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    Wyświetlanie 1-4 z 4
    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
    Tytuł:
    A Bayesian Analysis of Exogeneity in Models with Latent Variables
    Autorzy:
    Pajor, Anna
    Powiązania:
    https://bibliotekanauki.pl/articles/483331.pdf
    Data publikacji:
    2011
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    exogeneity
    Bayesian cuts
    latent variables
    non-causality
    stochastic volatility
    Opis:
    This paper presents some new results on exogeneity in models with latent variables. The concept of exogeneity is extended to the class of models with latent variables, in which a subset of parameters and latent variables is of interest. Exogeneity is discussed from the Bayesian point of view. We propose sufficient weak and strong exogeneity conditions in the vector error correction model (VECM) with stochastic volatility (SV) disturbances. Finally, an empirical illustration based on the VECM-SV model for the daily growth rates of two main official Polish exchange rates: USD/PLN and EUR/PLN, as well as EUR/USD from the international Forex market is presented. The exogeneity of the EUR/USD rate is examined. The strong exogeneity hypothesis of the EUR/USD rate is not rejected by the data.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2011, 3, 2; 49-73
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes
    Autorzy:
    Kostrzewski, Maciej
    Powiązania:
    https://bibliotekanauki.pl/articles/2076552.pdf
    Data publikacji:
    2015
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    double exponential jump diffusion model
    Kou model
    Bernoulli jump-diffusion model
    MCMC methods
    latent variables
    Opis:
    News might trigger jump arrivals in financial time series. The "bad" news and "good" news seem to have distinct impact. In the research, a double exponential jump distribution is applied to model downward and upward jumps. Bayesian double exponential jump-diffusion model is proposed. Theorems stated in the paper enable estimation of the model’s parameters, detection of jumps and analysis of jump frequency. The methodology, founded upon the idea of latent variables, is illustrated with simulated data.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2015, 1; 43-70
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Satisfaction Drivers in Retail Banking: Comparison
    Autorzy:
    Oleksiak, Monika
    Powiązania:
    https://bibliotekanauki.pl/articles/483291.pdf
    Data publikacji:
    2009
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    satisfaction
    loyalty
    customer satisfaction index models
    banking sector
    structural equation models with latent variables
    structural equations modeling
    partial least squares
    covariance based methods
    Opis:
    The primary goal of the study is to diagnose satisfaction and loyalty drivers in Polish retail banking sector. The problem is approached with Customer Satisfaction Index (CSI) models, which were developed for national satisfaction studies in the United States and European countries. These are multiequation path models with latent variables. The data come from a survey on Poles' usage and attitude towards retail banks, conducted quarterly on a representative sample. The model used in the study is a compromise between author's synthesis of national CSI models and the data constraints. There are two approaches to the estimation of the CSI models: Partial Least Squares - used in national satisfaction studies and Covariance Based Methods (SEM, Lisrel). A discussion is held on which of those two methods is better and in what circumstances. In this study both methods are used. Comparison of their performance is the secondary goal of the study.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2009, 1, 1; 83-102
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-4 z 4

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