HEDIBERT FREITAS LOPES

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Agora exibindo 1 - 10 de 10
  • When It Counts—Econometric Identification of the Basic Factor Model Based on GLT Structures
    (2023) Frühwirth-Schnatter, Sylvia; Hosszejni, Darjus; HEDIBERT FREITAS LOPES
    Despite the popularity of factor models with simple loading matrices, little attention has been given to formally address the identifiability of these models beyond standard rotation-based identification such as the positive lower triangular (PLT) constraint. To fill this gap, we review the advantages of variance identification in simple factor analysis and introduce the generalized lower triangular (GLT) structures. We show that the GLT assumption is an improvement over PLT without compromise: GLT is also unique but, unlike PLT, a non-restrictive assumption. Furthermore, we provide a simple counting rule for variance identification under GLT structures, and we demonstrate that within this model class, the unknown number of common factors can be recovered in an exploratory factor analysis. Our methodology is illustrated for simulated data in the context of post-processing posterior draws in sparse Bayesian factor analysis.
  • Artigo Científico
    Stochastic Volatility Models with Skewness Selection
    (2024) Martins, Igor; HEDIBERT FREITAS LOPES
    This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of future asset returns, it comes at the risk of leading to overparameterization. Our proposed approach mitigates this concern by leveraging sparsity-inducing priors to automatically select the skewness parameter as dynamic, static or zero in a data-driven framework. We consider two empirical applications. First, in a bond yield application, dynamic skewness captures interest rate cycles of monetary easing and tightening and is partially explained by central banks’ mandates. In a currency modeling framework, our model indicates no skewness in the carry factor after accounting for stochastic volatility. This supports the idea of carry crashes resulting from volatility surges instead of dynamic skewness.
  • Artigo Científico
    Walk on the Wild Side: Temporarily Unstable Paths and Multiplicative Sunspots
    (2019) Ascari, Guido; Bonomolo, Paolo; HEDIBERT FREITAS LOPES
    We propose a generalization of the rational expectations framework to allow for temporarily unstable paths. Our approach introduces multiplicative sunspot shocks and it yields drifting parameters and stochastic volatility. Then, we provide an econometric strategy to estimate this generalized model on the data. The methodology allows the data to choose between different possible alternatives: determinacy, indeterminacy, and temporary instability. We apply our methodology to US inflation dynamics in the 1970s through the lens of a simple New Keynesian model. When temporarily unstable paths are allowed, the data unambiguously select them to explain the stagflation period in the 1970s.
  • Artigo Científico
    Probabilistic Nearest Neighbors Classification
    (2024) Fava, Bruno; PAULO CILAS MARQUES FILHO; HEDIBERT FREITAS LOPES
    Analysis of the currently established Bayesian nearest neighbors classification model points to a connection between the computation of its normalizing constant and issues of NP-completeness. An alternative predictive model constructed by aggregating the predictive distributions of simpler nonlocal models is proposed, and analytic expressions for the normalizing constants of these nonlocal models are derived, ensuring polynomial time computation without approximations. Experiments with synthetic and real datasets showcase the predictive performance of the proposed predictive model.
  • Artigo Científico
    Decoupling Shrinkage and Selection in Gaussian Linear Factor Analysis
    (2024) Bolfarine, Henrique; Carvalho, Carlos M.; HEDIBERT FREITAS LOPES; Murray, Jared S.
    Factor analysis is a popular method for modeling dependence in multivariate data. However, determining the number of factors and obtaining a sparse orientation of the loadings are still major challenges. In this paper, we propose a decision-theoretic approach that brings to light the relationship between model fit, factor dimension, and sparse loadings. This relation is done through a summary of the information contained in the multivariate posterior. A two-step strategy is used in our method. First, given the posterior samples from the Bayesian factor analysis model, a series of point estimates with a decreasing number of factors and different levels of sparsity are recovered by minimizing an expected penalized loss function. Second, the degradation in model fit between the posterior of the full model and the recovered estimates is displayed in a summary. In this step, a criterion is proposed for selecting the factor model with the best trade-off between fit, sparseness, and factor dimension. The findings are illustrated through a simulation study and an application to personality data. We used different prior choices to show the flexibility of the proposed method.
  • Artigo Científico
    Sparse Bayesian Factor Analysis When the Number of Factors Is Unknown
    (0204) Frühwirth-Schnatter, Sylvia; Hosszejni, Darjus; HEDIBERT FREITAS LOPES
    There has been increased research interest in the subfield of sparse Bayesian factor analysis with shrinkage priors, which achieve additional sparsity beyond the natural parsimonity of factor models. In this spirit, we estimate the number of common factors in the widely applied sparse latent factor model with spike-and-slab priors on the factor loadings matrix. Our framework leads to a natural, efficient and simultaneous coupling of model estimation and selection on one hand and model identification and rank estimation (number of factors) on the other hand. More precisely, by embedding the unordered generalised lower trian gular loadings representation into overfitting sparse factor modelling, we obtain posterior summaries regarding factor loadings, common factors as well as the factor dimension via postprocessing draws from our efficient and customized Markov chain Monte Carlo scheme.
