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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

Combination Schemes for Turning Point Predictions

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Institute - 2011

We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We consider turning point predictions generated by...

Persistent link: https://www.econbiz.de/10009276031

Visualizing the Invisible: Estimating The New Keynesian Output Gap Via A Bayesian Approach

Willems, Tim - Tinbergen Institute - 2009

As both the natural level of output and the New Keynesian output gap cannot be observed in practice, there is quite some debate on the question how these variables look like in practice. Rather than taking the standard approach of using a time trend or the HP-filter to obtain estimates of these...

Persistent link: https://www.econbiz.de/10004987450

Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Institute - 2011

Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach the model set can be incomplete. Several multivariate time-varying...

Persistent link: https://www.econbiz.de/10008838629

The Comovement between Real Activity and Prices in the G7

Haan, Wouter J. den - Tinbergen Institute - 2002

In this paper, we study the short-run and long-run comovement between prices and real activity in the G7 countries during the postwar period using vector autoregressive systems and frequency-domain filters. We find several patterns that are robust across countries and time periods. Typically,...

Persistent link: https://www.econbiz.de/10005144461

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

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

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10005144392

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

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

What are the Effects of Monetary Policy Shocks? Evidence from Dollarized Countries

Willems, Tim - Tinbergen Institute - 2010

Traditional ways of analyzing the effects of monetary policy shocks via structural vector autoregressions require the use of unrealistic identifying assumptions: they either do not allow for a response of output and prices on impact of the shock, or they exclude contemporaneous values of these...

Persistent link: https://www.econbiz.de/10008838547

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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