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A mixed splicing procedure for economic time series

Fuente, Ángel de la - 2009

This note develops a flexible methodology for splicing economic time series that avoids the extreme assumptions implicit in the procedures most commonly used in the literature. It allows the user to split the required correction to the older of the series being linked between its levels and...

Persistent link: https://www.econbiz.de/10003922946

Forecasting nonlinear aggregates and aggregates with time-varying weights

Lütkepohl, Helmut - 2010

Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic …, time-invariant aggregation weights. In this study a framework for nonlinear contemporaneous aggregation with possibly … theoretical setup and the forecasting results. -- forecasting ; stochastic aggregation ; autoregression ; moving average ; vector …

Persistent link: https://www.econbiz.de/10003966437

Imputing monthly values for quarterly time series : an application performed with Swiss business cycle data

Abberger, Klaus; Graff, Michael; Müller, Oliver; … - 2022

This paper documents a comparative application of algorithms to deal with the problem of missing values in higher frequency data sets. We refer to Swiss business tendency survey (BTS) data which are conducted in both monthly and quarterly frequency, where an information sub-set is collected at...

Persistent link: https://www.econbiz.de/10013482570

Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...

Persistent link: https://www.econbiz.de/10003807908

The role of the log transformation in forecasting economic variables

Lütkepohl, Helmut; Fang, Xu - 2009

For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...

Persistent link: https://www.econbiz.de/10003820020

Multi-Factor Gegenbauer processes and European inflation rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2009

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

Persistent link: https://www.econbiz.de/10003850335

Weak and strong cross section dependence and estimation of large panels

Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - 2009

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

Persistent link: https://www.econbiz.de/10003854425

Forecasting random walks under drift instability

Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008

Persistent link: https://www.econbiz.de/10003711763

Cointegration analysis with mixed-frequency data

Seong, Byeongchan (contributor); Ahn, Sung K. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003496561

A multivariate long-memory model with structural breaks

Caporale, Guglielmo Maria (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003496720

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