Estimated time varying b parameter in the initial
Analysis of time varying parameter models
... 3.3 A s y m p t o t i c Pro p e r t i e s o f Spectral E s t i m a t o r s Our purpose in the present section is to suggest a computationally feasible estimation procedure which yields an asymptotically efficient ...
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Large time-varying parameter VARs
... shrinkage parameter, , a forgetting factor, , which controls the degree of time-variation in the VAR coefficients and a decay factor, , which is used in the EWMA estimation of the error covariance ...in ...
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Large time varying parameter VARs
... implementations (i.e. different treatments of forgetting factors or methods of predictive simulation) lead to similar MSFEs. Overall, we are finding that large TVP-VARs tend to forecast better than small or medium ones, ...
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Large Time-Varying Parameter VARs
... If we consider results for TVP-VARs of a …xed dimension, it can be seen that our di¤erent implementations (i.e. di¤erent treatments of forgetting factors or methods of predictive simu- lation) lead to similar MSFEs. ...
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Large time-varying parameter VARs
... With regards to the issue of TVP-VAR dimensionality, there is no single dimension that dom- inates. Sometimes the dimension-switching feature of our TVP-VAR-DMS approach leads to the best forecasting performance, but ...
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Hierarchical Shrinkage in Time-varying Parameter Models
... We present results using both the h = 1 and h = 12 models. Table 1 presents results for the predictors, Table 2 for the lags and Table 3 for the monthly dummies. Note first that ω 2 tends to be much smaller than τ 2 . ...
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Hierarchical shrinkage in time varying parameter models
... Empirical Appendix In this sub-section, we present results for a few additional specifications to show that the results in the body of the paper are robust. Results are presented in the same format as in Tables 4 through ...
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Hierarchical Shrinkage in Time-Varying Parameter Models
... Empirical Appendix In this sub-section, we present results for a few additional specifications to show that the results in the body of the paper are robust. Results are presented in the same format as in Tables 4 through ...
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Hierarchical shrinkage in time-varying parameter models
... In this sub-section, we present results for a few additional specifications to show that the results in the body of the paper are robust. Results are presented in the same format as in Tables 4 through 7. That is ...
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Achieving shrinkage in a time-varying parameter model framework
... a time- varying covariance matrix based on a sparse TVP Cholesky SV model for a multivariate time series of returns of the DAX-30 ...sparse time-varying parameter VAR models ...
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Inducing sparsity and shrinkage in time-varying parameter models
... Austria; b Department of Economics, University of Strathclyde, Glasgow, UK; c European Central Bank, Frankfurt am Main, Germany ABSTRACT Time-varying parameter (TVP) models have the potential ...
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Time varying parameter and fixed parameter linear AIDS : an application to tourism demand forecasting
... over time, so that the dynamics of changing economic regimes, especially serious structural breaks, can be readily ...the time varying parameter (TVP) model has shown obvious superiority in ...
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Time Varying Parameter and Fixed Parameter Linear AIDS: An Application to Tourism Demand Forecasting
... the time varying characteristics of the coefficients in the demand model, the reasons why the parameters in the demand model vary over time in different manners remains ...
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Brazilian foreign trade : fixed and time varying parameter models
... formation. The use of such variable can be criticised on the grounds that the capital goods imports is one of the components used to calculate the gross capital[r] ...
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Specification tests for time-varying parameter models with stochastic volatility
... Nevertheless, this easier approach cannot be directly applied in our setting due to two related issues. First, the value 0 is at the boundary of parameter space of ω 2 h —therefore the Savage-Dickey density ratio ...
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A General Framework for Observation Driven Time-Varying Parameter Models
... Finally, there are various computational details that need to be studied in further detail. Three issues of particular interest are: finding starting values, finding the required degree of information smoothing for the ...
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Monetary Policy and Time Varying Parameter Vector Autoregression Model
... a time-varying parameter vector autoregressive model with sign restrictions which is estimated by using Bayesian ...in time and use this indicator instead of a visual ...
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Forecasting tourist arrivals using time-varying parameter structural time series models
... structural time series ...the initial TVP- STSM, the trend, seasonal and irregular components are specified as stochastic, and the cycle component is only included if strong evidence is shown in a ...the ...
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Model switching and model averaging in time-varying parameter regression models
... 4 Conclusions The Bayesian empirical researcher often faces a trade-o¤ between the desire to work with a fully speci…ed Bayesian model and the computational burden that use of MCMC methods imposes. In the DMA literature, ...
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Model Switching and Model Averaging in Time-Varying Parameter Regression Models
... Smoothed Model Probabilities, Regressor: No Change Forecasts Figure 2 The model probabilities in Figure 2 are smoothed estimates based on the entire sam- ple. Such a …gure is of interest for a retrospective analysis ...
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