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dc.contributor.authorPetrova, Katerina
dc.identifier.citationPetrova, K. 2016. A Quasi-Bayesian Local Likelihood Approach to Time Varying Parameter Models. Queen Mary University of Londonen_US
dc.description.abstractThis thesis proposes a new econometric methodology for the estimation and inference of macro- economic models in the presence of time variation in the parameters. A novel quasi-Bayesian local likelihood (QBLL) approach is established and it is shown that the method gives rise to as- ymptotically valid quasi-posterior distributions. In addition, in the special case of linear Gaussian models, expressions of the quasi-posteriors are derived in closed form, which simpli es inference and makes the use of MCMC unnecessary. Inference based on the QBLL approach, as a consequence of modelling parameter variation nonparametrically, is robust to di¤erent processes for the drifting parameters, as its validity does not depend on parametric restrictions typically imposed by alterna- tive state space models. In addition, the Bayesian treatment of the approach provides a remedy to the curse of dimensionality by accommodating large dimensional systems. We demonstrate that the proposed estimators exhibit good nite sample properties, and, unlike the alternative para- metric state space models, are robust to di¤erent parameter processes. We provide a variety of interesting macroeconomic applications and forecasting exercises to reduced-form VAR models. In addition, we develop the methodology to the estimation of structural DSGE models in the presence of parameter drift. We apply the proposed algorithms to di¤erent medium-sized DSGE models in order to study structural change in the parameters.en_US
dc.publisherQueen Mary University of Londonen_US
dc.rightsThe copyright of this thesis rests with the author and no quotation from it or information derived from it may be published without the prior written consent of the author
dc.subjectEconomics and Financeen_US
dc.subjectmacro- economic modelsen_US
dc.titleA Quasi-Bayesian Local Likelihood Approach to Time Varying Parameter Modelsen_US

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    Theses Awarded by Queen Mary University of London

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