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which allows for skewness in the form of contraction/dilation along a subset of the prinicpal axis. The paper derives some … properties for this distribution, including its moment generating function, multivariate skewness and kurtosis. Maximum … likelihood estimation is discussed and a complete Bayesian analysis of the multivariate split normal distribution is developed. …
Persistent link: https://www.econbiz.de/10010321327
variables that account for skewness and heavy tails are identically and independently distributed. The second model, ODLV …
Persistent link: https://www.econbiz.de/10013105412
This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as...
Persistent link: https://www.econbiz.de/10011403123
This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH … attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements … the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal …
Persistent link: https://www.econbiz.de/10013156202
Persistent link: https://www.econbiz.de/10011657263
which allows for skewness in the form of contraction/dilation along a subset of the prinicpal axis. The paper derives some … properties for this distribution, including its moment generating function, multivariate skewness and kurtosis. Maximum … likelihood estimation is discussed and a complete Bayesian analysis of the multivariate split normal distribution is developed. …
Persistent link: https://www.econbiz.de/10005190794
We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...
Persistent link: https://www.econbiz.de/10010399681
We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set...
Persistent link: https://www.econbiz.de/10014528602
Persistent link: https://www.econbiz.de/10014502458
Persistent link: https://www.econbiz.de/10011438503