Arbeitspapier

Dynamic mixture vector autoregressions with score-driven weights

We propose a novel dynamic mixture vector autoregressive (VAR) model in which timevarying mixture weights are driven by the predictive likelihood score. Intuitively, the state weight of the k-th component VAR model in the subsequent period is increased if the current observation is more likely to be drawn from this particular state. The model is not limited to a specific distributional assumption and allows for straightforward likelihood-based estimation and inference. We conduct a Monte Carlo study and find that the score-driven mixture VAR model is able to adequately filter the mixture dynamics from a variety of different data generating processes which most other observation-driven dynamic mixture VAR models cannot appropriately cope with. Finally, we illustrate our approach by an application where we model the conditional joint distribution of economic and financial conditions and derive generalized impulse responses.

Sprache
Englisch

Erschienen in
Series: Research Papers in Economics ; No. 2/22

Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models
Financial Forecasting and Simulation
Thema
Dynamic Mixture Models
Generalized Autoregressive Score Models
Macro-Financial Linkages
Nonlinear VAR

Ereignis
Geistige Schöpfung
(wer)
Gretener, Alexander Georges
Neuenkirch, Matthias
Umlandt, Dennis
Ereignis
Veröffentlichung
(wer)
Universität Trier, Fachbereich IV - Volkswirtschaftslehre
(wo)
Trier
(wann)
2022

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Gretener, Alexander Georges
  • Neuenkirch, Matthias
  • Umlandt, Dennis
  • Universität Trier, Fachbereich IV - Volkswirtschaftslehre

Entstanden

  • 2022

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