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Bayesian analysis of econometric time series models using hybrid integration rules
Moreira, Ajax Reynaldo Bello; Gamerman, Dani - 2015
This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In particular, the dynamic or state-space models, the time-varying vector autoregressive model and the structural vector autoregressive model are considered in detail. Inference...
Persistent link: https://www.econbiz.de/10012234118
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Multivariate spatial regression models
Gamerman, Dani; Moreira, Ajax Reynaldo Bello - 2015
This paper describes the inference procedures required to perform Bayesian inference to some multivariate econometric models. These models have a spatial component built into commonly used multivariate models. In particular, the seemingly unrelated regression and vector autoregressive models are...
Persistent link: https://www.econbiz.de/10012234129
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Bayesian analysis of econometric time series models using hybrid integration rules
Moreira, Ajax; Gamerman, Dani - 2001
This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In particular, the dynamic or state-space models, the time-varying vector autoregressive model and the structural vector autoregressive model are considered in detail. Inference...
Persistent link: https://www.econbiz.de/10011762920
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Bayesian analysis of econometric time series models using hybrid integration rules
Moreira, Ajax; Gamerman, Dani - 2015
This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In particular, the dynamic or state-space models, the time-varying vector autoregressive model and the structural vector autoregressive model are considered in detail. Inference...
Persistent link: https://www.econbiz.de/10012018632
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Multivariate spatial regression models
Gamerman, Dani; Moreira, Ajax - 2015
This paper describes the inference procedures required to perform Bayesian inference to some multivariate econometric models. These models have a spatial component built into commonly used multivariate models. In particular, the seemingly unrelated regression and vector autoregressive models are...
Persistent link: https://www.econbiz.de/10012019328
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Bayesian estimation and model selection in the generalised stochastic unit root model
Yang, Fuyu; Leon-Gonzalez, Roberto - 2010
We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, while allowing the degree of persistence to change over time. In particular...
Persistent link: https://www.econbiz.de/10010270805
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Dynamics in clickthrough and conversion probabilities of paid search advertisements
Castelein, Anoek; Fok, Dennis; Paap, Richard - 2019
empirical research on these dynamics. Gaining insight into the dynamics is crucial for advertisers to develop effective search … transitory and permanent dynamics. Especially for the latter case, dynamic SEA strategies are required for long … adjust text ads and landing pages. Second, advertisers can examine the extent of dynamics in their SEA environment, to …
Persistent link: https://www.econbiz.de/10012114809
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Nowcasting in a pandemic using non-parametric mixed frequency VARs
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced...
Persistent link: https://www.econbiz.de/10012422172
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Nowcasting in a pandemic using non-parametric mixed frequency VARs
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced...
Persistent link: https://www.econbiz.de/10012806441
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Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility
Mertens, Elmar; Nason, James Michael - In: Quantitative Economics 11 (2020) 4, pp. 1485-1520
This paper studies the joint dynamics of U.S. inflation and a term structure of average inflation predictions taken … from the Survey of Professional Forecasters (SPF). We estimate these joint dynamics by combining an unobserved components …
Persistent link: https://www.econbiz.de/10013189722