In: Journal of Econometrics
A new version of the local scale model of Shephard (1994) is presented. Its features are identically distributed evolution equation disturbances, the incorporation of in-the-mean effects, and the incorporation of variance regressors. A Bayesian posterior simulator and an exact simulation smoother are presented. The model is applied to simulated data and to publicly available exchange rate and...
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In: Journal of Econometrics
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In: Computational Statistics and Data Analysis, 2012, vol. 56, no. 11, p. 3035-3054
Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented. The first model, GHt-GARCH, is a threshold GARCH with a skewed and heavy-tailed error distribution; in this model, the latent variables that account for skewness and heavy tails are identically and independently distributed. The second model, ODLV-GARCH, is formulated in terms of...
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In: Journal of Applied Econometrics
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In: Journal of Applied Econometrics
Logistic smooth transition and Markov switching autoregressive models of a logistic transform of the monthly US unemployment rate are estimated by Markov chain Monte Carlo methods. The Markov switching model is identified by constraining the first autoregression coefficient to differ across regimes. The transition variable in the LSTAR model is the lagged seasonal difference of the unemployment...
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In: Journal of Applied Econometrics, 2008, vol. 23, no. 4, p. 435-462
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In: Journal of Econometrics
This paper proposes an empirical Bayes approach for Markov switching autoregressions that can constrain some of the state-dependent parameters (regression coefficients and error variances) to be approximately equal across regimes. By flexibly reducing the dimension of the parameter space, this can help to ensure regime separation and to detect the Markov switching nature of the data. The...
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In: Journal of Econometrics, 2006, vol. 133, no. 1, p. 153-190
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Thèse de doctorat : Université de Fribourg, 2014.
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Thèse de doctorat : Université de Fribourg, 2006.
The aim of this Ph.D. thesis is to estimate an import allocation model for Switzerland and test the homogeneity and symmetry hypotheses implied by demand theory. In previous works, the rejection of these hypotheses has often been attributed to the dynamic mis-specification of the models. Some alternative dynamic specifications (error-correction, autoregressive-errors and partial-adjustment) are...
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