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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016
. We also show that under our assumptions special care is needed to ensure the asymptotic validity of Bayesian methods of …
Persistent link: https://www.econbiz.de/10011418016
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2014
to ensure the asymptotic validity of Bayesian methods of inference. A simulation study suggests that the frequentist and … Bayesian point and interval estimators we propose are reasonably accurate in finite samples. We also show that using these …
Persistent link: https://www.econbiz.de/10010437938
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Impulse Response Matching Estimators for DSGE Models
Guerrón-Quintana, Pablo - 2016
. We also show that under our assumptions special care is needed to ensure the asymptotic validity of Bayesian methods of …
Persistent link: https://www.econbiz.de/10012997326
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Identification of vector autoregressive models with nonlinear contemporaneous structure
Cordoni, Francesco; Doremus, Nicolas; Moneta, Alessio - 2024
We propose a statistical identification procedure for structural vector autoregressive (VAR) models that present a nonlinear dependence (at least) at the contemporaneous level. By applying and adapting results from the literature on causal discovery with continuous additive noise models to...
Persistent link: https://www.econbiz.de/10013548855
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Dynamic asymmetries in US unemployment
Koop, Gary; Potter, Simon M. - School of Economics, University of Edinburgh - 2004
We examine dynamic asymmetries in US unemployment using non-linear time series models and Bayesian methods. We find …
Persistent link: https://www.econbiz.de/10005369100
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Nowcasting in a pandemic using non-parametric mixed frequency VARs
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using …
Persistent link: https://www.econbiz.de/10012405305
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Scenario generation for IFRS9 purposes using a Bayesian MS-VAR model
Kuchta, Michal - 2021
approach using a Bayesian MS-VAR which is net of these arbitrary components. This method allows for the consistent …
Persistent link: https://www.econbiz.de/10012496739
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Nowcasting in a pandemic using non-parametric mixed frequency VARs
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using …
Persistent link: https://www.econbiz.de/10012501159
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Vector autoregression with varied frequency data
Qian, Hang - Volkswirtschaftliche Fakultät, … - 2010
imputation, regardless of information loss or noises gain. We study a VAR model with varied frequency data in a Bayesian context …
Persistent link: https://www.econbiz.de/10009369606
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State-Dependent Effects of Fiscal Policy.
Fazzari, Steven; Morley, James; Panovska, Irina - School of Economics, UNSW Business School - 2013
model. We provide formal comparisons for nonlinearity in the responses of output to government spending and develop a method …
Persistent link: https://www.econbiz.de/10010754532