In this study, 3 models of Time-Varying Parameters (TVP), Dynamic Model Selection (DMS) and Dynamic Model Averaging (DMA) and a comparison with the Ordinary Least Squares (OLS) method in MATLAB in the time period 2003-2013 (with data on a monthly basis) are discussed. In the present study, the variables of unofficial exchange rate changes, interest rate changes and inflation in oil price foreca...

In this study, 3 models of Time-Varying Parameters (TVP), Dynamic Model Selecting (DMS) and Dynamic Model Averaging (DMA) and their comparison via the Ordinary Least Squares (OLS) method in MATLAB in the time period 2003-2013 (monthly) are discussed. In the present study the variables of unofficial exchange rate changes, interest rate changes and inflation oil price forecast returns for stocks ...

Estimates of instrumental rules can be utilized to describe central bank's behavior and monetary policy stance. In the last decade, considerable attention has been given to time-varying parameter (TVP) specification of monetary policy rules. Constant-parameter reaction functions likely ignore the impact of model uncertainty, shifting preferences and nonlinearities of policymaker's choices. This...

We propose a generic approach to inference in the non-linear, non-Gaussian state space model. This approach builds on recent developments in precision-based algorithms to estimating general state space models with multivariate observations and states. The baseline algorithm approximates the conditional distribution of the states by a multivariate t density, which is then used for integrated lik...

The uncertainty of economic policy, a specific form uncertainty, can affect both growth, and the effectiveness macroeconomic regulation control policy. Existing studies have analyzed impacts policy on investment, consumption, trade, total factor survival, but there is no analysis policies output technological progress in deterministic environment. Output growth show performance gross efficiency...