The Time-Varying Parameter FAVAR Framework
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 ...The framework developed in this paper is very general and ...
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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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Classical time-varying FAVAR models - estimation, forecasting and structural analysis
... the time-varying FAVAR (TV-FAVAR) in two ...over time. The second stage involves estimating the time-varying loading coe!cients, the autoregressive matrices of the factor ...
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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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What lies beneath? A time-varying FAVAR model for the UK transmission mechanism
... a time-varying Factor Augmented VAR to investigate the evolving transmission of monetary policy and demand shocks in the ...of time-varying impulse responses of a large set of macroeconomic ...
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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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Analyze the Effect of Oil Shocks on the U.S. Economy in a Time-Varying-Parameter Structural VAR Framework.
... Chapter 6 Conclusion This paper extends Kilian’s research on oil shocks by using a TVP model and Markov chain Monte Carlo methods. The plot of volatility states suggests there exists a gradually decreasing tendency of ...
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How big is the comeback? Japanese exchange rate pass-through assessed by Time-Varying FAVAR
... We report three main findings: First, our results clearly show that sensitivity to change in the exchange rate varies across disaggregate prices in terms of both magnitude and time variation. However, in most ...
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Inducing sparsity and shrinkage in time-varying parameter models
... ABSTRACT Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is ...
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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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