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1

A Proposal for a Flexible Trend Specification in DSGE Models

100%
Slanicay M.
Review of Economic Perspectives
|
2016
|
vol. 16
|
issue 2
73-85
EN
In this paper I propose a flexible trend specification for estimating DSGE models on log differences. I demonstrate this flexible trend specification on a New Keynesian DSGE model of two economies, which I consequently estimate on data from the Czech economy and the euro area, using Bayesian techniques. The advantage of the trend specification proposed is that the trend component and the cyclical component are modelled jointly in a single model. The proposed trend specification is flexible in the sense that smoothness of the trend can be easily modified by different calibration of some of the trend parameters. The results suggest that this method is capable of finding a very reasonable trend in the data. Moreover, comparison of forecast performance reveals that the proposed specification offers more reliable forecasts than the original variant of the model.
2

Estimating DSGE model parameters in a small open economy: Do real-time data matter?

88%
Capek J.
Review of Economic Perspectives
|
2015
|
vol. 15
|
issue 1
89-114
EN
This paper investigates the differences between parameters estimated using real-time and those estimated with revised data. The models used are New Keynesian DSGE models of the Czech, Polish, Hungarian, Swiss, and Swedish small open economies in interaction with the euro area. The paper also offers an analysis of data revisions of GDP growth and inflation and trend revisions of interest rates. Data revisions are found to be unbiased and not autocorrelated in all countries. Inflation is usually measured more accurately in real-time than GDP growth, but this is not the case in the euro area. The results of the core analysis suggest that there are significant differences between parameter estimates using real-time data and those estimated using revised data. The model parameters that are most prone to significant differences between real-time and revised estimations are habit in consumption and persistence of domestic supply, of demand, and of world-wide technology shocks. The impulse response analysis suggests that the model behavior based on real-time and revised data is different.
3
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Modeling Macro-Fiscal Interlinkages: Case of Georgia

88%
Mkhatrishvili S., Zedginidze Z.
Central European Journal of Economic Modelling and Econometrics
|
2015
|
issue 1
4
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Bayesian estimation of a shift point in a two-phase regression model

88%
Jadamus-Hacura M., Department of Econometrics A. o. E.
Acta Universitatis Lodziensis. Folia Oeconomica
|
1997
|
vol. 141
EN
The purpose of this paper is to carry out the Bayesian analysis of a two-phase regression model with an unknown break point. Essentially, there are two problems associated with a changing linear model. Firstly, one will want to be able to detect a break point, and secondly, assuming that a change has occurred, to be able to estimate it as well as other parameters of the model. Much of the classical testing procedure for the parameter constancy (as the Chow test, CUSUM, CUSUMSQ, tests and their modifications, predictions tests for structural stability) indicate only that the regression coefficients shifted, without specifying a break point. In this study we adopt the Bayesian methodology of investigating structural changes in regression models. The break point is identified as the largest posterior mass density, the peak of the posterior discrete distribution of a break point. It seems to work well with artificially generated data. The Bayesian framework also seems to be promising for extending the analysis of a single break to that of multiple breaks.
5

Structural Differences and Asymmetric Shocks between the Czech Economy and the Euro Area 12

75%
Slanicay M.
Review of Economic Perspectives
|
2011
|
vol. 11
|
issue 3
168-192
EN
The goal of this paper is to determine whether there exist asymmetric shocks and structural differences between the Czech economy and the Euro Area 12. A New Keynesian DSGE model of a small open economy is used for this purpose. Asymmetric shocks and structural differences are examined in two ways. At first, I examine asymmetry of shocks and sources of structural differences, using model comparison based on the Bayes factor. I do not find substantial evidence in favor of heterogeneity in household preferences. I find slight differences in price and wage formation and substantial difference in interest rate smoothing. However, the main differences are in timing, persistence and volatility of structural shocks. I also investigate impact of structural differences and differences in persistence and volatility of structural shocks on the behavior of both economies, using analysis of impulse-response functions. I find no substantial differences in responses of the main variables to preference shocks. On the other hand, I find much larger volatility and persistence of domestic technology shocks. This contributes to the fact that responses of domestic variables to technology shocks are much larger, and display more gradual and hump-shaped pattern than responses of foreign variables. I also find that responses of foreign variables to labour supply shocks are much more gradual and sluggish than responses of domestic variables. As regards monetary shocks, I find that there is almost no response of foreign inflation to foreign monetary shock while response of domestic inflation to domestic monetary shock displays substantial decline followed by gradual recovery. Responses of foreign variables to cost-push shocks are larger and more volatile than responses of domestic variables.
6

