Narrow search
Showing 1 - 10 of 21,706
Cover Image
Hierarchical shrinkage priors for dynamic regressions with many predictors
KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011
This paper builds on a simple unified representation of shrinkage Bayes estimators based on hierarchical Normal-Gamma priors. Various popular penalized least squares estimators for shrinkage and selection in regression models can be recovered using this single hierarchical Bayes formulation....
Persistent link: https://www.econbiz.de/10010610451
Cover Image
Hierarchical shrinkage priors for dynamic regressions with many predictors
Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2011
This paper builds on a simple unified representation of shrinkage Bayes estimators based on hierarchical Normal-Gamma priors. Various popular penalized least squares estimators for shrinkage and selection in regression models can be recovered using this single hierarchical Bayes formulation....
Persistent link: https://www.econbiz.de/10009004835
Cover Image
Macro modelling with many models
Bache, Ida Wolden; Mitchell, James; Ravazzolo, Francesco; … - Norges Bank - 2009
uncertainties; and the resulting ensemble `integrates out' these uncertainties using time-varying weights on the components. We …
Persistent link: https://www.econbiz.de/10004976646
Cover Image
Depression Econometrics: A FAVAR Model of Monetary Policy During the Great Depression
Ahmadi, Pooyan Amir; Ritschl, Albrecht - C.E.P.R. Discussion Papers - 2009
therefore adopt the FAVAR methodology of Bernanke, Boivin, and Eliasz [2005], aggregating a large number of time series into a … systematic policy through conditional forecasts of key time series at critical junctures, taken with and without the policy …
Persistent link: https://www.econbiz.de/10008558583
Cover Image
Depression Econometrics: A FAVAR Model of Monetary Policy During the Great Depression
Ahmadi, Pooyan Amir; Ritschl, Albrecht - Centre for Economic Performance, LSE - 2010
therefore adopt the FAVAR methodology of Bernanke, Boivin, and Eliasz (2005), aggregating a large number of time series into a … systematic policy through conditional forecasts of key time series at critical junctures, taken with and without the policy …
Persistent link: https://www.econbiz.de/10008542752
Cover Image
Forecast densities for economic aggregates from disaggregate ensembles
Ravazzolo, Francesco; Vahey, Shaun P. - Norges Bank - 2010
the aggregate by using time-varying weights on the component forecast densities. In our application, we use the … combining the evidence from 11 disaggregate series outperforms an aggregate autoregressive benchmark, and an aggregate time …
Persistent link: https://www.econbiz.de/10008516805
Cover Image
Forecast Densities for Economic Aggregates from Disaggregate Ensembles
Ravazzolo, Francesco; Vahey, Shaun P. - College of Business and Economics, Australian National … - 2010
the aggregate by using time-varying weights on the component forecast densities. In our application, we use the … combining the evidence from 11 disaggregate series outperforms an aggregate autoregressive benchmark, and an aggregate time …
Persistent link: https://www.econbiz.de/10008620637
Cover Image
Forecast Densities for Economic Aggregates from Disaggregate Ensembles
Ravazzolo, Francesco; Vahey, Shaun P. - Crawford School of Public Policy, Australian National … - 2010
the aggregate by using time-varying weights on the component forecast densities. In our application, we use the … combining the evidence from 11 disaggregate series outperforms an aggregate autoregressive benchmark, and an aggregate time …
Persistent link: https://www.econbiz.de/10010607781
Cover Image
Decomposing Federal Funds Rate forecast uncertainty using time-varying Taylor rules and real-time data
Mandler, Martin - In: The North American Journal of Economics and Finance 23 (2012) 2, pp. 228-245
estimated and analyzed using a real-time data set for the U.S. …
Persistent link: https://www.econbiz.de/10010886100
Cover Image
OUTPUT GAP MEASURES FOR PAKISTAN: METHODOLIGIES AND CHALLENGES FOR THE MONETARY POLICY
SYED, Sarfaraz; SHAH, Ali - In: Journal of Applied Research in Finance Bi-Annually I (2009) 2, pp. 206-227
scenarios the results indicate that the central bank has over most of the time adopted an accommodative monetary policy not …
Persistent link: https://www.econbiz.de/10010851965