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Controlling Complexity in Spatial Modelling

Paelinck, Jean - CESifo - 2000

The present complexity approach is based on two assumptions: A1: measurability of deviations of outcomes with respect to reference values; A2 : extension of A1 to multi-set analysis. Complexity is then defined in terms of multi-set deviation compared to single-set ones; an interpretation is...

Persistent link: https://www.econbiz.de/10005181604

The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?

Federici, Daniela; Gandolfo, Giancarlo - CESifo - 2011

’ beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity … that gives rise to a jerk differential equation, which is in principle capable of generating chaos. The model is …

Persistent link: https://www.econbiz.de/10009020093

Forecasting aggregates using panels of nonlinear time series

Fok, D.; Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2004

Macroeconomic time series such as total unemployment or total industrial production concern data which are aggregated across regions, sectors, or age categories. In this paper we examine if forecasts for these aggregates can be improved by considering panel models for the disaggregate series. As...

Persistent link: https://www.econbiz.de/10004991127

The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa

Egert, Balazs - CESifo - 2009

This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...

Persistent link: https://www.econbiz.de/10005000381

An Alternative Conditional Asymmetry Specification for Stock Returns

Brännäs, Kurt; Nordman, Niklas - CESifo - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10005765680

Common large innovations across nonlinear time series

Franses, Ph.H.B.F.; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2002

nonlinearity across economic variables. The model is a multivariate censored latent effects autoregression. The key feature of this … model is that nonlinearity appears as separate innovation-like variables. Common nonlinearity can then be easily defined as … not the other way around, and also that there is no common nonlinearity across the unemployment variables. …

Persistent link: https://www.econbiz.de/10005696119

The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production

Franses, Ph.H.B.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2001

. In addition, business cycle nonlinearity is a prominent feature of many such series too. A forecaster can nowadays … we examine the forecasting performance of various models for seasonality and nonlinearity using quarterly industrial …

Persistent link: https://www.econbiz.de/10008570605

Forecasting industrial production with linear, nonlinear, and structural change models

Siliverstovs, B.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2003

We compare the forecasting performance of linear autoregressive models, autoregressive models with structural breaks, self-exciting threshold autoregressive models, and Markov switching autoregressive models in terms of point, interval, and density forecasts for h-month growth rates of...

Persistent link: https://www.econbiz.de/10008570631

Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy

Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2003

Nonlinear time series models have become fashionable tools to describe and forecast a variety of economic time series. A closer look at reported empirical studies, however, reveals that these models apparently fit well in-sample, but rarely show a substantial improvement in out-of-sample...

Persistent link: https://www.econbiz.de/10008584688

Nonlinearities and outliers: robust specification of STAR models

Escribano, A.; Franses, Ph.H.B.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 1998

Outliers and nonlinearity may easily be mistaken. This paper uses Monte Carlo methods to examine and compare the …

Persistent link: https://www.econbiz.de/10008584751