Zastosowanie hierarchicznej estymacji bayesowskiej w szacowaniu wartości dochodów ludności w powiatach

75%
Kubacki J.
Wiadomości Statystyczne. The Polish Statistician
|
2014
|
issue 9
21-45
XX
W artykule wykazano przydatność szacunków wykonanych z użyciem hierarchicznej estymacji bayesowskiej w przypadku znanych wartości hiperparametrów modelu. Pokazano istnienie zgodności między szacunkami z użyciem takiej metody oraz szacunkami z użyciem innej techniki dla małych obszarów, w tym metody EBLUP. (fragment tekstu)
EN
The author presents a method of hierarchical bayesian estimation to estimate the value of the different income variables on the basis of studies of household budgets and POLTAX tax register. Calculations have been made for the case where approximately known a priori evaluation of hyperparameters used to construct a conditional probability, which is used in the model. The author compares the efficiency of the estimates obtained by using other hierarchical methods of estimation for small areas, including the EBLUP estimators type. This gave congruity in precision of the estimated parameters using both techniques. (original abstract)
7
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Zdolności prognostyczne nowokeynesistowskich modeli DSGE małej skali ewnątrz próby. Próba porównania dla gospodarki Polski

75%
Kuchta Z., Katedra Funkcjonowania Gospodarki I. E.
Gospodarka w Praktyce i Teorii
|
2014
|
vol. 2(35)
EN
This paper compares the in-sample forecasting performance of the new Keynesian small scale DSGE models. The comparison includes the standard sticky prices model and sticky prices and wages model of Erceg, Henderson and Levin. VAR models are used as the baseline. Comparison of forecasting errors has shown that Erceg, Henderson and Levin’s model is characterized by better forecasting performance than the sticky prices model with respect to inflation, production and real wages. Moreover, it better predicts inflation than the VAR models.
PL
W pracy dokonano porównania zdolności prognostycznych modeli DSGE małej skali wewnątrz próby. W porównaniu wykorzystano podstawowy, nowokeynesistowski model monetarny oraz model Ercega, Hendersona i Levina, który rozszerza model podstawowy na przypadek lepkich płac nominalnych. Dodatkowo w analizie ujęto modele VAR, które stanowią podstawę ułatwiającą porównania. Porównanie błędów prognoz pokazało, że lepszymi zdolnościami prognostycznymi w przypadku inflacji, produkcji oraz realnej stawki płac charakteryzował się model Ercega, Hendersona i Levina. Model ten charakteryzował się również mniejszymi błędami predykcji inflacji niż modele VAR.
8
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Generalised Lindley shared additive frailty regression model for bivariate survival data

63%
Pandey A., Hanagal D. D., Tyagi S.
Statistics in Transition new series
|
2022
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vol. 23
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issue 4
161-176
EN
Frailty models are the possible choice to counter the problem of the unobserved heterogeneity in individual risks of disease and death. Based on earlier studies, shared frailty models can be utilised in the analysis of bivariate data related to survival times (e.g. matched pairs experiments, twin or family data). In this article, we assume that frailty acts additively to the hazard rate. A new class of shared frailty models based on generalised Lindley distribution is established. By assuming generalised Weibull and generalised log-logistic baseline distributions, we propose a new class of shared frailty models based on the additive hazard rate. We estimate the parameters in these frailty models and use the Bayesian paradigm of the Markov Chain Monte Carlo (MCMC) technique. Model selection criteria have been applied for the comparison of models. We analyse kidney infection data and suggest the best model.
9

Oddziaływanie wydatków rządowych na rynek pracy

63%
Krajewski P.
Wiadomości Statystyczne. The Polish Statistician
|
2013
|
issue nr 1
1-13
XX
W artykule dokonano dekompozycji oddziaływania wydatków rządowych na rynek pracy. Analizę przeprowadzono na podstawie modelu nowej ekonomii keynesistowskiej. Estymacje parametrów modelu wykonano metodą bayesowską na podstawie danych kwartalnych z lat 1995-2010. (fragment tekstu)
EN
The article analyzes the demand and supply effects of temporary increase in government spending on the labour market. The analysis was performed using a model of the new Keynesian economics. Estimates of model parameters were determined by the Bayes method. The simulations show that government spending greater impact on the labour market through demand effect than the supply side. Demand effect is stronger for both employment and wages. (original abstract)
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