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Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series

Koopman, Siem Jan; Bos, Charles S. - Tinbergen Institute - 2002

concerned with the modelling and forecasting of two U.S. macroeconomic time series: inflation and industrial production. …

Persistent link: https://www.econbiz.de/10005209436

Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks

Bos, C.S.; Koopman, S.J.; Ooms, M. - Tinbergen Institute - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10005209535

Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production

Bos, Charles S.; Koopman, Siem Jan - Tinbergen Institute - 2010

straightforward. An illustration is given for monthly U.S. Industrial Production. The empirical results including estimates of time …

Persistent link: https://www.econbiz.de/10008838615

Combining Micro and Macro Unemployment Duration Data

Berg, Gerard J. van den; Klaauw, Bas van der - Tinbergen Institute - 1998

We combine micro and macro unemployment duration data to study the effects of the business cycle on the outflow from unemployment. We allow the cycle to affect individual exit probabilities of unemployed workers as well as the composition of the total inflow into unemployment. We estimate the...

Persistent link: https://www.econbiz.de/10005209460

Aggregate Real Wages: Macro Fluctuations and Micro Drivers

Daly, Mary C.; Hobijn, Bart; Wiles, Theodore S. - Tinbergen Institute - 2011

in the growth rate of real wages over time. We employ a novel decomposition technique that allows us to divide the time … procyclicality is largely offset by the change in the composition of the workforce, leading aggregate real wages to be almost …

Persistent link: https://www.econbiz.de/10009367437

Capital-Energy Substitution and Shifts in Factor Demand: A Meta-Analysis

Koetse, Mark J.; Groot, Henri L.F. de; Florax, Raymond … - Tinbergen Institute - 2006

This paper presents results of a meta-regression analysis on empirical estimates of capital-energy substitution. Theoretically it is clear that a distinction should be made between Morishima substitution elasticities and cross-price elasticities. The former represent purely technical...

Persistent link: https://www.econbiz.de/10005144446

The More Business Owners the Merrier? The Role of Tertiary Education

Praag, Mirjam van; Stel, Andre van - Tinbergen Institute - 2011

stand out. First, by estimating extended versions of traditional Cobb Douglas production functions on a sample of 19 OECD …

Persistent link: https://www.econbiz.de/10009147077

Materials, Capital, Direct/Indirect Substitution and Mass Balance Production Functions

Bergh, Jeroen C.J.M. van den - Tinbergen Institute - 1998

dimensions in economic production. A distinction is proposed between direct and indirect substitution. Linked to this, a … classification is offered of various types of substitutability and complementarity relationships between production factors. It is … argued that the neoclassical production function may be consistent with mass balance, but is unsuitable for a detailed and …

Persistent link: https://www.econbiz.de/10005504911

A General Framework for Observation Driven Time-Varying Parameter Models

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2008

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...

Persistent link: https://www.econbiz.de/10005209514

Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters

Koopman, Siem Jan; Mallee, Max I.P.; Wel, Michel van der - Tinbergen Institute - 2007

This discussion paper has resulted in a publication in the A rated journal 'Journal of Business and Economic Statistics'.<p>

Persistent link: https://www.econbiz.de/10005016262