摘要翻译:
本文提出了一种简单的算法来实现大时变参数向量自回归(TVP-VARs)中每个系数的混合新息分量的推理。我们通过一个依赖于冲击绝对大小的潜在阈值过程来近似驱动系数时变的潜在指标,从而显著地减少了计算负担。通过两个应用实例说明了该方法的优点。首先,我们对美国利率期限结构进行了预测,并证明了所提出的混合创新模型相对于其他基准模型的预测收益。其次,我们将我们的方法应用于美国宏观经济数据,并发现了货币政策紧缩的时变效应的重要证据。
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英文标题:
《Should I stay or should I go? A latent threshold approach to large-scale
mixture innovation models》
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作者:
Florian Huber, Gregor Kastner, Martin Feldkircher
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最新提交年份:
2018
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分类信息:
一级分类:Statistics 统计学
二级分类:Methodology 方法论
分类描述:Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计,调查,模型选择,多重检验,多元方法,信号和图像处理,时间序列,平滑,空间统计,生存分析,非参数和半参数方法
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一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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一级分类:Statistics 统计学
二级分类:Applications 应用程序
分类描述:Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学,教育学,流行病学,工程学,环境科学,医学,物理科学,质量控制,社会科学
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一级分类:Statistics 统计学
二级分类:Computation 计算
分类描述:Algorithms, Simulation, Visualization
算法、模拟、可视化
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英文摘要:
This paper proposes a straightforward algorithm to carry out inference in large time-varying parameter vector autoregressions (TVP-VARs) with mixture innovation components for each coefficient in the system. We significantly decrease the computational burden by approximating the latent indicators that drive the time-variation in the coefficients with a latent threshold process that depends on the absolute size of the shocks. The merits of our approach are illustrated with two applications. First, we forecast the US term structure of interest rates and demonstrate forecast gains of the proposed mixture innovation model relative to other benchmark models. Second, we apply our approach to US macroeconomic data and find significant evidence for time-varying effects of a monetary policy tightening.
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PDF链接:
https://arxiv.org/pdf/1607.04532