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A General Framework for Observation Driven Time-Varying Parameter Models
Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2008
unified and consistent framework for introducing time-varying parameters in a wide class of non-linear models. The GAS model … specification provides a wide range of new observation driven models. Examples include non-linear regression models with time … moments. We study the properties of GAS models and provide several non-trivial examples of their application. …
Persistent link: https://www.econbiz.de/10005209514
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Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - Tinbergen Institute - 2005
Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method...
Persistent link: https://www.econbiz.de/10005144404
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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
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Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - Tinbergen Institute - 2006
This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic trend, seasonal and cycle components. Convenient state space formulations are introduced for exact maximum likelihood...
Persistent link: https://www.econbiz.de/10005137026
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A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10008838568
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Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
Bos, Charles S.; Koopman, Siem Jan - Tinbergen Institute - 2010
Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...
Persistent link: https://www.econbiz.de/10008838615
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Institute - 2011
less demanding than existing methods. The approach is illustrated on nonlinear discrete time series models and models with …
Persistent link: https://www.econbiz.de/10008838634
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Life Satisfaction Differences between Workers and Non-Workers - The Value of Participation per se
Praag, Bernard M.S. van; Ferrer-i-Carbonell, Ada - Tinbergen Institute - 2002
Is working more than monetary income? This paper attempts to give an answer to this question on the basis of the German Socio-economic Panel data set. By comparing the satisfaction with life between workers and non-workers with the same household income, the monetary value of participating in...
Persistent link: https://www.econbiz.de/10005209443
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Does Accessibility to Higher Education matter? Choice Behavior of High School Graduates in the Netherlands
Sá, Carla; Florax, Raymond J.G.M.; Rietveld, Piet - Tinbergen Institute - 2004
This paper identifies pivotal factors behind individual decision-making in the transition from high school to post-secondary education in the Netherlands. We apply a multinomial logit framework to individual data on post-secondary education choices. Specifically, our modeling approach...
Persistent link: https://www.econbiz.de/10005209513
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The Shadow Price of Aircraft Noise Nuisance
Praag, B.M.S. van; Baarsma, B.E. - Tinbergen Institute - 2001
This paper has a twofold objective. First, we develop a new method to assess the monetary value for individuals of external effects. The method makes use of an ordinal index of life satisfaction as scored by individual respondents who are subjected in varying intensity to the external effect....
Persistent link: https://www.econbiz.de/10005144424