Finding relevant variables in sparse Bayesian factor models: economic applications and simulation results
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt, M.
Dt. Bundesbank
2012
|
| Schriftenreihe: | Discussion paper / Deutsche Bundesbank
Eurosystem 2012,29 |
| Online-Zugang: | Volltext Inhaltsverzeichnis |
| Beschreibung: | Zsfassung in dt. u. engl. Sprache. - Online-Ausg. im Internet |
| Beschreibung: | 53 S. graph. Darst. |
| ISBN: | 9783865588586 9783865588579 |
Internformat
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Datensatz im Suchindex
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| adam_text | Titel: Finding relevant variables in sparse Bayesian factor models
Autor: Kaufmann, Sylvia
Jahr: 2012
Contents
1 Introduction 1
2 Sparse factor model and identification 3
2.1 Model structure................................. 3
2.2 Relevant and irrelevant variables for factor analysis............. 4
2.3 Identification.................................. 5
3 Bayesian setup and MCMC estimation 6
3.1 Likelihood and prior specification....................... 6
3.2 Posterior inference ............................... 10
4 Simulations 12
4.1 Factor DGP................................... 12
4.2 Models for estimation.............................. 14
4.3 Statistics to evaluate the estimation performance .............. 14
4.4 Simulation results................................ 16
4.5 Checks for robustness.............................. 20
5 Empirical results 20
5.1 Results for international GDP growth data.................. 21
5.2 Results for US sectoral inflation data..................... 27
6 Conclusion 30
A Posterior distributions 32
A.l Step (i): Simulate fT from n (fT XT,O) ................... 32
A.2 Step (ii): Simulate the parameters from n (O-y fT,XT, A).......... 34
B Country coverage in the international GDP growth dataset 34
C Additional simulation results 37
|
| any_adam_object | 1 |
| author | Kaufmann, Sylvia 1965- Schumacher, Christian |
| author_GND | (DE-588)129674389 (DE-588)171835085 |
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| building | Verbundindex |
| bvnumber | BV040642556 |
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| dewey-full | 330 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330 |
| dewey-search | 330 |
| dewey-sort | 3330 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV040642556 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:28:07Z |
| institution | BVB |
| isbn | 9783865588586 9783865588579 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025469602 |
| oclc_num | 823262605 |
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| physical | 53 S. graph. Darst. |
| psigel | ebook |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank |
| spelling | Kaufmann, Sylvia 1965- Verfasser (DE-588)129674389 aut Finding relevant variables in sparse Bayesian factor models economic applications and simulation results Sylvia Kaufmann ; Christian Schumacher Frankfurt, M. Dt. Bundesbank 2012 53 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank Eurosystem 2012,29 Zsfassung in dt. u. engl. Sprache. - Online-Ausg. im Internet Schumacher, Christian Verfasser (DE-588)171835085 aut Deutsche Bundesbank Discussion paper Eurosystem ; 2012,29 (DE-604)BV040156046 2012,29 http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_11_23_dkp_29.pdf?__blob=publicationFile Verlag kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025469602&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kaufmann, Sylvia 1965- Schumacher, Christian Finding relevant variables in sparse Bayesian factor models economic applications and simulation results |
| title | Finding relevant variables in sparse Bayesian factor models economic applications and simulation results |
| title_auth | Finding relevant variables in sparse Bayesian factor models economic applications and simulation results |
| title_exact_search | Finding relevant variables in sparse Bayesian factor models economic applications and simulation results |
| title_full | Finding relevant variables in sparse Bayesian factor models economic applications and simulation results Sylvia Kaufmann ; Christian Schumacher |
| title_fullStr | Finding relevant variables in sparse Bayesian factor models economic applications and simulation results Sylvia Kaufmann ; Christian Schumacher |
| title_full_unstemmed | Finding relevant variables in sparse Bayesian factor models economic applications and simulation results Sylvia Kaufmann ; Christian Schumacher |
| title_short | Finding relevant variables in sparse Bayesian factor models |
| title_sort | finding relevant variables in sparse bayesian factor models economic applications and simulation results |
| title_sub | economic applications and simulation results |
| url | http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_11_23_dkp_29.pdf?__blob=publicationFile http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025469602&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV040156046 |
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