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    Wyświetlanie 1-5 z 5
    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:
    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
    Tytuł:
    The observational equivalence of natural and unnatural rates of interest
    Autorzy:
    Bystrov, Victor
    Powiązania:
    https://bibliotekanauki.pl/articles/1046640.pdf
    Data publikacji:
    2020
    Wydawca:
    Główny Urząd Statystyczny
    Tematy:
    natural rate of interest
    state-space model
    observational equivalence
    Opis:
    The results of the study presented in this paper demonstrate that a structural model of the natural interest rate, which is consistent with the standard assumptions of the natural rate theory, admits an interpretable, observationally equivalent representation in which a redefined, 'unnatural' equilibrium rate is different from the natural rate in the original model. The alternative representation was obtained by an invertible transformation implemented in the minimal state-space form of the natural-rate model. The identification theory for state-space models is used in the paper to prove the observational equivalence of these two representations. In the alternative representation, the equilibrium interest rate fails to meet the assumption of the natural rate theory, because it depends on past demand shocks. The alternative model, being observationally equivalent, has different implications for the conduct of monetary policy. The problem of observational equivalence arises in relation to natural-rate models because of the inherent unobservability of the natural interest rate; a potential solution to this problem could be the augmentation of the information set which is used to identify and estimate the natural rate.
    Źródło:
    Przegląd Statystyczny; 2019, 66, 3; 183-199
    0033-2372
    Pojawia się w:
    Przegląd Statystyczny
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Offset-free nonlinear Model Predictive Control with state-space process models
    Autorzy:
    Tatjewski, P.
    Powiązania:
    https://bibliotekanauki.pl/articles/229638.pdf
    Data publikacji:
    2017
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    nonlinear control
    predictive control
    offset-free control
    state-space model
    state estimation
    Opis:
    Offset-free model predictive control (MPC) algorithms for nonlinear state-space process models, with modeling errors and under asymptotically constant external disturbances, is the subject of the paper. The main result of the paper is the presentation of a novel technique based on constant state disturbance prediction. It was introduced originally by the author for linear state-space models and is generalized to the nonlinear case in the paper. First the case with measured state is considered, in this case the technique allows to avoid disturbance estimation at all. For the cases with process outputs measured only and thus the necessity of state estimation, the technique allows the process state estimation only - as opposed to conventional approach of extended process-and-disturbance state estimation. This leads to simpler design with state observer/filter of lower order and, moreover, without the need of a decision of disturbance placement in the model (under certain restrictions), as in the conventional approach. A theoretical analysis of the proposed algorithm is provided, under applicability conditions which are weaker than in the conventional approach. The presented theory is illustrated by simulation results of nonlinear processes, showing competitiveness of the proposed algorithms.
    Źródło:
    Archives of Control Sciences; 2017, 27, 4; 595-615
    1230-2384
    Pojawia się w:
    Archives of Control Sciences
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    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
      Wyświetlanie 1-5 z 5

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