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Disaggregated Cost Pass-Through Based Econometric Inflation-Forecasting Model for Hungary
Várpalotai, Viktor - Magyar Nemzeti Bank (MNB) - 2003
-through that provides the uniqueness of the model in terms of economic and econometric theory. …
Persistent link: https://www.econbiz.de/10005178279
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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
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Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors
Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 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/10009000949
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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
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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
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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
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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
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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
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Depression Econometrics: A FAVAR Model of Monetary Policy During the Great Depression
Ahmadi, Pooyan Amir; Ritschl, Albrecht - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10008527070
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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