Time varying dimension models

Journal of Business and Economic Statistics

Volumn 30, Issue 3, 2012, Pages 358-367

  Chan, Joshua C C ^a   Koop, Gary ^b   Leon Gonzalez, Roberto ^c   Strachan, Rodney W ^a  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^c NATIONAL GRADUATE INSTITUTE FOR POLICY STUDIES   (Japan)

Author keywords

Bayesian; Dynamic mixture; Equality restrictions; State space model; Time varying dimension

Indexed keywords

EID: 84864203165     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.2012.663258     Document Type: Article

References (38)

1. Amato, J., and Swanson, N. (2001), "The Real-Time Predictive Content of Money for Output, " Journal of Monetary Economics, 48, 3-24. [358]
2. Ang, A., Bekaert, G., andWei, M. (2007), "Do Macro Variables, AssetMarkets, or Surveys Forecast Inflation Better?" Journal of Monetary Economics, 54, 1163-1212. [361,363]
3. Ballabriga, F., Sebastian, M., and Valles, J. (1999), "European Asymmetries, " Journal of International Economics, 48, 233-253. [360]
4. Banbura, M., Giannone, D., and Reichlin, L. (2010), "Large Bayesian Vector Autoregressions, " Journal of Applied Econometrics, 25, 71-92. [361]
5. Bauwens, L., Koop, G., Korobilis, D., and Rombouts, J. (2011), "The Contribution of Structural Break Models to Forecasting Macroeconomic Time Series, " Rimini Centre for Economic Analysis, working paper, 11-38. [362]
6. Canova, F. (1993), "Modelling and Forecasting Exchange Rates Using a Bayesian Time Varying CoefficientModel, " Journal of Economic Dynamics and Control, 17, 233-262. [358]
7. Canova, F. (2007), Methods for Applied Macroeconomic Research, Princeton: Princeton University Press. [360]
8. Canova, F., and Ciccarelli, M. (2004), "Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model, " Journal of Econometrics, 120, 327-359. [360]
9. Carter, C., and Kohn, R. (1994), "On Gibbs Sampling for State Space Models, " Biometrika, 81, 541-553. [361]
10. Chan, J. C. C., and Jeliazkov, I. (2009), "Efficient Simulation and Integrated Likelihood Estimation in State Space Models, " International Journal of Mathematical Modelling and Numerical Optimisation, 1, 101-120. [361]
11. Chib, S., and Greenberg, E. (1995), "Hierarchical Analysis of SUR Models With Extensions to Correlated Serial Errors and Time-Varying Parameter Models, " Journal of Econometrics, 68, 339-360. [360]
12. Ciccarelli, M., and Rebucci, A. (2002), "The Transmission Mechanism of European Monetary Policy: Is There Heterogeneity? Is It Changing Over Time?, " International Monetary Fund working paper, WP 02/54. [360]
13. Cogley, T., and Sargent, T. (2005), "Drifts and Volatilities: Monetary Policies and Outcomes in the post WWII U.S., " Review of Economic Dynamics, 8, 262-302. [358,363]
14. D'Agostino, A., Gambetti, L., and Giannone, D. (2009), "Macroeconomic Forecasting and Structural Change, " ECARES working paper 2009-2020. [358,361]
15. De Mol, C., Giannone, D., and Reichlin, L. (2008), "Forecasting Using a Large Number of Predictors: Is Bayesian Shrinkage aValid Alternative to Principal Components?, " Journal of Econometrics, 146, 318-328. [361]
16. Diebold, F., and Mariano, R. (1995), "Comparing Predictive Accuracy, " Journal of Business Economics and Statistics, 13, 134-144. [362]
17. Durbin, J., and Koopman, S. (2002), "A Simple and Efficient Simulation Smoother for State Space Time Series Analysis, " Biometrika, 89, 603-616. [361]
