The Hodrick-Prescott (HP) method is a popular smoothing method for economic time series to get a smooth or long-term component of stationary series like growth rates. We show that the HP smoother can be viewed as a Bayesian linear model with a strong prior using differencing matrices for the...

The Hodrick-Prescott (HP) method is a popular smoothing method for economic time series to get a longterm component of stationary series like growth rates. The new extended HP smoothing model is applied to data-sets with an underlying metric and requires a Bayesian linear regression model with a...

Beer sales in Germany are confronted for several years with a shrinking market share in the market of alcoholic beverages. I use the approach of sales response function (SRF) models as in Polasek and Baier (2010) and adapt it to time series observation of beer sales for simultaneous estimation....

Missing data in dynamic panel models occur quite often since detailed recording of the dependent variable is often not possible at all observation points in time and space. In this paper we develop classical and Bayesian methods to complete missing data in panel models. The Chow-Lin (1971)...

Completing data sets that are collected in heterogeneous units is a quite frequent problem. Chow and Lin (1971) were the first to develop a unified framework for the three problems (interpolation, extrapolation and distribution) of predicting times series by related series (the `indicators')....

Economists expect positive returns to investments in infrastructure. However a project with higher national returns might have less favorable effects on a regional level than the alternative. Therefore new infrastructure should also be assessed on a regional level, but econom(etr)ic evalua tion...

The paper explores the quarterly sequence of business cycles in Iceland for 40 years between 1970 and 2009 using the business cycle technique of Leamer (2009). We apply first a turning point (TP) dating identification procedure based on the Hendrick- Prescott (HP) filter of the quarterly growth...

Endogeneity and exogeneity are topics that are mainly discussed in macroeconomics. We show that sales response functions (SRF) are exposed to the same problem if we assume that the control variables in a SRF refl ect behavioral reactions of the supply side. The supply side actions are covering a...

Spatial autoregressive models come with a variety of estimators and it is interesting and useful to compare the estimators by location and covariance properties. In this paper, we first study the local sensitivity behavior of the main least squares estimator by using matrix derivatives. We then...

Long-term predictions with a system of dynamic panel models can have tricky properties since the time dimension in regional (cross) sectional models is usually short. This paper describes the possible approaches to make long-term-ahead forecast based on a dynamic panel set, where the dependent...