Showing 1 - 10 of 80
Persistent link: https://www.econbiz.de/10005022238
The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is...
Persistent link: https://www.econbiz.de/10005022239
The paper contains some implications for applied econometric research. Two important ones are, first, that invertible models, such as AR or VAR models, cannot in general be used to model seasonally adjusted or detrended data. The second one is that to look at the business cycle in detrended...
Persistent link: https://www.econbiz.de/10005155211
We investigate identifiability issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model impulse responses. Observational equivalence, partial and weak identification problems are...
Persistent link: https://www.econbiz.de/10005155307
Spatial surveillance is a special case of multivariate surveillance. Thus, in this review of spatial outbreak methods, the relation to general multivariate surveillance approaches is discussed. Different outbreak models are needed for different public health applications. We will discuss methods...
Persistent link: https://www.econbiz.de/10009651890
Markov chains (MCs) have been used to study how the health states of patients are progressing in time. With few exceptions the studies have been based on the questionable assumptions that the MC has order m=1 and is homogeneous in time. In this paper a three-state non-homogeneous MC model is...
Persistent link: https://www.econbiz.de/10009358937
A three-state non-homogeneous Markov chain (MC) of order m=0, denoted M(m), was previously introduced by the author. The model was used to analyze work resumption among sick-listed patients. It was demonstrated that wrong assumptions about the Markov order m and about homogeneity can seriously...
Persistent link: https://www.econbiz.de/10009358938
This paper evaluates how different lengths of entry regulation impact market structure and market performance using a dynamic structural model. We formulate an oligopoly model in the tradition of Ericson and Pakes (1995) and allow entry costs to vary over time. Firms have the opportunity to...
Persistent link: https://www.econbiz.de/10010670793
The relation between change points in multivariate surveillance is important but seldom considered. The sufficiency principle is here used to clarify the structure of some problems, to find efficient methods, and to determine appropriate evaluation metrics. We study processes where the changes...
Persistent link: https://www.econbiz.de/10004967603
In this article, we revisit the Friday the 13th effect discussed by Kolb and Rodriguez (1987) that has received increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this superstitious calendar day has significant impact on the...
Persistent link: https://www.econbiz.de/10010697220