Huber, Florian, Kastner, Gregor, Feldkircher, Martin. 2019. Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models. Journal of Applied Econometrics. 34 (5), 621-640.
BibTeX
Abstract
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the system. The computational burden becomes manageable by approximating the mixture indicators driving the time-variation in the coefficients with a latent threshold process that depends on the absolute size of the shocks. Two applications illustrate the merits of our approach. First, we forecast the US term structure of interest rates and demonstrate forecast gains relative to 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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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | Journal of Applied Econometrics |
Citation Index | SSCI |
WU Journalrating 2009 | A |
WU-Journal-Rating new | FIN-A, VW-B, WH-B |
Language | English |
Title | Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models |
Volume | 34 |
Number | 5 |
Year | 2019 |
Page from | 621 |
Page to | 640 |
Reviewed? | Y |
URL | https://onlinelibrary.wiley.com/doi/full/10.1002/jae.2680 |
DOI | https://doi.org/10.1002/jae.2680 |
Open Access | Y |
Open Access Link | https://onlinelibrary.wiley.com/doi/full/10.1002/jae.2680 |
JEL | C11, C32, C50, E43, E52 |
Associations
- People
- Kastner, Gregor (Details)
- External
- Feldkircher, Martin (Oesterreichische Nationalbank (OeNB), Austria)
- Huber, Florian (University of Salzburg, Austria)
- Organization
- Institute for Statistics and Mathematics IN (Details)
- Research areas (Ă–STAT Classification 'Statistik Austria')
- 1105 Computer software (Details)
- 1162 Statistics (Details)
- 5323 Econometrics (Details)
- 5701 Applied statistics (Details)
- 5707 Time series analysis (Details)