Arbeitspapier
Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models
The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models with Bayesian methods, and proposes to utilize a missing observations consistent Kalman filter in the process of achieving this objective. As an empirical application, we analyze euro area data and compare the density forecast performance of a DSGE model to DSGE-VARs and reduced-form linear Gaussian models.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFS Working Paper Series ; No. 478
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
Bayesian inference
density forecasting
Kalman filter
missing data
Monte Carlo integration
predictive likelihood
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Warne, Anders
Coenen, Günter
Christoffel, Kai
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 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.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Warne, Anders
- Coenen, Günter
- Christoffel, Kai
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2014
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