The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector autoregressive model, whether all estimators are born equal:...

This discussion paper led to an article in the <I>Oxford Bulletin of Economics and Statistics</I> (2009). Vol. 71, pages 683-713.<P> This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic...</p></i>

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...

In the past decades several features of U.S. unemployment dynamics have been investigated empirically. The original focus of research was on the duration of unemployment. In later studies the cyclicality of incidence and duration, compositional effects and duration dependence of the exit rate...

This discussion paper resulted in a publication in the <A href="http://onlinelibrary.wiley.com/doi/10.1002/jae.2411/full">'Journal of Applied Econometrics'</A>, 2014, 29(7), 1164-1182.<P> Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended Phillips Curve (PC) models. It is shown that...</p></a>

We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...

This discussion paper resulted in a publication in the 'Journal of Econometrics', 2013, 177(2), 213-232.<P> We propose a Bayesian combination approach for multivariate predictive densities which relies upon a distributional state space representation of the combination weights. Several...</p>

Interactions between the eurozone and US booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model accommodates changes in low and high data frequencies and endogenous...