Search Results - subject:"Structural Time Series"

Forecasting Time-Series with Correlated Seasonality

Gould, Phillip; Koehler, Anne B.; Vahid-Araghi, Farshid; … - Department of Econometrics and Business Statistics, … - 2004

A new approach is proposed for forecasting a time series with multiple seasonal patterns. A state space model is developed for the series using the single source of error approach which enables us to develop explicit models for both additive and multiplicative seasonality. Parameter estimates...

Persistent link: https://www.econbiz.de/10005427630

The Development of Water Rights in Colorado

Penn, David A.; Zietz, Joachim - Economics and Finance Department, Jennings A. Jones … - 2004

Property rights will be more carefully defined and enforced when the value of a resource rises or the probability of losing the resource increases. A simple model is estimated on litigation data for Colorado to test this hypothesis. According to the model, the number of water rights cases will...

Persistent link: https://www.econbiz.de/10005587826

Intervention Time Series Analysis of Crime Rates

Sridharan, Sanjeev; Vujic, Suncica; Koopman, Siem Jan - 2003

.Finally, the flexibility of structural time series models is illustrated by presenting a mul-tivariate analysis that provides some …

Persistent link: https://www.econbiz.de/10010324958

Intervention Time Series Analysis of Crime Rates

Sridharan, Sanjeev; Vujic, Suncica; Koopman, Siem Jan - Tinbergen Institute - 2003

particular, structural time series models are considered as an alternative to the Box-Jenkins ARIMA models that form the standard …. Finally, the flexibility of structural time series models is illustrated by presenting a mul- tivariate analysis that provides …

Persistent link: https://www.econbiz.de/10005144497

Intervention time series analysis of crime rates

Sridharan, Sanjeev; Vujić, Sunčica; Koopman, Siem Jan - 2003

.Finally, the flexibility of structural time series models is illustrated by presenting a mul-tivariate analysis that provides some …

Persistent link: https://www.econbiz.de/10011333897

Intervention Time Series Analysis of Crime Rates

Sridharan, Sanjeev; Vujic, Suncica; Koopman, Siem Jan - Tinbergen Instituut - 2003

.Finally, the flexibility of structural time series models is illustrated by presenting a mul-tivariate analysis that provides some …

Persistent link: https://www.econbiz.de/10011256498

Some empirical evidence on variations in Australian housing finance commitments

Karamujic, M.H. - In: Property Management 29 (2011) 4, pp. 330-344

to present a univariate structural time series analysis of the Australian Housing Finance Commitments (HFCs) covering the … possible hypotheses that explain such a pattern. Design/methodology/approach – A structural time series framework approach … a complex form. The structural time series model is applied to seasonally unadjusted monthly HFCs, between 1988:6 and …

Persistent link: https://www.econbiz.de/10014971766

On the Change in the Austrian Business Cycle

Bilek-Steindl, Sandra - Österreichisches Institut für Wirtschaftsforschung (WIFO) - 2011

cyclical pattern is captured using a nonlinear univariate structural time series model where the time of the break point is …

Persistent link: https://www.econbiz.de/10008787352

A Longer-run Perspective on Fiscal Sustainability

Afonso, António; Jalles, João Tovar - ISEG - School of Economics and Management, Department … - 2011

government debt, and disentangling the components of the debt series using Structural Time Series Models, we are able to conclude …

Persistent link: https://www.econbiz.de/10009322926

The stylised facts of Australia's business cycle

Tawadros, George B. - In: Economic Modelling 28 (2011) 1, pp. 549-556

This paper reassesses the ‘stylised facts’ of Australia's contemporary business cycle, by calculating select moments of the cyclical components in quarterly postwar macroeconomic data. In particular, the robustness of the cross-correlation sample moments to the detrending procedure are...

Persistent link: https://www.econbiz.de/10010577091