Kerem Tuzcuoglu

Bank of Canada

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

SCHOLARLY PAPERS

2

DOWNLOADS

58

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

Interpreting the Latent Dynamic Factors By Threshold FAVAR Model

Bank of England Working Paper No. 622
Number of pages: 34 Posted: 11 Oct 2016
Sinem Hacioglu Hoke and Kerem Tuzcuoglu
Bank of England and Bank of Canada
Downloads 44 (445,123)
Citation 2

Abstract:

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Factor models, FAVAR, latent threshold, MCMC, interpretation of latent factors, shrinkage estimation

Interpreting the Latent Dynamic Factors by Threshold FAVAR Model

Posted: 19 May 2014 Last Revised: 04 Apr 2018
Kerem Tuzcuoglu and Sinem Hacioglu Hoke
Bank of Canada and Bank of England

Abstract:

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Time-varying FAVAR, latent threshold, MCMC, interpretation of latent factors, shrinkage estimation

2.

Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects

Bank of Canada Staff Working Paper 2019-16, May 2019
Number of pages: 68 Posted: 29 May 2019
Kerem Tuzcuoglu
Bank of Canada
Downloads 14 (594,893)

Abstract:

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Autocorrelated discrete variables, non-linear panel data models, identification, dynamic binary choice, intractable likelihood, credit ratings