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Idiosyncratic labour income risk and aggregate consumption : an unobserved component approach

Pozzi, Lorenzo - 2007

We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is decomposed into an aggregate and into an...

Persistent link: https://www.econbiz.de/10011372981

Can Google search data help predict macroeconomic series?

Niesert, Robin; Oorschot, Jochem; Veldhuisen, Chris; … - 2019

We use Google search data with the aim of predicting unemployment, CPI and consumer confidence for the US, UK, Canada, Germany and Japan. Google search queries have previously proven valuable in predicting macroeconomic variables in an in-sample context. To our knowledge, the more challenging...

Persistent link: https://www.econbiz.de/10011987495

Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van - 1999

In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...

Persistent link: https://www.econbiz.de/10011302135

Forecasting with Bayesian vector autoregressions with time variation in the mean

Bańbura, Marta; Vlodrop, Andries van - 2018

We develop a vector autoregressive model with time variation in the mean and the variance. The unobserved time-varying mean is assumed to follow a random walk and we also link it to long-term Consensus forecasts, similar in spirit to so called democratic priors. The changes in variance are...

Persistent link: https://www.econbiz.de/10011809970

Numerically accelerated importance sampling for nonlinear non-Gaussian state space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012

We introduce a new efficient importance sampler for nonlinear non-Gaussian state space models. We propose a general and efficient likelihood evaluation method for this class of models via the combination of numerical and Monte Carlo integration methods. Our methodology explores the idea that...

Persistent link: https://www.econbiz.de/10011386179

Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van; Hoek, Henk - 1997

In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...

Persistent link: https://www.econbiz.de/10010338455

Derived measurement in macroeconomics : two approaches for measuring the NAIRU considered

Rodenburg, Peter - 2007

This paper investigates two different procedures for the measurement of the NAIRU; one based on structural modeling … (the NAIRU) and numbers.The paper argues that shifts of the Phillips-curve are not a problem for the structural approach to … measurement of the NAIRU, as the NAIRU itself is a time-varying concept. It is however, the impossibility to identify the exact …

Persistent link: https://www.econbiz.de/10011350355

Multiple causation and the measurement of unemployment

Rodenburg, Peter - 2004

The establishment of appropriate policy measures for fighting unemployment has always been difficult since causes of unemployment are hard to identify. This paper analyses an approach used mainly in the 1960s and 1970s in economics, in which classification is used as a way to deal with such a...

Persistent link: https://www.econbiz.de/10011337994

What goes up sometimes stays up : shocks and institutions as determinants of unemployment persistence

Amisano, Gianni; Serati, Massimiliano - 2002

We analyse the determinants of unemployment persistence in four OECDcountries byestimating a structural Bayesian VAR with an informative priorbased on an insiders/outsiders model. We explicitly insert unemployment ben-efits and labour taxes so that our identification is not affected by the Faust...

Persistent link: https://www.econbiz.de/10011327831

What goes up sometimes stays up : shocks and institutions as determinants of unemployment persistence

Amisano, Gianni; Serati, Massimiliano - 2002

Persistent link: https://www.econbiz.de/10001718700