Empirical Bayes Methods for Dynamic Factor Models

Empirical Bayes Methods for Dynamic Factor Models
Author: Siem Jan Koopman
Publisher:
Total Pages: 45
Release: 2014
Genre:
ISBN:

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We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates have lower quadratic loss compared to the standard maximum likelihood estimates. We investigate the methods in a Monte Carlo study where we document the finite sample properties. Finally, we present and discuss the results of an empirical study concerning the forecasting of U.S. macroeconomic time series using our empirical Bayes methods.

Dynamic Factor Models

Dynamic Factor Models
Author: Siem Jan Koopman
Publisher: Emerald Group Publishing
Total Pages: 685
Release: 2016-01-08
Genre: Business & Economics
ISBN: 1785603523

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This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.

The Oxford Handbook of Economic Forecasting

The Oxford Handbook of Economic Forecasting
Author: Michael P. Clements
Publisher: OUP USA
Total Pages: 732
Release: 2011-07-08
Genre: Business & Economics
ISBN: 0195398645

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Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.

Large Dimensional Factor Analysis

Large Dimensional Factor Analysis
Author: Jushan Bai
Publisher: Now Publishers Inc
Total Pages: 90
Release: 2008
Genre: Business & Economics
ISBN: 1601981449

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Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.

Empirical Bayes Methods with Applications

Empirical Bayes Methods with Applications
Author: J.S. Maritz
Publisher: CRC Press
Total Pages: 360
Release: 2018-01-18
Genre: Mathematics
ISBN: 1351088564

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The second edition of Empirical Bayes Methods details are provided of the derivation and the performance of empirical Bayes rules for a variety of special models. Attention is given to the problem of assessing the goodness of an empirical Bayes estimator for a given set of prior data. A chapter is devoted to a discussion of alternatives to the empirical Bayes approach and there is also a chapter giving details of several actual applications of empirical Bayes method.

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Author: Gary Koop
Publisher: Now Publishers Inc
Total Pages: 104
Release: 2010
Genre: Business & Economics
ISBN: 160198362X

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Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.

Empirical Bayes Methods

Empirical Bayes Methods
Author: J. S. Maritz
Publisher: Routledge
Total Pages: 299
Release: 2018-03-05
Genre: Business & Economics
ISBN: 1351140639

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Originally published in 1970; with a second edition in 1989. Empirical Bayes methods use some of the apparatus of the pure Bayes approach, but an actual prior distribution is assumed to generate the data sequence. It can be estimated thus producing empirical Bayes estimates or decision rules. In this second edition, details are provided of the derivation and the performance of empirical Bayes rules for a variety of special models. Attention is given to the problem of assessing the goodness of an empirical Bayes estimator for a given set of prior data. Chapters also focus on alternatives to the empirical Bayes approach and actual applications of empirical Bayes methods.

Bayesian Inference in the Social Sciences

Bayesian Inference in the Social Sciences
Author: Ivan Jeliazkov
Publisher: John Wiley & Sons
Total Pages: 266
Release: 2014-11-04
Genre: Mathematics
ISBN: 1118771125

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Presents new models, methods, and techniques and considers important real-world applications in political science, sociology, economics, marketing, and finance Emphasizing interdisciplinary coverage, Bayesian Inference in the Social Sciences builds upon the recent growth in Bayesian methodology and examines an array of topics in model formulation, estimation, and applications. The book presents recent and trending developments in a diverse, yet closely integrated, set of research topics within the social sciences and facilitates the transmission of new ideas and methodology across disciplines while maintaining manageability, coherence, and a clear focus. Bayesian Inference in the Social Sciences features innovative methodology and novel applications in addition to new theoretical developments and modeling approaches, including the formulation and analysis of models with partial observability, sample selection, and incomplete data. Additional areas of inquiry include a Bayesian derivation of empirical likelihood and method of moment estimators, and the analysis of treatment effect models with endogeneity. The book emphasizes practical implementation, reviews and extends estimation algorithms, and examines innovative applications in a multitude of fields. Time series techniques and algorithms are discussed for stochastic volatility, dynamic factor, and time-varying parameter models. Additional features include: Real-world applications and case studies that highlight asset pricing under fat-tailed distributions, price indifference modeling and market segmentation, analysis of dynamic networks, ethnic minorities and civil war, school choice effects, and business cycles and macroeconomic performance State-of-the-art computational tools and Markov chain Monte Carlo algorithms with related materials available via the book’s supplemental website Interdisciplinary coverage from well-known international scholars and practitioners Bayesian Inference in the Social Sciences is an ideal reference for researchers in economics, political science, sociology, and business as well as an excellent resource for academic, government, and regulation agencies. The book is also useful for graduate-level courses in applied econometrics, statistics, mathematical modeling and simulation, numerical methods, computational analysis, and the social sciences.