Malek Ben-Abdellatif,Hatem Ben-Ameur,Rim Chérif et al.
Malek Ben-Abdellatif et al.
The estimation of the structural model poses a major challenge because its underlying asset (the firm asset value) is not directly observable. We consider an extended structural model that accommodates alternative underlying Markov processe...
Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods [0.03%]
基于可扩展马尔可夫链蒙特卡洛方法的大规模时变参数回归的动态收缩先验
Niko Hauzenberger,Florian Huber,Gary Koop
Niko Hauzenberger
Time-varying parameter (TVP) regression models can involve a huge number of coefficients. Careful prior elicitation is required to yield sensible posterior and predictive inferences. In addition, the computational demands of Markov Chain Mo...
Borys Koval,Sylvia Frühwirth-Schnatter,Leopold Sögner
Borys Koval
This article considers a stable vector autoregressive (VAR) model and investigates return predictability in a Bayesian context. The bivariate VAR system comprises asset returns and a further prediction variable, such as the dividend-price r...
Ba Chu
Ba Chu
This paper introduces an unbiased estimator based on least squares involving time-specific cross-sectional averages for a first-order panel autoregression with a strictly exogenous covariate. The proposed estimator is straightforward to imp...
Lof, Matthijs
Lof
Pereira, Manuel Coutinho; Lopes, Artur Silva
Pereira
Are income differences within the OECD diminishing? Evidence from Fourier unit root tests [0.03%]
经合组织内部的收入差距正在缩小吗？来自傅里叶单位根检验的证据
King, Alan; Ramlogan-Dobson, Carlyn
King
Goldman, Elena; Nam, Jouahn; Tsurumi et al.
Goldman et al.