We propose a discussion index model (Stock and Watson, 2002) to fore- cast electricity demand for one hour to one week ahead. The model is particularly useful as it captures complicated seasonal patterns in the data. The forecast performance of the proposed method is illustrated with a simulated...

We analyze five vintages of eighteen quarterly macroeconomic variables for the Netherlands and we focus on the degree of deterministic seasonality in these series. We document that the data show most such deterministic seasonality for their first release vintage and for the last available...

Urban legend has it that the hemline is correlated with the economy. In times of decline, the hemline moves towards the floor (decreases), and when the economy is booming, skirts get shorter and the hemline increases. We collected monthly data on the hemline, for 1921-2009, and evaluate these...

Based on detailed shipping figures of Suriname’s main harbour in Paramaribo, we estimate the total shipments (in kilograms) of original and counterfeit medical products for 1996-2008 across five product categories. Using various time series techniques, we document that total cumulative...

Real GDP growth in China follows a random walk. Also, it has often been suggested that China “cooks its booksâ€, that is to say that governmental officials in China manipulate economic statistics such as GDP growth rate to present the outside world a rosy picture (Foreign Policy,...

Macro-economic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometric model, but also incorporates an expert’s...

In this paper we correlate the key features of the distribution of wealth of the 500 wealthiest individuals in the Netherlands with economic growth and stock market returns for 1998 to 2009. We show that each year the distribution obeys a power law and that the key parameter measures the degree...

We discuss a method to estimate the confidence bounds for average economic growth, which is robust to misspecification of the unit root property of a given time series. We derive asymptotic theory for the consequences of such misspecification. Our empirical method amounts to an implementation of...

Seasonality often accounts for the major part of quarterly or monthly movements in detrended macro-economic time series. In addition, business cycle nonlinearity is a prominent feature of many such series too. A forecaster can nowadays consider a wide variety of time series models which describe...

In addition to clear-cut seasonality in mean and variance, weekly Dutch temperature data appear to have a strong asymmetry in the impact of unexpectedly high or low temperatures on conditional volatility. Furthermore, this asymmetry also shows fairly pronounced seasonal variation. To describe...