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Bayesian MIDAS Penalized Regressions : Estimation, Selection, and Prediction

Mogliani, Matteo - 2019

We propose a new approach to mixed-frequency regressions in a high-dimensional environment that resorts to Group Lasso penalization and Bayesian techniques for estimation and inference. To improve the sparse recovery ability of the model, we also consider a Group Lasso with a spike-and-slab...

Persistent link: https://www.econbiz.de/10012890433

Online estimation of DSGE models

Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2019

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

Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models

Warne, Anders; Coenen, Günter; Christoffel, Kai - 2014

The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...

Persistent link: https://www.econbiz.de/10010412361

A Non-Linear Forecast Combination Procedure for Binary Outcomes

Lahiri, Kajal - 2015

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/10013028905

The usefulness of the median CPI in Bayesian VARs used for macroeconomic forecasting and policy

Meyer, Brent; Zaman, Saeed - 2016

In this paper we investigate the forecasting performance of the median Consumer Price Index (CPI) in a variety of Bayesian vector autoregressions (BVARs) that are often used for monetary policy. Until now, the use of trimmed-mean price statistics in forecasting inflation has often been relegated...

Persistent link: https://www.econbiz.de/10011561107

Investment Forecasting with Multivariate Linear Regression

Fuller, James R. - 2010

The procedure for estimating probabilities of future investment returns using time-shifted indexes is based on the … more market indexes shifted forward in time by one year as the independent variate(s). Furthermore, it is shown that the … a time, which will provide the greatest error reduction; then, the viability of the last variate chosen is assessed by …

Persistent link: https://www.econbiz.de/10014198891

Investment Forecasting With Multivariate Linear Regression

Fuller, James R. - 2010

Persistent link: https://www.econbiz.de/10014072195

Volatility Forecasting and Explanatory Variables : A Tractable Bayesian Approach to Stochastic Volatility

Dorion, Christian; Chapados, Nicolas - 2013

We provide a formulation of stochastic volatility (SV) based on Gaussian process regression (GPR). Forecasting volatility out-of-sample, both simulation and empirical analyses show that our GPR-based stochastic volatility (GPSV) model clearly outperforms SV and GARCH benchmarks, especially at...

Persistent link: https://www.econbiz.de/10014186681

WALS Estimation and Forecasting in Factor-Based Dynamic Models with an Application to Armenia

Magnus, J.R. - 2011

Two model averaging approaches are used and compared in estimating and forecasting dynamic factor models, the well-known BMA and the recently developed WALS. Both methods propose to combine frequentist estimators using Bayesian weights. We apply our framework to the Armenian economy using...

Persistent link: https://www.econbiz.de/10013125420

Online Estimation of DSGE Models

Cai, Michael - 2019

Persistent link: https://www.econbiz.de/10012865218