Temat: space state - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Identification and Estimation of Initial Conditions in Non-Minimal State-Space Models
Autorzy:: Bystrov, Victor
Powiązania:: https://bibliotekanauki.pl/articles/2075239.pdf
Data publikacji:: 2020
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: identification
latent variables
state-space model
redundancy
Opis:: In this paper the identification problem is considered for initial conditions in a non-minimal state-space model that includes interpretable state variables generated by non-stationary stochastic processes. In order to solve the identification problem, structural restrictions are imposed on initial conditions in a state-space model with redundant state variables. The corresponding restricted maximum likelihood estimator of initial conditions is derived. The restricted estimator of initial conditions can be used in order to compute uniquely identified realizations of interpretable latent variables. The identification problem is illustrated analytically using a simple structural economic model
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2020, 4; 413-429
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Using VARs and TVP-VARs with Many Macroeconomic Variables
Autorzy:: Koop, Gary
Powiązania:: https://bibliotekanauki.pl/articles/483265.pdf
Data publikacji:: 2012
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: Bayesian VAR
forecasting
time-varying coefficients
state-space model
Opis:: This paper discusses the challenges faced by the empirical macroeconomist and methods for surmounting them. These challenges arise due to the fact that macroeconometric models potentially include a large number of variables and allow for time variation in parameters. These considerations lead to models which have a large number of parameters to estimate relative to the number of observations. A wide range of approaches are surveyed which aim to overcome the resulting problems. We stress the related themes of prior shrinkage, model averaging and model selection. Subsequently, we consider a particular modelling approach in detail. This involves the use of dynamic model selection methods with large TVP-VARs. A forecasting exercise involving a large US macroeconomic data set illustrates the practicality and empirical success of our approach.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2012, 4, 3; 143-167
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 3.

Tytuł:: Measuring the Natural Rates of Interest in Germany and Italy
Autorzy:: Bystrov, Victor
Powiązania:: https://bibliotekanauki.pl/articles/2076225.pdf
Data publikacji:: 2018
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: natural rate of interest
potential output
euro area
state-space model
Kalman filter
Opis:: In this paper a semi-structural econometric model is implemented in order to estimate the natural rates of interest in two large economies of the Euro Area: Germany an Italy. The estimates suggest that after the financial crisis of 2007–2008 a decrease of the growth rate of potential output and the corresponding natural rate of interest was greater in Italy than in Germany which could have had important implications for the effectiveness of a common monetary policy. Unlike in other studies, it is found that the monetary policy stance was less expansionary in Italy as compared to Germany for the whole after-crisis period.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2018, 4; 333-353
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 4.

Tytuł:: Autocovariance and Linear Transformations of Markov Switching VARMA Processes
Autorzy:: Cavicchioli, Maddalena
Powiązania:: https://bibliotekanauki.pl/articles/2076570.pdf
Data publikacji:: 2014
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: time series
multivariate ARMA
state-space models
Markovchains
changes in regime
autocovariance
linear representations
Opis:: We study the autocovariance structure of a general Markov switching second-order stationary VARMA model. Then we give stable finite order VARMA(p∗, q∗) representations for those M-state Markov switching VARMA(p, q) processes where the observables are uncorrelated with the regime variables. This allows us to obtain sharper bounds for p∗and q∗ with respect to the ones existing in literature. Our results provide new insights into stochastic properties and facilitate statistical inference about the orders of MS-VARMA models and the underlying number of hidden states
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2014, 4; 275-289
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

Artykuł

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