Jan Prüser
Biographic Data
| ID | 9567366 |
|---|---|
| NAME | Jan Prüser |
| GIVEN NAMES | Jan |
| FAMILY NAME | Prüser |
| SIGNATURE | PRÜSER J |
| AFFILIATIONS | TU Dortmund University |
| ORCID | 0000-0001-7435-7334 |
| VERIFIED | Yes |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 4 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2020 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 0 |
Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions
Modeling and predicting extreme movements in GDP is notoriously difficult, and the selection of appropriate covariates and/or possible forms of nonlinearities are key in obtaining precise forecasts. In this paper, our focus is on using large datasets in quantile regression models to forecast the conditional distribution of US GDP growth. To capture possible nonlinearities, we include several nonlinear specifications. The resulting models will be …
A Comparison of Approaches to Select the Informativeness of Priors in BVARs
Vector autoregressions (VARs) are richly parameterized time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, in small samples the rich parametrization of VAR models may come at the cost of overfitting the data, possibly leading to imprecise inference for key quantities of interest such as impulse response functions (IRFs). Bayesian VARs (BVARs) can use prior information to shrink the model …
Regional composition of national house price cycles in the US
On the Time‐Varying Effects of Economic Policy Uncertainty on the US Economy
We study the impact of Economic Policy Uncertainty (EPU) on the US Economy by using a VAR with time‐varying coefficients. The coefficients are allowed to evolve gradually over time which allows us to discover structural changes without imposing them a priori . We find three different regimes, which match the three major periods of the US economy, namely the Great Inflation, the Great Moderation and the Great Recession. The initial impact on real …
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On the Time‐Varying Effects of Economic Policy Uncertainty on the US Economy
We study the impact of Economic Policy Uncertainty (EPU) on the US Economy by using a VAR with time‐varying coefficients. The coefficients are allowed to evolve gradually over time which allows us to discover structural changes without imposing them a priori . We find three different regimes, which match the three major periods of the US economy, namely the Great Inflation, the Great Moderation and the Great Recession. The initial impact on real …
A Comparison of Approaches to Select the Informativeness of Priors in BVARs
Vector autoregressions (VARs) are richly parameterized time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, in small samples the rich parametrization of VAR models may come at the cost of overfitting the data, possibly leading to imprecise inference for key quantities of interest such as impulse response functions (IRFs). Bayesian VARs (BVARs) can use prior information to shrink the model …
Regional composition of national house price cycles in the US
Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions
Modeling and predicting extreme movements in GDP is notoriously difficult, and the selection of appropriate covariates and/or possible forms of nonlinearities are key in obtaining precise forecasts. In this paper, our focus is on using large datasets in quantile regression models to forecast the conditional distribution of US GDP growth. To capture possible nonlinearities, we include several nonlinear specifications. The resulting models will be …
Monetary Policy and Economic Impact (4 works) · Econometrics (3 works) · Market Dynamics and Volatility (3 works) · Artificial Intelligence (2 works) · Bayesian probability (2 works) · Computer Science (2 works) · Economics (2 works) · Forecasting Techniques and Applications (2 works) · Great recession (2 works) · Keynesian economics (2 works)