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We propose a method to incorporate information from Dynamic Stochastic General Equilibrium (DSGE) models into Dynamic Factor Analysis. The method combines a procedure previously applied for Bayesian Vector Autoregressions and a Gibbs Sampling approach for Dynamic Factor Models. The factors in...
Persistent link: https://www.econbiz.de/10003923369
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/10013138719
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 out-performs an aggregate autoregressive benchmark, and an aggregate time …
Persistent link: https://www.econbiz.de/10013143818
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
other sources of information. The combination weights are time-varying and may depend on past predictive forecasting … Monte Carlo algorithms to filter the time-varying combination weights. The DeCo procedure has been implemented both for … with a speed up of the execution time up to seventy times compared to a standard CPU Matlab implementation on a multicore …
Persistent link: https://www.econbiz.de/10014158534
from multivariate time series models. We focus our attention in three areas. First, we investigate a new method of … producing fan charts that better communicates the uncertainty present in forecasts from multivariate time series models. Second … the density forecasts from a multivariate time series model to assess the probability of a set of future events occurring …
Persistent link: https://www.econbiz.de/10012989353
be incomplete. Several multivariate time-varying combination strategies are introduced. In particular, a weight dynamics … assessed using statistical and utility-based performance measures for evaluating density forecasts of US macroeconomic time …
Persistent link: https://www.econbiz.de/10013115354
state space representation of the combination weights. Several specifications of multivariate time-varying weights are … the beginning of the 90's and switches to giving more weight to the professional forecasts over time …
Persistent link: https://www.econbiz.de/10013098263
We develop a vector autoregressive model with time variation in the mean and the variance. The unobserved time … the researcher to use a large cross-sectional dimension in a feasible amount of computational time. The slowly changing … standard Bayesian VARs with Minnesota priors, VARs with democratic priors and standard time-varying parameter VARs for the euro …
Persistent link: https://www.econbiz.de/10012924248
specifications of multivariate time-varying weights are introduced with a particular focus on weight dynamics driven by the past …-based performance measures for evaluating density forecasts of US macroeconomic time series and surveys of stock market prices. For the …
Persistent link: https://www.econbiz.de/10013113399