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Measuring and Predicting Heterogeneous Recessions
Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Institute - 2011
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with ‘mild’ and ‘severe’...
Persistent link: https://www.econbiz.de/10009369369
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Tenure Profiles and Efficient Separation in a Stochastic Productivity Model
Buhai, Sebastian; Teulings, Coen N. - Tinbergen Institute - 2005
This paper provides a new way of analyzing tenure profiles in wages, by modelling simultaneously the evolution of wages and the distribution of tenures. Starting point is the observation that within-job log wages for an individual can be described by random walk. We develop a theoretical model...
Persistent link: https://www.econbiz.de/10005137337
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Modeling and Estimation of Synchronization in Multistate Markov-Switching Models
Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Institute - 2011
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...
Persistent link: https://www.econbiz.de/10008838640
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A Bayesian Analysis of Unobserved Component Models using Ox
Bos, Charles S. - Tinbergen Institute
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility …
Persistent link: https://www.econbiz.de/10008867496
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Relating Stochastic Volatility Estimation Methods
Bos, Charles S. - Tinbergen Institute - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10008867506
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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
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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
importance of a robust and flexible estimation strategy is demonstrated where the complete posterior distribution is explored. In …
Persistent link: https://www.econbiz.de/10005016276
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Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Institute
conditions: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte …
Persistent link: https://www.econbiz.de/10005144392
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Outlier Detection in GARCH Models
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
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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