Showing 1 - 10 of 344
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....
Persistent link: https://www.econbiz.de/10011256933
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using ¯nancial and macroeconomic time series....
Persistent link: https://www.econbiz.de/10004985513
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....
Persistent link: https://www.econbiz.de/10004964452
Persistent link: https://www.econbiz.de/10010690822
Persistent link: https://www.econbiz.de/10010606685
Several frequentist and Bayesian model averaging schemes, including a new one that simultaneously allows for parameter uncertainty, model uncertainty and time varying model weights, are compared in terms of forecast accuracy over a set of simulation experiments. Artificial data are generated,...
Persistent link: https://www.econbiz.de/10010731852
The failure to describe the time series behaviour of most realexchange rates as temporary deviations from fixedlong-term means may be due to time variation of the equilibriathemselves, see Engel (2000). We implement thisidea using an unobserved components model and decompose theobservations on...
Persistent link: https://www.econbiz.de/10011256984
A flexible decomposition of a time series into stochastic cycles under possible non-stationarity is specified, providing both a useful data analysis tool and a very wide model class. A Bayes procedure using Markov Chain Monte Carlo (MCMC) is introduced with a model averaging approach which...
Persistent link: https://www.econbiz.de/10005582389
The failure to describe the time series behaviour of most real exchange rates as temporary deviations from fixed long-term means may be due to time variation of the equilibria themselves, see Engel (2000). We implement this idea using an unobserved components model and decompose the observations...
Persistent link: https://www.econbiz.de/10005137233
Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...
Persistent link: https://www.econbiz.de/10005504938