...
Persistent link: https://www.econbiz.de/10010975493
Abstract: Vector Autoregressive Moving Average (VARMA) models have many theoretical properties which should make them popular among empirical macroeconomists. However, they are rarely used in practice due to over-parameterization concerns, difficult - ties in ensuring identification and...
Persistent link: https://www.econbiz.de/10010929173
This paper discusses estimation of US inflation volatility using time varying parameter models, in particular whether it should be modelled as a stationary or random walk stochastic process. Specifying inflation volatility as an unbounded process, as implied by the random walk, conflicts with...
Persistent link: https://www.econbiz.de/10010904219