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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

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

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

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

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

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

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

on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …

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

Entrepreneurship, Wage Employment and Control in an Occupational Choice Framework

Douhan, Robin; Praag, Mirjam van - Tinbergen Institute - 2009

We combine two empirical observations in a general equilibrium occupational choice model. The first is that entrepreneurs have more control than employees over the employment of and accruals from assets, such as human capital. The second observation is that entrepreneurs enjoy higher returns to...

Persistent link: https://www.econbiz.de/10004964455

Competition and Educational Quality: Evidence from The Netherlands

Dijkgraaf, Elbert; Gradus, Raymond H.J.M.; Jong, Matthijs de - Tinbergen Institute - 2009

Ample evidence is available for the effect of competition on educational quality as only a few countries allow large scale competition. In the Netherlands free parental choice is present since the beginning of the 20th century, which can be characterized as a full voucher program with 100%...

Persistent link: https://www.econbiz.de/10008513221

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