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This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, explore the benefits of an SMC variant we call generalized tempering for "online" estimation, and...
Persistent link: https://www.econbiz.de/10012038824
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the … context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time …
Persistent link: https://www.econbiz.de/10008939079
We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...
Persistent link: https://www.econbiz.de/10010475341
Korobilis (2013a). The Bernoulli model, however, is unable to account for model change over time, which is important if the set … of relevant predictors changes over time. To tackle this problem, this paper extends the Bernoulli model by introducing a … novel modeling approach called Markov Dimension Switching (MDS). MDS allows the set of predictors to change over time. The …
Persistent link: https://www.econbiz.de/10011720713
Most macroeconomic indicators failed to capture the sharp economic fluctuations during the Corona crisis in a timely manner. Instead, alternative high-frequency data have been used, aiming to monitor the economic situation. However, these data are often only loosely related to the business cycle...
Persistent link: https://www.econbiz.de/10012395297
We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The conditional mean process has a flexible form that can accommodate both a state space representation and a conventional dynamic regression. The ARMA component introduces serial...
Persistent link: https://www.econbiz.de/10012913784
We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The conditional mean process has a flexible form that can accommodate both a state space representation and a conventional dynamic regression. The ARMA component introduces serial...
Persistent link: https://www.econbiz.de/10012915821
We propose a prior for VAR models that exploits the panel structure of macroeconomic time series while also providing …
Persistent link: https://www.econbiz.de/10013359163
This paper uses forecasts from the European Central Bank's Survey of Professional Forecasters to investigate the relationship between inflation and inflation expectations in the euro area. We use theoretical structures based on the New Keynesian and Neoclassical Phillips curves to inform our...
Persistent link: https://www.econbiz.de/10013111479