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Tracking growth and the business cycle : a stochastic common cycle model for the Euro area
Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003
This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...
Persistent link: https://www.econbiz.de/10011334364
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Bayesian forecasting of US growth using basic time varying parameter models and expectations data
Basturk, Nalan; Ceyhan, Pinar; Dijk, Herman K. van - 2014
Time varying patterns in US growth are analyzed using various univariate model structures, starting from a naive model structure where all features change every period to a model where the slow variation in the conditional mean and changes in the conditional variance are specified together with...
Persistent link: https://www.econbiz.de/10010399680
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Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.; Shephard, Neil G. - 2004
In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...
Persistent link: https://www.econbiz.de/10011334849
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Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.; Shephard, Neil G. - 2004
Persistent link: https://www.econbiz.de/10001906792
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A meta-analysis of beta-convergence : the legendary two-percent
Abreu, Maria; Groot, Henri L. F. de; Florax, Raymond J. … - 2005
interpretation and estimation. Our dataset contains approximately 600 estimates taken from a random sample of empirical growth …
Persistent link: https://www.econbiz.de/10011342545
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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289
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A Bayesian analysis of unobserved component models using Ox
Bos, Charles S. - 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/10011386121
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Relating stochastic volatility estimation methods
Bos, Charles S. - 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/10011386124
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Structural differences in economic growth
Basturk, Nalan; Paap, Richard; Dijk, Dick van - 2008
This paper addresses heterogeneity in determinants of economic growth in a data-driven way. Instead of defining groups of countries with different growth characteristics a priori, based on, for example, geographical location, we use a finite mixture panel model and endogenous clustering to...
Persistent link: https://www.econbiz.de/10011377062
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Nowcasting and forecasting economic growth in the Euro area using principal components
Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - 2014
Many empirical studies have shown that factor models produce relatively accurate forecasts compared to alternative short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and different forecast horizons. However, various specifications...
Persistent link: https://www.econbiz.de/10010395082