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Author : Mattias Villani
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (186 download)
Download or read book Inference in Vector Autoregressive Models with an Informative Prior on the Steady State written by Mattias Villani and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Meredith J. Beechey
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book A Bayesian Vector Autoregressive Model with Informative Steady-State Priors for the Australian Economy written by Meredith J. Beechey and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article applies a Bayesian vector autoregressive model with informative steady-state priors to a parsimonious model of the Australian economy. The model captures economic linkages among key Australian and US variables and is estimated on quarterly data from 1985 to 2006. An out-of-sample forecast exercise shows that the model with informative steady-state priors generally outperforms a traditional Bayesian vector autoregressive model as well as naïve forecasts. The model can also be used to generate density forecasts and analyse alternative scenarios, which we illustrate with the effect on the Australian economy of a substantial real depreciation of the US dollar.
Author : Christiane Baumeister
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (917 download)
Download or read book Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information written by Christiane Baumeister and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper makes the following original contributions to the literature. (1) We develop a simpler analytical characterization and numerical algorithm for Bayesian inference in structural vector autoregressions that can be used for models that are overidentified, just-identified, or underidentified. (2) We analyze the asymptotic properties of Bayesian inference and show that in the underidentified case, the asymptotic posterior distribution of contemporaneous coefficients in an n-variable VAR is confined to the set of values that orthogonalize the population variance-covariance matrix of OLS residuals, with the height of the posterior proportional to the height of the prior at any point within that set. For example, in a bivariate VAR for supply and demand identified solely by sign restrictions, if the population correlation between the VAR residuals is positive, then even if one has available an infinite sample of data, any inference about the demand elasticity is coming exclusively from the prior distribution. (3) We provide analytical characterizations of the informative prior distributions for impulse-response functions that are implicit in the traditional sign-restriction approach to VARs, and note, as a special case of result (2), that the influence of these priors does not vanish asymptotically. (4) We illustrate how Bayesian inference with informative priors can be both a strict generalization and an unambiguous improvement over frequentist inference in just-identified models. (5) We propose that researchers need to explicitly acknowledge and defend the role of prior beliefs in influencing structural conclusions and illustrate how this could be done using a simple model of the U.S. labor market.
Author : Søren Johansen
Publisher : Oxford University Press, USA
ISBN 13 : 0198774508
Total Pages : 280 pages
Book Rating : 4.1/5 (987 download)
Download or read book Likelihood-based Inference in Cointegrated Vector Autoregressive Models written by Søren Johansen and published by Oxford University Press, USA. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author : Mr.Jeronimo Zettelmeyer
Publisher : International Monetary Fund
ISBN 13 : 1589067886
Total Pages : 179 pages
Book Rating : 4.5/5 (89 download)
Download or read book Who's Driving Whom? Analyzing External and Intra-Regional Linkages in the Americas written by Mr.Jeronimo Zettelmeyer and published by International Monetary Fund. This book was released on 2008-10-09 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a global economy beset by concerns over a growth recession, financial volatility, and rising inflation, countries in the Western Hemisphere have been among the few bright spots in recent years. This has not come as a surprise to those following the significant progress achieved by many countries in recent years, both in macroeconomic management and on the structural and institutional front. Hence, there can be little doubt, as this book argues, that economic and financial linkages between Latin America, the United States, and other important regions of the world economy have undergone profound change.
Author : John Geweke
Publisher : Oxford University Press
ISBN 13 : 0191618268
Total Pages : 576 pages
Book Rating : 4.1/5 (916 download)
Download or read book The Oxford Handbook of Bayesian Econometrics written by John Geweke and published by Oxford University Press. This book was released on 2011-09-29 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian econometric methods have enjoyed an increase in popularity in recent years. Econometricians, empirical economists, and policymakers are increasingly making use of Bayesian methods. This handbook is a single source for researchers and policymakers wanting to learn about Bayesian methods in specialized fields, and for graduate students seeking to make the final step from textbook learning to the research frontier. It contains contributions by leading Bayesians on the latest developments in their specific fields of expertise. The volume provides broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing. It reviews the state of the art in Bayesian econometric methodology, with chapters on posterior simulation and Markov chain Monte Carlo methods, Bayesian nonparametric techniques, and the specialized tools used by Bayesian time series econometricians such as state space models and particle filtering. It also includes chapters on Bayesian principles and methodology.
Author : Soren Johansen
Publisher :
ISBN 13 :
Total Pages : 278 pages
Book Rating : 4.:/5 (473 download)
Download or read book Likelihood-Based Inference in Cointegrated Vector Autoregressive Models written by Soren Johansen and published by . This book was released on with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Edward P. Herbst
Publisher : Princeton University Press
ISBN 13 : 0691161089
Total Pages : 295 pages
Book Rating : 4.6/5 (911 download)
Download or read book Bayesian Estimation of DSGE Models written by Edward P. Herbst and published by Princeton University Press. This book was released on 2015-12-29 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations. Bayesian Estimation of DSGE Models is essential reading for graduate students, academic researchers, and practitioners at policy institutions.
