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Doornik, Jurgen A.; Ooms, Marius - Tinbergen Institute - 2005

We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier candidates are the observations with the largest standardized residual. First, a likelihood-ratio based test determines the presence and timing of an outlier. Next, a second...

Persistent link: https://www.econbiz.de/10005144394

An Hourly Periodic State Space Model for Modelling French National Electricity Load

Dordonnat, V.; Koopman, S.J.; Ooms, M.; Dessertaine, A.; … - Tinbergen Institute - 2008

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...

Persistent link: https://www.econbiz.de/10005144435

Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Institute - 2008

We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted...

Persistent link: https://www.econbiz.de/10005137187

Modeling Trigonometric Seasonal Components for Monthly Economic Time Series

Hindrayanto, Irma; Aston, John A.D.; Koopman, Siem Jan; … - Tinbergen Institute - 2010

The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal...

Persistent link: https://www.econbiz.de/10008838551

Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Institute - 2008

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

Persistent link: https://www.econbiz.de/10005450792

Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging

Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Institute - 2010

The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class of

Persistent link: https://www.econbiz.de/10008838546

Long Memory Dynamics for Multivariate Dependence under Heavy Tails

Janus, Pawel; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2011

We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to outliers or jumps in the...

Persistent link: https://www.econbiz.de/10009386532

Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach

Haldrup, Niels; Jansson, Michael - Tinbergen Institute - 1999

behavior of F-statistics based on OLS estimators depends continuously on the aforementioned squared multiple correlation … correlation computed from the long-run covariance matrix of the innovation sequences is a primitive parameter of the model. Based … on this representation, a notion of near cointegration is proposed and three separate applications of the model of near …

Persistent link: https://www.econbiz.de/10005137044

Growth and Inequality: A Meta-Analysis

Dominicis, Laura de; Groot, Henri L.F. de; Florax, … - Tinbergen Institute - 2006

In recent years there has been a growing interest in the impact of inequality on economic growth. Both theoretical and empirical approaches have produced ambiguous results on sign and size of this relationship. Although there is a considerable part of the literature that considers inequality...

Persistent link: https://www.econbiz.de/10005209497

To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods

Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Institute - 2009

Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior distributions. We focus on the situation where one makes use of importance sampling or the independence chain...

Persistent link: https://www.econbiz.de/10005016276

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