Markov switching panel with endogenous synchronization effects
具有内生同步效应的马尔可夫转换面板模型AI 解读 ↓
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具有内生同步效应的马尔可夫转换面板模型AI 解读 ↓
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This paper introduces a new dynamic panel model with multi-layer network effects. Series-specific latent Markov chain processes drive the dynamics of the observable processes, and several types of interaction effects among the hidden chains allow for various degrees of endogenous synchronization of both latent and observable processes. The interaction is driven by a multi-layer network with exogenous and endogenous connectivity layers. We provide some theoretical properties of the model, develop a Bayesian inference framework and an efficient Markov Chain Monte Carlo algorithm for estimating parameters, latent states, and endogenous network layers. An application to the US-state coincident indicators shows that the synchronization in the US economy is generated by network effects among the states. The inclusion of a multi-layer network provides a new tool for measuring the effects of the public policies that impact the connectivity between the US states, such as mobility restrictions or job support schemes. The proposed new model and the related inference are general and may find application in a wide spectrum of datasets where the extraction of endogenous interaction effects is relevant and of interest.
使用 R 包 bpvars 的贝叶斯面板向量自回归预测
The R package bpvars was designed to forecast employment, unemployment, and labour market participation rates of 189 countries. However, it is generally applicable to dynamic panel data due to the flexibility of its modelling framework and robust coding. It includes a family of Bayesian hierarchical panel Vector Autoregressions (VARs) that are characterised by: (i) country-specific VAR models (ii) with their parameters' priors centred around their global counterparts, and…
Summary The synthetic control method (SCM) is widely used for causal inference with panel data, particularly when the number of treated units is small. It relies on the stable unit treatment value assumption, ruling out spillover effects. However, interventions often affect not only treated but also untreated units. This study proposes a novel panel data method that extends the standard SCM to account for spillovers and estimate both treatment and spillover effects. The…
动态面板空间向量自回归估计:稳定性与空间多变量协整
This paper introduces dynamic panel spatial vector autoregressive models. We study features of dynamics and spatial interactions that an SVAR model can generate and classify the model into stable or unstable cases by partitioning parameter spaces. For stable, spatial cointegration, and mixed cointegration cases, we investigate identification and QML estimation of the models to take into account simultaneity and correlated relationships. Asymptotic properties and…
大型贝叶斯矩阵自回归模型
High-dimensional matrix-valued time-series are increasingly common in economics and finance. Prominent examples include large cross-region panels and dynamic economic networks. As the dimensions of the matrix grow, conventional approaches based on vector autoregressions—implemented by vectoring the matrix-valued data—become computationally infeasible. We introduce a class of large Bayesian matrix autoregressions (BMARs) that can accommodate time-varying volatility,…
时空区域数据的贝叶斯建模与聚类:意大利失业率应用
Spatio-temporal areal data can be seen as a collection of time series which are spatially correlated according to a specific neighboring structure. Incorporating the temporal and spatial dimension into a statistical model poses challenges regarding the underlying theoretical framework as well as the implementation of efficient computational methods. We propose to include spatio-temporal random effects using a conditional autoregressive prior, where the temporal correlation…
This paper considers the problem of forecasting a collection of short time series using cross‐sectional information in panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under a correlated random effects distribution. This formula utilizes cross‐sectional information to transform the unit‐specific (quasi) maximum likelihood estimator into an approximation of the posterior mean under a prior distribution that…