18. George, E., Sun, D., and Ni, S. (2008), "Bayesian Stochastic Search for VAR Model Restrictions, " Journal of Econometrics, 142, 553-580. [361]
19. Gerlach, R., Carter, C., and Kohn, R. (2000), "Efficient Bayesian Inference in DynamicMixture Models, " Journal of the American Statistical Association, 95, 819-828. [359,360,361,366]
20. Geweke, J., and Amisano, G. (2011), "Hierarchical Markov Normal Mixture Models With Applications to Financial Asset Returns, " Journal of Applied Econometrics, 26, 1-29. [362]
21. Giacomini, A., andWhite, H. (2006), "Tests of Conditional Predictive Ability, " Econometrica, 74, 1545-1578. [362]
22. Giordani, P., and Kohn, R. (2008), "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models, " Journal of Business and Economic Statistics, 12, 66-77. [359]
23. Giordani, P., Kohn, R., and van Dijk, D. (2007), "A Unified Approach to Nonlinearity, Structural Change and Outliers, " Journal of Econometrics, 137, 112-133. [359]
24. Groen, J., Paap, R., and Ravazzolo, F. (2010), "Real-Time Inflation Forecasting in a Changing World, " Federal Reserve Bank of New York Staff Report Number 388. [358,361]
25. Kim, S., Shephard, N., and Chib, S. (1998), "Stochastic Volatility: Likelihood Inference and ComparisonWith ARCH Models, " Review of Economic Studies, 65, 361-393. [361,363]
26. Koop, G. (2003), Bayesian Econometrics, Chichester: Wiley. [361]
27. Koop, G., and Korobilis, D. (2012), "Forecasting Inflation Using Dynamic Model Averaging, " International Economic Review, forthcoming. [358,361]
28. Koop, G., Leon-Gonzalez, R., and Strachan R. W. (2009), "On the Evolution of the Monetary Policy Transmission Mechanism, " Journal of Economic Dynamics and Control, 33, 997-1017. [359,361]
29. Koop, G., Leon-Gonzalez, R., and Strachan R. W. (2010), "Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve, " Journal of Business and Economic Statistics, 28, 370-379. [358]
30. Koop, G., and Potter, S. (2011), "Time Varying VARs With Inequality Restrictions, " Journal of Economic Dynamics and Control, 35, 1126-1138. [359]
31. Korobilis, D. (2012), "VAR Forecasting Using Bayesian Variable Selection, " Journal of Applied Econometrics, forthcoming. [361]
32. Pesaran, M. H., Pettenuzzo, D., and Timmerman, A. (2006), "Forecasting Time Series Subject to Multiple Structural Breaks, " Review of Economic Studies, 73, 1057-1084. [362,364]
33. Primiceri, G. (2005), "Time Varying Structural Vector Autoregressions and Monetary Policy, " Review of Economic Studies, 72, 821-852. [358,361,363]
34. Raftery, A., Karny, M., Andrysek, J., and Ettler, P. (2010), "Online Prediction Under Model Uncertainty via Dynamic Model Averaging: Application to a Cold Rolling Mill, " Technometrics, 52, 52-66. [361]
35. Staiger, D., Stock, J., and Watson, M. (1997), "The NAIRU, Unemployment and Monetary Policy, " Journal of Economic Perspectives, 11, 33-49. [358]
36. Stock, J., and Watson, M. (2007), "Why has US Inflation Become Harder to Forecast?, " Journal of Money, Credit and Banking, 39, 3-33. [362,365]
37. Stock, J., and Watson, M. (2009), "Phillips Curve Inflation Forecasts, " in Understanding Inflation and the Implications for Monetary Policy, eds., J. Fuhrer, Y. Kodrzycki, J. Little, and G. Olivei, Cambridge: MIT Press, ch. 3, pp. 99-202. [358,361,362,363]
38. Stock, J., andWatson, M. (2010), "Modeling InflationAfter the Crisis, "National Bureau of Economic Research, working paper 16488. [358]