Central bank research hub - Papers by Thomas B. Götz
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Research hub papers by author Thomas B. GötzenLarge mixed-frequency VARs with a parsimonious time-varying parameter structure
https://www.econstor.eu/bitstream/10419/182479/1/1031765174.pdf
Deutsche Bundesbank Discussion Papers by Thomas B. Götz and Klemens HauzenbergerLarge mixed-frequency VARs with a parsimonious time-varying parameter structure2018-01-01T00:00:40ZTo simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common factor in the error variances vary over time. We can therefore estimate moderately large systems in a reasonable amount of time, which makes our modifications appealing for practical use. For eleven U.S. variables, we examine the performance of our model and compare the results to the time-constant MF-VAR of Schorfheide and Song (2015). Our results demonstrate the feasibility and usefulness of our method.Large mixed-frequency VARs with a parsimonious time-varying parameter structureFull texthttps://www.econstor.eu/bitstream/10419/182479/1/1031765174.pdfThomas B. GötzKlemens HauzenbergerThomas B. Götz and Klemens Hauzenberger2018Deutsche Bundesbank Discussion PapersC32C51C53Google data in bridge equation models for German GDP
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2017/2017_06_26_dkp_18.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Thomas B. Götz, Thomas A. KnetschGoogle data in bridge equation models for German GDP2017-01-01T00:00:18ZGoogle data in bridge equation models for German GDPFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2017/2017_06_26_dkp_18.pdf?__blob=publicationFileThomas A. KnetschThomas B. GötzThomas B. Götz, Thomas A. Knetsch2017-06-26Deutsche Bundesbank Discussion PapersC22C32C53Testing for Granger causality in large mixed-frequency VARs
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2016_01_22_dkp_45.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Thomas B. Götz, Alain Hecq, Stephan SmeekesTesting for Granger causality in large mixed-frequency VARs2016-01-22T12:37:00ZTesting for Granger causality in large mixed-frequency VARsFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2016_01_22_dkp_45.pdf?__blob=publicationFileThomas B. GötzAlain HecqStephan SmeekesThomas B. Götz, Alain Hecq, Stephan Smeekes2016-01-22Deutsche Bundesbank Discussion PapersC11C12C32