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Bayesian averaging over many dynamic model structures with evidence on the Great Ratios and liquidity trap risk

Strachan, Rodney W.; Dijk, Herman K. van - 2008

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

Persistent link: https://www.econbiz.de/10011377110

Bayesian averaging over many dynamic model structures with evidence on the great ratios and liquidity trap risk

Strachan, Rodney W.; Dijk, Herman K. van - 2008

Persistent link: https://www.econbiz.de/10003774524

Bayes estimates of Markov trends in possibly cointegrated series : an application to US consumption and income

Paap, Richard; Dijk, Herman K. van - 1999

expansion periods.Since a linear combination of such series does not have to be a constant meanprocess, standard cointegration … there exist a cointegration relation between US percapita disposable income and consumption, after correction for …

Persistent link: https://www.econbiz.de/10011301165

Model uncertainty and Bayesian model averaging in vector autoregressive process

Strachan, Rodney W. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003289165

Model uncertainty and Bayesian model averaging in vector autoregressive processes

Strachan, Rodney W. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003290434

Bayes estimates of Markov trends in possibly cointegrated series : an application to US consumption and income

Paap, Richard (contributor); Dijk, Herman K. van (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001722263

Bayes estimates of Markov trends in possibly cointegrated series : an application to U.S. consumption and income

Paap, Richard; Dijk, Herman K. van - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 4, pp. 547-563

Persistent link: https://www.econbiz.de/10001807014

Bayesian near-boundary analysis in basic macroeconomic time series models

Pooter, Michiel de; Ravazzolo, Francesco; Segers, Rene; … - 2008

Persistent link: https://www.econbiz.de/10003754318

Quantifying time-varying forecast uncertainty and risk for the real price of oil

Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021

Persistent link: https://www.econbiz.de/10012628398

Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil

Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021

We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil …, estimation of time-varying forecast biases and facets of miscalibration of individual forecast densities and time-varying inter …-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach …

Persistent link: https://www.econbiz.de/10012795319