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Prior selection for panel vector autoregressions

Korobilis, Dimitris - 2015

There is a vast literature that specifies Bayesian shrinkage priors for vector autoregressions (VARs) of possibly large … develop priors for panel VARs (PVARs). The parametric and semi-parametric priors I suggest not only perform valuable shrinkage … setting. Monte Carlo evidence and an empirical forecasting exercise show clear and important gains of the new priors compared …

Persistent link: https://www.econbiz.de/10015247498

Model Uncertainty in Panel Vector Autoregressive Models

Koop, Gary; Korobilis, Dimitris - 2014

We develop methods for Bayesian model averaging (BMA) or selection (BMS) in Panel Vector Autoregressions (PVARs). Our approach allows us to select between or average over all possible combinations of restricted PVARs where the restrictions involve interdependencies between and heterogeneities...

Persistent link: https://www.econbiz.de/10015243893

Bayesian Analysis of DSGE Models with Regime Switching

Eo, Yunjong - 2008

I estimate DSGE models with recurring regime changes in monetary policy (inflation target and reaction coefficients), technology (growth rate and volatility), and/or nominal price rigidities. In the models, agents are assumed to know deep parameter values but make probabilistic inference about...

Persistent link: https://www.econbiz.de/10015215980

Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn

Bušs, Ginters - 2009

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...

Persistent link: https://www.econbiz.de/10015218160

Forecasting in vector autoregressions with many predictors

Korobilis, Dimitris - 2008

This paper addresses the issue of improving the forecasting performance of vector autoregressions (VARs) when the set …

Persistent link: https://www.econbiz.de/10015220712

VAR forecasting using Bayesian variable selection

Korobilis, Dimitris - 2009

This paper develops methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs … Carlo experiment, and in forecasting 4 macroeconomic series of the UK using time-varying parameters vector autoregressions … (TVP-VARs). Restricted models consistently improve upon their unrestricted counterparts in forecasting, showing the merits …

Persistent link: https://www.econbiz.de/10015220713

Marginal Likelihood Estimation with the Cross-Entropy Method

Chan, Joshua; Eisenstat, Eric - 2012

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/10015232948

Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation?

Lanne, Markku; Luoto, Jani - 2012

We propose a new methodology for ranking in probability the commonly proposed drivers of inflation in the New Keynesian model. The approach is based on Bayesian model selection among restricted VAR models, each of which embodies only one or none of the candidate variables as the driver....

Persistent link: https://www.econbiz.de/10015234126

Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation

Yin, Ming - 2015

In this paper, we propose using Bayesian sequential Monte Carlo (SMC) algorithm to estimate the univariate Gaussian mixture autoregressive (GMAR) model. The prominent benefit of the Bayesian approach is that the stationarity restriction required by the GAMR model can be straightforwardly imposed...

Persistent link: https://www.econbiz.de/10015261038

Forecasting Aluminum Prices with Commodity Currencies

Pincheira, Pablo; Hardy, Nicolás - 2019

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

Persistent link: https://www.econbiz.de/10015265738