time-varying parameter
Large time varying parameter VARs
... for parameter change. That is, it is common to work with time-varying parameter VARs (TVP- VARs) where the VAR coefficients evolve over time and multivariate stochastic volatility is ...
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Time varying parameter models for catchments with land use change: the importance of model structure
... the time-varying pa- rameter framework with state updating improved stream- flow prediction in post-change conditions compared to the time-invariant parameter ...unrealistic ...
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Variational Bayes inference in high dimensional time varying parameter models
... that time-varying parameter models might become the norm in econometric inference since (as he illustrated via White’s theorem) generic time- varying parameter (TVP) models can ...
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Hierarchical Shrinkage in Time-varying Parameter Models
... of parameter change in macro- economic variables (see, among many others, Stock and Watson, 1996, Cogley and Sargent, 2001, 2005, Primiceri 2005, Sims and Zha, 2006, and D’Agostino, Gambetti and Giannone, ...such ...
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Model switching and model averaging in time-varying parameter regression models
... over time. In time series econometrics, motivated by strong empirical evidence of structural breaks or other forms of parameter change in many economic variables, models where parameters change over ...
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Three Applications of Time-Varying Parameter and Stochastic Volatility Models to the Malaysian and Australian Economy
... of time-variation within the propagation mech- anism of Malaysian monetary policy on all the ...is time-variation in the variance-covariance matrix of the shocks of the model, not the VAR ...a ...
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Hierarchical shrinkage in time varying parameter models
... using time-varying parameter models. The facts that time-varying parameter mod- els are parameter-rich and the time span of our data is relatively short mo- tivate ...
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Model Switching and Model Averaging in Time-Varying Parameter Regression Models
... over time. In time series econometrics, motivated by strong empirical evidence of structural breaks or other forms of parameter change in many economic variables, models where parameters change over ...
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Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility
... In this paper, we consider two semiparametric extensions of the TVP-SV model, utilising a popular Bayesian prior for modelling unknown distributions, the Dirichlet process (DP) prior (Ferguson, 1973). We first use this ...
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Large time-varying parameter VARs
... large time-varying parameter vector autoregressive models ...in time, but a smaller TVP-VAR at ...a time- varying manner, the parameter(s) of the shrinkage priors ...
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Are determinants of portfolio flows always the same? South African results from a time varying parameter VAR model
... the time-varying parameters of our ...such time variation to be highly ...constant parameter model, but includes dummy variables to control for changes in the relationships during and after ...
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Online Monitoring for Industrial Processes Quality Control Using Time Varying Parameter Model
... In the recent decades, the process control and monitoring have been affected by modern control methods. Due to high importance of some key variables that are hardly measurable in divers’ processes, it is indispensable ...
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The Japanese Quantitative Easing Policy under Scrutiny: A Time Varying Parameter Factor Augmented VAR Model
... in time, more particularly inside the second regime detected in chapter ...of time-varying parameters in the FAVAR model (TVP-FAVAR), developed by Koop and Korobilis ...
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Analyze the Effect of Oil Shocks on the U.S. Economy in a Time-Varying-Parameter Structural VAR Framework.
... there exists an unexplained exploding structural impulse responses during the Iranian revolution period, but the unit root disappears for non-structural impulse responses. This paper also compares with TVP, ...
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Analysis of time varying parameter models
... Our purpose in the present section is to suggest a computationally feasible estimation procedure which yields an asymptotically efficient estimator of the parameter 0. Throughout this section we assume that y t is ...
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Global End Use Demand for Cotton: A Time Varying Parameter Model
... with varying parameters this study will attempt to investigate the varying impacts of factors such as promotion, taste, and the business cycle on cotton in the developed ...a time- varying ...
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Brazilian foreign trade : fixed and time varying parameter models
... H., 1978, et alii "Econometric Modelling Time Series of the Aggregate Relationship Between Consumer's Expenditure and Income in the United Kingdom, The Economic Journal, 88,661-692.. Pol[r] ...
320
Further Promotion of Quadratic Time-Varying Parameters Discrete Grey Model
... quadratic time-varying linear parameter grey discrete prediction model (QTDGM) is established by using the constructed positive real order weakening buffer ...linear time-varying ...
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Time-Varying Monetary Policy Reaction Function: The Case of Iran
... a time-varying parameter monetary growth rate reaction function for monetary policy in ...and time-varying parameters, a two-step procedure is employed in estimation of the time- ...
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Extending the NAWM with a partial indexation mechanism linking wages and trend productivitiy
... where the possibly time-varying parameter ϕt > 1 is inversely related to the intratemporal elasticity of substitution between the differentiated labour services supplied by the household[r] ...
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