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Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach
Pozzi, Lorenzo - Tinbergen Institute - 2007
We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is decomposed into an aggregate and into an...
Persistent link: https://www.econbiz.de/10005209435
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Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
Koop, Gary; Dijk, Herman K. van; Hoek, Henk - Tinbergen Institute - 1997
In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...
Persistent link: https://www.econbiz.de/10005450743
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Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models
Koopman, Siem Jan; Lucas, Andre; Scharth, Marcel - Tinbergen Institute - 2011
We introduce a new efficient importance sampler for nonlinear non-Gaussian state space models. By combining existing numerical and Monte Carlo integration methods, we obtain a general and efficient likelihood evaluation method for this class of models. Our approach is based on the idea that only...
Persistent link: https://www.econbiz.de/10008873337
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Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
Koop, Gary; Dijk, Herman K. van - Tinbergen Institute - 1999
In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...
Persistent link: https://www.econbiz.de/10005282046
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Derived Measurement in Macroeconomics: Two Approaches for Measuring the NAIRU Considered
Rodenburg, Peter - Tinbergen Institute - 2007
This paper investigates two different procedures for the measurement of the NAIRU; one based on structural modeling … (the NAIRU) and numbers. The paper argues that shifts of the Phillips-curve are not a problem for the structural approach … to measurement of the NAIRU, as the NAIRU itself is a time-varying concept. It is however, the impossibility to identify …
Persistent link: https://www.econbiz.de/10005450803