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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 … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …

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

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

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

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

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

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

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

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

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Persistent link: https://www.econbiz.de/10008838634

Money - Inflation Nexus in Indonesia: Evidence from a P-Star Analysis

Anglingkusumo, Reza - Tinbergen Institute - 2005

crisis is empirically examined. The standard model for the monetary analysis of inflation, i.e. the P-Star model by Hallman … long run dynamics of CPI inflation in Indonesia remarkably weIl. Hence, there is an empirical support for the assertion …

Persistent link: https://www.econbiz.de/10005144495

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