A Non-Bayesian Method of Estimating Distributed Lag Coefficients with Smoothness Priors PDF Download
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Author: S. S. Thurman
Publisher:
ISBN:
Category : Distributed lags (Economics)
Languages : en
Pages : 30
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Book Description
Author: S. S. Thurman
Publisher:
ISBN:
Category : Distributed lags (Economics)
Languages : en
Pages : 30
Get Book Here
Book Description
Author: S. S. Thurman
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 46
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Book Description
Author: STANFORD UNIV CALIF DEPT OF STATISTICS.
Publisher:
ISBN:
Category :
Languages : en
Pages : 14
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Book Description
Shiller's distributed lag estimator based on a smoothness prior demonstrates the potential of the Bayesian approach to statistical model building. Nevertheless, when the number of significant lag coefficients is small the assumption of smoothness of the pattern of the lag coefficients may not be appropriate. In this paper, to cover such a situation, the smoothness is assumed for the behavior of the coefficients viewed in the frequency domain. This definition leads to a smoothness prior with a particularly simple form. Numerical result shows that the estimator based on this smoothness prior produces good estimates of the lag coefficients where Shiller's prior produces highly biased estimates. It is also observed that the new estimator produces reasonable results even when the Shiller's prior is more appropriate. The danger of introducing a bias by assuming a Bayesian model is stressed in the discussion. (Author).
Author: Robert J. Shiller
Publisher:
ISBN:
Category : Distributed lags (Economics)
Languages : en
Pages : 0
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Book Description
In some applications of the distributed lag model, theory requires that all lag coefficients have a positive sign. A distributed lag estimator which provides estimated coefficients with positive sign is developed here which is analogous to an earlier distributed lag estimator derived from "smoothness priors" which did not assure that all estimated coefficients be positive. The earlier estimator with unconstrained signs was a posterior mode of the coefficients based on a spherically normal "smoothness prior" in the d+l order differences of the coefficients. The newer estimator with constrained sign is a posterior mode of the logs of the coefficients based on spherically normal "smoothness prior" on the d+l order differences of the logs of the coefficients. The meaning of both categories of prior is discussed in this paper and they are compared to prior parameterizations of the lag curve. Both varieties of "smoothness prior", in contrast to the parameterizations, allow the coefficients to assume any "smooth" shape subject to the sign constraint. The sign-constrained estimator has the additional advantage that it easily forms asymptotes. Moreover, the sign con-strained estimator is easily implemented. The estimate can be obtained by an iterative procedure involving regressions with dummy observations similar to those used to find the unconstrained sign estimator. An illustrative example of the application of both estimators is given at the end of the paper
Author: Hirotugu Akaike
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
In the application of Shiller's smoothness prior for distributed lag estimation the main difficulty is the selection of hyperparameters of the prior distribution. In this paper the use of a maximum likelihood procedure is proposed for this purpose and its performance is demonstrated by numerical examples.
Author: Shanti S. Gupta
Publisher: Springer Science & Business Media
ISBN: 146122618X
Category : Business & Economics
Languages : en
Pages : 535
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Book Description
The Fifth Purdue International Symposium on Statistical Decision The was held at Purdue University during the period of ory and Related Topics June 14-19,1992. The symposium brought together many prominent leaders and younger researchers in statistical decision theory and related areas. The format of the Fifth Symposium was different from the previous symposia in that in addition to the 54 invited papers, there were 81 papers presented in contributed paper sessions. Of the 54 invited papers presented at the sym posium, 42 are collected in this volume. The papers are grouped into a total of six parts: Part 1 - Retrospective on Wald's Decision Theory and Sequential Analysis; Part 2 - Asymptotics and Nonparametrics; Part 3 - Bayesian Analysis; Part 4 - Decision Theory and Selection Procedures; Part 5 - Probability and Probabilistic Structures; and Part 6 - Sequential, Adaptive, and Filtering Problems. While many of the papers in the volume give the latest theoretical developments in these areas, a large number are either applied or creative review papers.
Author:
Publisher:
ISBN:
Category : Agriculture
Languages : en
Pages : 528
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Book Description
Author: Swamy. P. A. V. B.
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 64
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Book Description
Author: Baldev Raj
Publisher: Routledge
ISBN: 1317857453
Category : Social Science
Languages : en
Pages : 389
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Book Description
Originally published in 1981, this book considers one particular area of econometrics- the linear model- where significant recent advances have been made. It considers both single and multiequation models with varying co-efficients, explains the various theories and techniques connected with these and goes on to describe the various applications of the models. Whilst the detailed explanation of the models will interest primarily econometrics specialists, the implications of the advances outlined and the applications of the models will intrest a wide range of economists.
Author: P. Karadeloglou
Publisher: Springer
ISBN: 0230582699
Category : Business & Economics
Languages : en
Pages : 255
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Book Description
This book looks at the PPP persistence puzzle, and econometric aspects of exchange rate dynamics and their implications. It also explores the importance of exchange rate dynamics in the pass-through effects (PTE) and the econometric aspects of the exchange rates dynamics linked to structural shocks on different economies.