  • Artigo Científico
    Modeling sea-level processes on the U.S. Atlantic Coast
    (2020) Berrett, Candace; Christensen, William F.; Sain, Stephan R.; Sandholtz, Nathan; Coats, David W.; Tebaldi, Claudia; HEDIBERT FREITAS LOPES
    One of the major concerns engendered by a warming climate are changing sea levels and their lasting effects on coastal populations, infrastructures, and natural habitats. Sea levels are now monitored by satellites, but long-term records are only available at discrete locations along the coasts. Sea levels and sea-level processes must be better understood at the local level to best inform real-world adaptation decisions. We propose a statistical model that facilitates the characterization of known sea-level processes, which jointly govern the observed sea level along the United States Atlantic Coast. Our model not only incorporates long-term sea level rise and seasonal cycles but also accurately accounts for residual spatiotemporal processes. By combining a spatially varying coefficient modeling approach with spatiotemporal factor analysis methods in a Bayesian framework, the method represents the contribution of each of these processes and accounts for corresponding dependencies and uncertainties in a coherent way. Additionally, the model provides a consistent way to estimate these processes and sea level values at unmonitored locations along the coast. We show the outcome of the proposed model using thirty years of sea level data from 38 stations along the Atlantic (east) Coast of the United States. Among other results, our method estimates the rate of sea level rise to range from roughly 1 mm/year in the northern and southern regions of the Atlantic coast to 5.4 mm/year in the middle region.
  • Artigo Científico
    On the Long-Run Volatility of Stocks
    (2018) Carvalho, Carlos M.; HEDIBERT FREITAS LOPES; McCulloch, Robert E.
    In this article, we investigate whether or not the volatility per period of stocks is lower over longer horizons.Taking the perspective of an investor, we evaluate the predictive variance of k-period returns under differentmodel and prior specifications. We adopt the state-space framework of Pástor and Stambaugh to model thedynamics of expected returns and evaluate the effects of prior elicitation in the resulting volatility estimates.Part of the developments includes an extension that incorporates time-varying volatilities and covariancesin a constrained prior information set-up. Our conclusion for the U.S. market, under plausible prior specifi-cations, is that stocks are less volatile in the long run. Model assessment exercises demonstrate the modelsand priors supporting our main conclusions are in accordance with the data. To assess the generality of theresults, we extend our analysis to a number of international equity indices. Supplementary materials for thisarticle are available online.
  • Artigo Científico
    Particle learning for Bayesian semi-parametric stochasticvolatility model
    (2019) Virbickaitė, Audronė; HEDIBERT FREITAS LOPES; Ausín, M. Concepción; Galeano, Pedro
    This article designs a Sequential Monte Carlo (SMC) algorithm for estimation of Bayesian semi-parametric Stochastic Volatility model for financial data. In particular, it makes use of one of the most recent particle filters called Particle Learning (PL). SMC methods are especially well suited for state-space models and can be seen as a cost-efficient alternative to Markov Chain Monte Carlo (MCMC), since they allow for online type inference. The posterior distributions are updated as new data is observed, which is exceedingly costly using MCMC. Also, PL allows for consistent online model comparison using sequential predictive log Bayes factors. A simulated data is used in order to compare the posterior outputs for the PL and MCMC schemes, which are shown to be almost identical. Finally, a short real data application is included.
  • Artigo Científico
    Deep learning models for inflation forecasting
    (2023) Theoharidis, Alexandre Fernandes; DIOGO ABRY GUILLEN; HEDIBERT FREITAS LOPES; Hosszejni, Darjus
    We propose a hybrid deep learning model that merges Variational Autoencoders and Convolutional LSTM Networks (VAE-ConvLSTM) to forecast inflation. Using a public macroeconomic database that comprises 134 monthly US time series from January 1978 to December 2019, the proposed model is compared against several popular econometric and machine learning benchmarks, including Ridge regression, LASSO regression, Random Forests, Bayesian methods, VECM, and multilayer perceptron. We find that VAE-ConvLSTM outperforms the competing models in terms of consistency and out-of-sample performance. The robustness of such conclusion is ensured via cross-validation and Monte-Carlo simulations using different training, validation, and test samples. Our results suggest that macroeconomic forecasting could take advantage of deep learning models when tackling nonlinearities and nonstationarity, potentially delivering superior performance in comparison to traditional econometric approaches based on linear, stationary models.