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* 9 Results

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    • Publications (9)
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  • Tags: Bayesian Estimation
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  1. Publication

    Bayesian Analysis of Static and Dynamic Factor Models: An Ex-Post Approach towards the Rotation Problem

    01.01.2016

    Due to their indeterminacies, static and dynamic factor models require identifying assumptions to guarantee uniqueness of the parameter estimator. The indeterminacy of the parameter estimator with respect to an orthogonal transformation is known as...

  2. Publication

    A dynamic factor model with time-varying loadings for euro area bond markets during the debt crisis

    01.01.2013

    The debt crisis in the euro area led to obvious changes in the structure of euro area bond markets. To model the process of disintegration that has taken place as a result of this crisis this analysis uses a dynamic factor model with time-varying...

  3. Publication

    The Role of Labor Markets for Euro Area Monetary Policy

    01.03.2009

    In this paper, we explore the role of labor markets for monetary policy in the euro area in a New Keynesian model in which labor markets are characterized by search and matching frictions. We first investigate to which extent a more flexible labor...

  4. Publication

    A Bayesian Approach to Model-Based Clustering for Binary Panel Probit Models

    01.01.2011

    Considering latent heterogeneity is of special importance in non-linear models in order to gauge correctly the effect of explanatory variables on the dependent variable. A stratified modelbased clustering approach is adapted for modeling latent...

  5. Publication

    Bayesian Analysis of Dynamic Factor Models: An Ex-Post Approach towards the Rotation Problem

    01.02.2014

    Due to their indeterminacies, static and dynamic factor models require identifying assumptions to guarantee uniqueness of the parameter estimates. The indeterminacy of the parameter estimates with respect to orthogonal transformations is known as the...

  6. Publication

    The Directional Identification Problem in Bayesian Factor Analysis: An Ex-Post Approach

    17.10.2012

    Due to their well-known indeterminacies, factor models require identifying assumptions to guarantee unique parameter estimates. For Bayesian estimation, these identifying assumptions are usually implemented by imposing constraints on certain model...

  7. Publication

    How the Baby Boomers' Retirement Wave Distorts Model-Based Output Gap Estimates

    01.02.2016

    Hours per capita measures based on the private sector as usually included in the set of observables for estimating macroeconomic models are affected by low-frequent demographic trends and sectoral shifts that cannot be explained by standard models....

  8. Publication

    The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy

    01.06.2011

    This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them...

  9. Publication

    How the Baby Boomers' Retirement Wave Distorts Model-Based Output Gap Estimates

    08.06.2018

    This paper illustrates, based on an example, the importance of consistency between empirical measurement and the concept of variables in estimated macroeconomic models. Since standard New Keynesian models do not account for demographic trends and...

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