The Behavioral and Experimental Economics group has an influential position in this field in the Netherlands and Europe. CREED, the Amsterdam-based group, focuses particularly on three main projects: economics of political decision making; bounded rationality and institutions and experimental economics. The research of the Rotterdam-based group focuses on two broad themes: decision under risk and uncertainty and intertemporal choice.
- S.J. Koopman, G. Mesters
- The Review of Economics and Statistics, Volume 99 (3), July 2017, Pages 486-498
We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the shrinkage-based estimation of the loadings and factors. We investigate the methods in a large Monte Carlo study where we evaluate the finite sample properties of the empirical Bayes methods for quadratic loss functions. Finally, we present and discuss the results of an empirical study concerning the forecasting of U.S. macroeconomic time series using our empirical Bayes methods.
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