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1455208868
Total Pages : 28 pages
Book Rating : 4.4/5 (552 download)
Download or read book Price Dynamics in China written by International Monetary Fund and published by International Monetary Fund. This book was released on 2010-09-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chinese inflation, particularly non-food inflation, has been surprisingly modest in recent years. We find that supply factors, including those captured through upstream foreign commodity and producer prices, have been important drivers of non-food inflation, as has foreign demand for Chinese goods. Domestic demand and monetary conditions seem less important, possibly reflecting a large domestic output gap generated by many years of high investment. Inflation varies systemically within China, with richer (and urban) provinces having lower, more stable, inflation, but this urban inflation also influence that in lower-income provinces. Higher Mainland food inflation also raises inflation in non-Mainland China.
Author : Andrew Gelman
Publisher : CRC Press
ISBN 13 : 1439840954
Total Pages : 677 pages
Book Rating : 4.4/5 (398 download)
Download or read book Bayesian Data Analysis, Third Edition written by Andrew Gelman and published by CRC Press. This book was released on 2013-11-01 with total page 677 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now in its third edition, this classic book is widely considered the leading text on Bayesian methods, lauded for its accessible, practical approach to analyzing data and solving research problems. Bayesian Data Analysis, Third Edition continues to take an applied approach to analysis using up-to-date Bayesian methods. The authors—all leaders in the statistics community—introduce basic concepts from a data-analytic perspective before presenting advanced methods. Throughout the text, numerous worked examples drawn from real applications and research emphasize the use of Bayesian inference in practice. New to the Third Edition Four new chapters on nonparametric modeling Coverage of weakly informative priors and boundary-avoiding priors Updated discussion of cross-validation and predictive information criteria Improved convergence monitoring and effective sample size calculations for iterative simulation Presentations of Hamiltonian Monte Carlo, variational Bayes, and expectation propagation New and revised software code The book can be used in three different ways. For undergraduate students, it introduces Bayesian inference starting from first principles. For graduate students, the text presents effective current approaches to Bayesian modeling and computation in statistics and related fields. For researchers, it provides an assortment of Bayesian methods in applied statistics. Additional materials, including data sets used in the examples, solutions to selected exercises, and software instructions, are available on the book’s web page.
Author : Anna Krivelyova
Publisher :
ISBN 13 :
Total Pages : 74 pages
Book Rating : 4.:/5 (376 download)
Download or read book A Spatial Prior for Bayesian Vector Autoregressive Models written by Anna Krivelyova and published by . This book was released on 1997 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gary Koop
Publisher : Now Publishers Inc
ISBN 13 : 160198362X
Total Pages : 104 pages
Book Rating : 4.6/5 (19 download)
Download or read book Bayesian Multivariate Time Series Methods for Empirical Macroeconomics written by Gary Koop and published by Now Publishers Inc. This book was released on 2010 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.
Author :
Publisher :
ISBN 13 :
Total Pages : 736 pages
Book Rating : 4.3/5 ( download)
Download or read book IMF Staff Papers written by and published by . This book was released on 2008 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lutz Kilian
Publisher : Cambridge University Press
ISBN 13 : 1107196574
Total Pages : 757 pages
Book Rating : 4.1/5 (71 download)
Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Author : International Monetary Fund. Western Hemisphere Dept.
Publisher : International Monetary Fund
ISBN 13 : 1589066421
Total Pages : 46 pages
Book Rating : 4.5/5 (89 download)
Download or read book Regional Economic Outlook, April 2007, Western Hemisphere written by International Monetary Fund. Western Hemisphere Dept. and published by International Monetary Fund. This book was released on 2007-04-12 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past year has been one of strong economic performance for the Western Hemisphere, notwithstanding somewhat slower growth in the United States in recent quarters. Can this performance be sustained, and what challenges does the region face? Reviewing macroeconomic prospects and risks, this report pays particular attention to the influence of the external environment on Latin America, and addresses the question of whether Latin America has now succeeded in breaking with its history of periodic growth reversals.
Author : Domenico Giannone
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (129 download)
Download or read book Prior Selection for Vector Autoregressions written by Domenico Giannone and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables. A solution to this problem is to use informative priors, in order to shrink the richly parameterized unrestricted model towards a parsimonious naïve benchmark, and thus reduce estimation uncertainty. This paper studies the optimal choice of the informativeness of these priors, which we treat as additional parameters, in the spirit of hierarchical modeling. This approach is theoretically grounded, easy to implement, and greatly reduces the number and importance of subjective choices in the setting of the prior. Moreover, it performs very well both in terms of out-of-sample forecasting--as well as factor models--and accuracy in the estimation of impulse response functions.
Author : Giovanni Petris
Publisher : Springer Science & Business Media
ISBN 13 : 0387772383
Total Pages : 258 pages
Book Rating : 4.3/5 (877 download)
Download or read book Dynamic Linear Models with R written by Giovanni Petris and published by Springer Science & Business Media. This book was released on 2009-06-12 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: State space models have gained tremendous popularity in recent years in as disparate fields as engineering, economics, genetics and ecology. After a detailed introduction to general state space models, this book focuses on dynamic linear models, emphasizing their Bayesian analysis. Whenever possible it is shown how to compute estimates and forecasts in closed form; for more complex models, simulation techniques are used. A final chapter covers modern sequential Monte Carlo algorithms. The book illustrates all the fundamental steps needed to use dynamic linear models in practice, using R. Many detailed examples based on real data sets are provided to show how to set up a specific model, estimate its parameters, and use it for forecasting. All the code used in the book is available online. No prior knowledge of Bayesian statistics or time series analysis is required, although familiarity with basic statistics and R is assumed.
