ECONOMETRICS RESEARCH SEMINAR	INVITATION
Reminder: The Institute for Advanced Studies cordially invites you to the following Econometrics Research Seminar Thursday, January 12, 2017 Institute for Advanced Studies Josefstädter Straße 39, 1080 Vienna Seminar Room 101, 1st floor 9:00 am (Please note that the seminar will start at 9 am sharp!) Gregor Kastner Vienna University of Economics and Business Should I Stay or Should I Go? Bayesian Inference in the Threshold Time Varying Parameter (TTVP) Model We provide a flexible means of estimating time-varying parameter models in a Bayesian framework. By specifying the state innovations to be characterized trough a threshold process that is driven by the absolute size of parameter changes, our model detects at each point in time whether a given regression coefficient is constant or time-varying. Moreover, our framework accounts for model uncertainty in a data-based fashion through Bayesian shrinkage priors on the initial values of the states. In a simulation, we show that our model reliably identifies regime shifts in cases where the data generating processes display high, moderate, and low numbers of movements in the regression parameters. Finally, we illustrate the merits of our approach by means of two applications. In the first application we forecast the US equity premium and in the second application we investigate the macroeconomic effects of a US monetary policy shock. Paper jointly with Florian Huber and Martin Feldkircher We are looking forward to seeing you! Institute for Advanced Studies Josefstädter Straße 39, 1080 Vienna, Austria Tel.: +43 1 599 91 145 e-Mail: economics@ihs.ac.at http://economics.ihs.ac.at		LINKS DIRECTIONS TO IHS on Google maps ECONOMICS SEMINARS IN VIENNA on Google calendar
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