scholarly journals Large Mixed-Frequency Vars with a Parsimonious Time-Varying Parameter Structure

2018 ◽  
Author(s):  
Thomas Götz ◽  
Klemens Hauzenberger
Keyword(s):  
Time Varying ◽  
Mixed Frequency ◽  
Time Varying Parameter

scholarly journals Large mixed-frequency VARs with a parsimonious time-varying parameter structure

2021 ◽  
Author(s):  
Thomas B Götz ◽  
Klemens Hauzenberger
Keyword(s):  
Time Series ◽  
Structural Change ◽  
Computational Complexity ◽  
Common Factor ◽  
Time Varying ◽  
Frequency Vector ◽  
Mixed Frequency ◽  
Forecasting Models ◽  
Time Varying Parameter ◽  
Joint Dynamics

Summary In order to simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural change, we introduce a time-varying parameter mixed-frequency vector autoregression (VAR). Time variation enters in a parsimonious way: only the intercepts and a common factor in the error variances can vary. Computational complexity therefore remains in a range that still allows us to estimate moderately large VARs in a reasonable amount of time. This makes our model an appealing addition to any suite of forecasting models. For eleven U.S. variables, we show the competitiveness compared to a commonly used constant-coefficient mixed-frequency VAR and other related model classes. Our model also accurately captures the drop in the gross domestic product during the COVID-19 pandemic.

Capital mobility in Sweden: a time-varying parameter approach

2007 ◽  
Vol 14 (15) ◽  
pp. 1115-1118 ◽  
Author(s):  
Abdulnasser Hatemi-J ◽  
R. Scott Hacker
Keyword(s):  
Capital Mobility ◽  
Time Varying ◽  
Time Varying Parameter ◽  
Parameter Approach

Influence of Axial Excitations and of Boundary Conditions on the Parametric Instability of a Beam

1995 ◽  
Author(s):  
Régis Dufour ◽  
Alain Berlioz ◽  
Thomas Streule
Keyword(s):  
Finite Element ◽  
Boundary Conditions ◽  
Ritz Method ◽  
Parametric Instability ◽  
Experimental Tests ◽  
Time Varying ◽  
Periodic Force ◽  
Modal Reduction ◽  
Time Varying Parameter ◽  
The Stability

Abstract In this paper the stability of the lateral dynamic behavior of a pinned-pinned, clamped-pinned and clamped-clamped beam under axial periodic force or torque is studied. The time-varying parameter equations are derived using the Rayleigh-Ritz method. The stability analysis of the solution is based on Floquet’s theory and investigated in detail. The Rayleigh-Ritz results are compared to those of a finite element modal reduction. It shows that the lateral instabilities of the beam depend on the forcing frequency, the type of excitation and the boundary conditions. Several experimental tests enable the validation of the numerical results.

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