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~institution:"Tinbergen Institute"
~person:"Koopman, Siem Jan"
~person:"Minford, Patrick"
~subject:"Kalman filter"
~subject:"Unobserved Components"
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MEDEA: a DSGE model for the Sp...
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Koopman, Siem Jan
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Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area
Azevedo, Joao Valle e
;
Koopman, Siem Jan
;
Rua, Antonio
-
Tinbergen Institute
-
2003
This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...
Persistent link: https://www.econbiz.de/10005137016
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2
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series
Koopman, Siem Jan
;
Lee, Kai Ming
-
Tinbergen Institute
-
2005
To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...
Persistent link: https://www.econbiz.de/10005137023
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3
Convergence in European GDP Series
Luginbuhl, Rob
;
Koopman, Siem Jan
-
Tinbergen Institute
-
2003
of five European countries: Germany, France, Italy,
Spain
and the Netherlands. It is found that convergence features in …
Persistent link: https://www.econbiz.de/10005137043
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4
Likelihood Functions for State Space Models with Diffuse Initial Conditions
Francke, Marc K.
;
Koopman, Siem Jan
;
Vos, Aart de
-
Tinbergen Institute
-
2008
State space models with nonstationary processes and fixed regression effects require a state vector with diffuse initial conditions. Different likelihood functions can be adopted for the estimation of parameters in time series models with diffuse initial conditions. In this paper we consider...
Persistent link: https://www.econbiz.de/10005137120
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5
Measuring Synchronisation and Convergence of Business Cycles
Koopman, Siem Jan
;
Azevedo, Joao Valle e
-
Tinbergen Institute
-
2003
This paper investigates business cycle relations among different economies in the Euro area. Cyclical dynamics are explicitly modelled as part of a time series model. We introduce mechanisms that allow for increasing or diminishing phase shifts and for time-varying association patterns in...
Persistent link: https://www.econbiz.de/10005137388
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