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How to go viral: a COVID-19 model with endogenously time-varying parameters

Ho, Paul; Lubik, Thomas A.; Matthes, Christian - 2020

Persistent link: https://www.econbiz.de/10012391064

How to go viral : a COVID-19 model with endogenously time-varying parameters

Ho, Paul; Lubik, Thomas A.; Matthes, Christian - In: Journal of econometrics 232 (2023) 1, pp. 70-86

Persistent link: https://www.econbiz.de/10013472838

A parsimonious approach to stochastic mortality modelling with dependent residuals

Mavros, George; Cairns, Andrew; Kleinow, Torsten; … - 2014

Persistent link: https://www.econbiz.de/10010362818

Estimating VAR's sampled at mixed or irregular spaced frequencies : a Bayesian approach

Chiu, Ching Wai Jeremy; Eraker, Bjørn; Foerster, Andrew; … - 2011

Persistent link: https://www.econbiz.de/10009413004

Bayesian mixed frequency VARs

Eraker, Bjørn; Chiu, Ching Wai Jeremy; Foerster, Andrew; … - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 698-721

Persistent link: https://www.econbiz.de/10011339252

DSGE-based priors for BVARs & quasi-Bayesian DSGE estimation

Filippeli, Thomai; Harrison, Richard; Theodoridis, … - 2018

-Wishart prior for the VAR parameters. Two hyper-parameters control the tightness of the DSGE-implied priors on the autoregressive … coefficients and the residual covariance matrix respectively. Determining these hyper-parameters by selecting the values that …

Persistent link: https://www.econbiz.de/10011886093

DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation

Filippeli, Thomai; Harrison, Richard; Theodoridis, … - 2018

Persistent link: https://www.econbiz.de/10011916302

Importance sampling from posterior distributions using copula-like approximations

Dellaportas, Petros; Tsionas, Efthymios G. - In: Journal of econometrics 210 (2019) 1, pp. 45-57

Persistent link: https://www.econbiz.de/10012303370

Identification and inference with ranking restrictions

Amir Ahmadi, Pooyan; Drautzburg, Thorsten - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 1-39

We propose to add ranking restrictions on impulse-responses to sign restrictions to narrow the identified set in vector autoregressions (VARs). Ranking restrictions come from micro data on heterogeneous industries in VARs, bounds on elasticities, or restrictions on dynamics. Using both a fully...

Persistent link: https://www.econbiz.de/10012432770

Essays in panel data modelling

Juodis, Artūras - 2015

Persistent link: https://www.econbiz.de/10011389184