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Periodic unobserved cycles in seasonal time series with an application to US unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

Persistent link: https://www.econbiz.de/10011350384

Examining the Nelson-Siegel class of term structure models

Pooter, Michiel de - 2007

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

Persistent link: https://www.econbiz.de/10011372504

The power of weather : some empirical evidence on predicting day-ahead power prices through day-ahead weather forecasts

Huurman, Christian; Ravazzolo, Francesco; Chen Zhou - 2007

wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …

Persistent link: https://www.econbiz.de/10011372511

Likelihood-based analysis for dynamic factor models

Jungbacker, Borus; Koopman, Siem Jan - 2008

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

Persistent link: https://www.econbiz.de/10011373811

Forecasting aggregate productivity using information from firm-level data

Bartelsman, Eric J.; Wolf, Zoltán - 2009

explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

Persistent link: https://www.econbiz.de/10011378362

Forecasting with vector autoregressive models of data vintages : US output growth and inflation

Clements, Michael P.; Galvão, Ana Beatriz C. - In: International journal of forecasting 29 (2013) 4, pp. 698-714

Persistent link: https://www.econbiz.de/10010221301

Now-casting inflation using high frequency data

Modugno, Michele - In: International journal of forecasting 29 (2013) 4, pp. 664-675

Persistent link: https://www.econbiz.de/10010221306

Nowcasting US GDP : the role of ISM business surveys

Lahiri, Kajal; Monokroussos, George - In: International journal of forecasting 29 (2013) 4, pp. 644-658

Persistent link: https://www.econbiz.de/10010221312

Linear time-varying regression with a DCC-GARCH model for volatility

Kim, Jong-Min; Jung, Hojin; Qin, Li - In: Applied economics 48 (2016) 16/18, pp. 1573-1582

Persistent link: https://www.econbiz.de/10011456689

Would information on consumer confidence have helped to predict UK household expenditure during the recent economic crisis?

Gausden, Robert; Hasan, Mohammad S. - In: Applied economics 48 (2016) 16/18, pp. 1695-1709

Persistent link: https://www.econbiz.de/10011456726

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