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Constructing forecast confidence bands during the financial crisis [[electronic resource] /] / Huigang Chen ... [et al.]
Constructing forecast confidence bands during the financial crisis [[electronic resource] /] / Huigang Chen ... [et al.]
Autore Chen Huigang
Pubbl/distr/stampa [Washington, D.C.], : International Monetary Fund, Research Dept., 2009
Descrizione fisica 23 p. : ill
Collana IMF working paper
Soggetto topico Global Financial Crisis, 2008-2009
Financial crises - United States - Econometric models
Financial crises - European Union countries - Econometric models
Financial crises - Japan - Econometric models
Petroleum products - Prices - United States - Econometric models
Petroleum products - Prices - European Union countries - Econometric models
Petroleum products - Prices - Japan - Econometric models
Interest rates - United States - Econometric models
Interest rates - European Union countries - Econometric models
Interest rates - Japan - Econometric models
Bank loans - United States - Econometric models
Bank loans - European Union countries - Econometric models
Bank loans - Japan - Econometric models
Soggetto genere / forma Electronic books.
ISBN 1-4623-7594-4
1-282-84420-2
1-4527-2887-9
1-4518-7361-1
9786612844201
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNINA-9910463716203321
Chen Huigang  
[Washington, D.C.], : International Monetary Fund, Research Dept., 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Limited information Bayesian model averaging for dynamic panels with short time periods [[electronic resource] /] / prepared by Huigang Chen, Alin Mirestean, and Charalambos G. Tsangarides
Limited information Bayesian model averaging for dynamic panels with short time periods [[electronic resource] /] / prepared by Huigang Chen, Alin Mirestean, and Charalambos G. Tsangarides
Autore Chen Huigang
Pubbl/distr/stampa [Washington D.C.], : International Monetary Fund, 2009
Descrizione fisica 1 online resource (45 p.)
Altri autori (Persone) MiresteanAlin
TsangaridesCharalambos G
Collana IMF working paper
Soggetto topico Panel analysis
Bayesian statistical decision theory
Soggetto genere / forma Electronic books.
ISBN 1-4623-7192-2
1-4527-1274-3
9786612842955
1-4518-7221-6
1-282-84295-1
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Contents; I. Introduction; II. Model Uncertainty in the Bayesian Context; A. Model Selection and Hypothesis Testing; B. Bayesian Model Averaging; C. Choice of Priors; III. Limited Information Bayesian Model Averaging; A. A Dynamic Panel Data Model with Endogenous Regressors; B. Estimation and Moment Conditions; C. The Limited Information Criterion; IV. Monte Carlo Simualtions and Results; A. The Data Generating Process; B. Simulation Results; V. Conclusion; References; Tables; 1. Posterior Probability of the True Model; 2. Posterior Probability Ratio of True Model/Best among the Other Models
3. Probability of Retrieving the True Model4. Model Recovery: Medians and Variances of Posterior Inclusi; 5. Model Recovery: Medians and Variances of Estimated Paramet; 6. Posterior Probability of the True Model (Non-Gaussian Case); 7. Posterior Probability Ratio: True Model/best among the Other Models (Non-Gaussian Case); 8. Probability of Retrieving the True Model (Non-Gaussian Case); 9. Model Recovery: Medians and Variances of Posterior Inclusion Probability for Each Variable (Non-Gaussian Case); 10. Model Recovery: Medians and Variances of Estimated Parameter Values (Non- Gaussian Case)
Appendix A Figures1. Posterior Densities for the Probabilities in Table 1; 2. Posterior Densities for the Probabilities in Table 2; 3. Box Plots for Parameters in Table 5; 4. Posterior Densities for the Probabilities in Table 6; 5. Posterior Densities for the Probabilities in Table 7; 6. Box Plots for Parameters in Table 10
Record Nr. UNINA-9910464070203321
Chen Huigang  
[Washington D.C.], : International Monetary Fund, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui