Causal Discovery Of Macroeconomic State Space Models
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| Author | : Emmet Wayne Hall-Hoffarth |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2022 |
| Genre | : |
| ISBN | : |
Download Causal Discovery of Macroeconomic State-Space Models Book in PDF, Epub and Kindle
This paper presents a set of tests and an algorithm for agnostic, data-driven selection among macroeconomic Dynamic Stochastic General Equilibrium (DSGE) models inspired by structure learning methods for Directed Acyclical Graphs (DAGs). As the log-linear state-space solution to any DSGE model is also a DAG it is possible to use associated concepts to identify a unique ground-truth state-space model which is compatible with an underlying DGP, based on the conditional independence relationships which are present in that DGP. In order to operationalise search for this ground-truth model, the algorithm tests feasible analogues of these conditional independence criteria against the set of combinatorially possible state-space models over observed variables. This process is consistent in large samples. In small samples the result may not be unique, so conditional independence tests can be combined with likelihood maximisation in order to select a single optimal model. The efficacy of this algorithm is demonstrated for simulated data, and results for real data are also provided and discussed.
| Author | : Yong Zeng |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 358 |
| Release | : 2013-08-15 |
| Genre | : Business & Economics |
| ISBN | : 1461477891 |
Download State-Space Models Book in PDF, Epub and Kindle
State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals.
| Author | : Olivier Basdevant |
| Publisher | : |
| Total Pages | : 68 |
| Release | : 2003 |
| Genre | : Macroeconomics |
| ISBN | : |
Download On Applications of State-space Modelling in Macroeconomics Book in PDF, Epub and Kindle
| Author | : Davide Delle Monache |
| Publisher | : |
| Total Pages | : |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download Essays on State Space Models and Macroeconomic Modelling Book in PDF, Epub and Kindle
| Author | : Joshua Chan |
| Publisher | : |
| Total Pages | : |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
Download Bayesian State Space Models in Macroeconometrics Book in PDF, Epub and Kindle
| Author | : Gilles Dufrénot |
| Publisher | : Springer Nature |
| Total Pages | : 387 |
| Release | : 2020-11-21 |
| Genre | : Business & Economics |
| ISBN | : 3030542521 |
Download Recent Econometric Techniques for Macroeconomic and Financial Data Book in PDF, Epub and Kindle
The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
| Author | : Florin Popescu |
| Publisher | : |
| Total Pages | : 152 |
| Release | : 2013-06 |
| Genre | : Computers |
| ISBN | : 9780971977754 |
Download Causality in Time Series: Challenges in Machine Learning Book in PDF, Epub and Kindle
This volume in the Challenges in Machine Learning series gathers papers from the Mini Symposium on Causality in Time Series, which was part of the Neural Information Processing Systems (NIPS) confernce in 2009 in Vancouver, Canada. These papers present state-of-the-art research in time-series causality to the machine learning community, unifying methodological interests in the various communities that require such inference.
| Author | : György Ottucsák |
| Publisher | : World Scientific |
| Total Pages | : 261 |
| Release | : 2012 |
| Genre | : Business & Economics |
| ISBN | : 1848168136 |
Download Machine Learning for Financial Engineering Book in PDF, Epub and Kindle
Preface v 1 On the History of the Growth-Optimal Portfolio M.M. Christensen 1 2 Empirical Log-Optimal Portfolio Selections: A Survey L. Györfi Gy. Ottucsáak A. Urbán 81 3 Log-Optimal Portfolio-Selection Strategies with Proportional Transaction Costs L. Györfi H. Walk 119 4 Growth-Optimal Portfoho Selection with Short Selling and Leverage M. Horváth A. Urbán 153 5 Nonparametric Sequential Prediction of Stationary Time Series L. Györfi Gy. Ottucsák 179 6 Empirical Pricing American Put Options L. Györfi A. Telcs 227 Index 249.
| Author | : Mr.Andrew J Tiffin |
| Publisher | : International Monetary Fund |
| Total Pages | : 30 |
| Release | : 2019-11-01 |
| Genre | : Computers |
| ISBN | : 1513518305 |
Download Machine Learning and Causality: The Impact of Financial Crises on Growth Book in PDF, Epub and Kindle
Machine learning tools are well known for their success in prediction. But prediction is not causation, and causal discovery is at the core of most questions concerning economic policy. Recently, however, the literature has focused more on issues of causality. This paper gently introduces some leading work in this area, using a concrete example—assessing the impact of a hypothetical banking crisis on a country’s growth. By enabling consideration of a rich set of potential nonlinearities, and by allowing individually-tailored policy assessments, machine learning can provide an invaluable complement to the skill set of economists within the Fund and beyond.
| Author | : Laurent Ferrara |
| Publisher | : Springer |
| Total Pages | : 300 |
| Release | : 2018-06-13 |
| Genre | : Business & Economics |
| ISBN | : 3319790757 |
Download International Macroeconomics in the Wake of the Global Financial Crisis Book in PDF, Epub and Kindle
This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
