Bayesian Inference for the Mixed-Frequency VAR Model
In this paper a mixed-frequency VAR à la Mariano & Murasawa (2004) with Markov regime switching in the parameters is estimated by Bayesian inference. Unlike earlier studies, that used the pseuo-EM algorithm of Dempster, Laird & Rubin (1977) to estimate the model, this paper describes how to make use of recent advances in Bayesian inference on mixture models. This way, one is able to surmount some well-known issues connected to inference on mixture models, e.g. the label switching problem. The paper features a numerical simulation study to gauge the model performance in terms of convergence to true parameter values and a small empirical example involving US business cycles.
|Length:||22 : Anh. p.|
|Date of creation:||2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.diw.de/en
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2011.
"MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area,"
International Journal of Forecasting,
Elsevier, vol. 27(2), pages 529-542, April.
- Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2011. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area," International Journal of Forecasting, Elsevier, vol. 27(2), pages 529-542.
- Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area," Economics Working Papers ECO2009/32, European University Institute.
- Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area," CEPR Discussion Papers 7445, C.E.P.R. Discussion Papers.
- Tommaso Proietti & Filippo Moauro, 2004.
"Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints,"
- Tommaso Proietti & Filippo Moauro, 2006. "Dynamic factor analysis with non-linear temporal aggregation constraints," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 55(2), pages 281-300.
- Christopher A. Sims & Tao Zha, 1996.
"Bayesian methods for dynamic multivariate models,"
FRB Atlanta Working Paper No.
96-13, Federal Reserve Bank of Atlanta.
- Christopher A. Sims, 1989.
"A nine variable probabilistic macroeconomic forecasting model,"
Discussion Paper / Institute for Empirical Macroeconomics
14, Federal Reserve Bank of Minneapolis.
- Christopher A. Sims, 1993. "A Nine-Variable Probabilistic Macroeconomic Forecasting Model," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 179-212 National Bureau of Economic Research, Inc.
- Christopher A. Sims, 1992. "A Nine Variable Probabilistic Macroeconomic Forecasting Model," Cowles Foundation Discussion Papers 1034, Cowles Foundation for Research in Economics, Yale University.
- Kadiyala, K. Rao & Karlsson, Sune, 1994.
"Numerical Aspects of Bayesian VAR-modeling,"
SSE/EFI Working Paper Series in Economics and Finance
12, Stockholm School of Economics.
- Kadiyala, K Rao & Karlsson, Sune, 1997. "Numerical Methods for Estimation and Inference in Bayesian VAR-Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(2), pages 99-132, March-Apr.
- John Geweke, 1991. "Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments," Staff Report 148, Federal Reserve Bank of Minneapolis.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
- Zadrozny, Peter, 1988. "Gaussian Likelihood of Continuous-Time ARMAX Models When Data Are Stocks and Flows at Different Frequencies," Econometric Theory, Cambridge University Press, vol. 4(01), pages 108-124, April.
- Robertson, John C & Tallman, Ellis W, 2001.
"Improving Federal-Funds Rate Forecasts in VAR Models Used for Policy Analysis,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 19(3), pages 324-30, July.
- John C. Robertson & Ellis W. Tallman, 1999. "Improving forecasts of the federal funds rate in a policy model," FRB Atlanta Working Paper No. 99-3, Federal Reserve Bank of Atlanta.
- Chang-Jin Kim & Charles R. Nelson, 1998. "Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 188-201, May.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Konstantin A. KHOLODILIN, 2001. "Markov-Switching Common Dynamic Factor Model with Mixed-Frequency Data," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001020, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Ivan Jeliazkov & Rui Liu, 2010. "A model-based ranking of U.S. recessions," Economics Bulletin, AccessEcon, vol. 30(3), pages 2289-2296.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," University of California at Los Angeles, Anderson Graduate School of Management qt9mf223rs, Anderson Graduate School of Management, UCLA.
- Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
- James D. Hamilton, 2010.
"Calling Recessions in Real Time,"
NBER Working Papers
16162, National Bureau of Economic Research, Inc.
- Yasutomo Murasawa & Roberto S. Mariano, 2004.
"Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model,"
Econometric Society 2004 Far Eastern Meetings
710, Econometric Society.
- Roberto S. Mariano & Yasutomo Murasawa, 2004. "Constructing a Coincident Index of Business Cycles without Assuming a One-factor Model," Working Papers 22-2004, Singapore Management University, School of Economics, revised Oct 2004.
- Gary Koop & Dimitris Korobilis, 2009.
"Bayesian Multivariate Time Series Methods for Empirical Macroeconomics,"
Working Paper Series
47_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
- Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
- Koop, Gary & Korobilis, Dimitris, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," MPRA Paper 20125, University Library of Munich, Germany.
- Marin, Jean-Michel & Mengersen, Kerrie & Robert, Christian P., 2005. "Bayesian Modelling and Inference on Mixtures of Distributions," Economics Papers from University Paris Dauphine 123456789/6069, Paris Dauphine University.
- Stephen Goldfeld & Richard Quandt, 1973. "The Estimation of Structural Shifts by Switching Regressions," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 2, number 4, pages 475-485 National Bureau of Economic Research, Inc.
- Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
- Sylvia Fruhwirth-Schnatter, 2004. "Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 143-167, 06.
When requesting a correction, please mention this item's handle: RePEc:diw:diwwpp:dp1172. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bibliothek)
If references are entirely missing, you can add them using this form.