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The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production

Franses, Ph.H.B.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2001

we examine the forecasting performance of various models for seasonality and nonlinearity using quarterly industrial …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 …

Persistent link: https://www.econbiz.de/10008570605

The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series

Dijk, D.J.C. van; Strikholm, B.; Terasvirta, T. - Erasmus University Rotterdam, Econometric Institute - 2001

in seasonality for industrial production series of the G7 countries. We find compelling evidence that the effects of …

Persistent link: https://www.econbiz.de/10008570617

Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy

Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2003

found to perform better in out-of-sample forecasting than a benchmark linear model. An empirical illustration for US GDP …

Persistent link: https://www.econbiz.de/10008584688

A nonlinear long memory model for US unemployment

Dijk, D.J.C. van; Franses, Ph.H.B.F.; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2000

features of long memory and nonlinearity, respectively, we put forward a new time series model and evaluate its empirical …

Persistent link: https://www.econbiz.de/10005505011

Modelling Multiple Regimes in the Business Cycle

Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 1997

The interest in business cycle asymmetry has been steadily increasing over the last fifteen years. Most research has focused on the different behaviour of macroeconomic variables during expansions and contractions, which by now is well documented. Recent evidence suggests that such a two-phase...

Persistent link: https://www.econbiz.de/10008584809

Forecasting aggregates using panels of nonlinear time series

Fok, D.; Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2004

Macroeconomic time series such as total unemployment or total industrial production concern data which are aggregated across regions, sectors, or age categories. In this paper we examine if forecasts for these aggregates can be improved by considering panel models for the disaggregate series. As...

Persistent link: https://www.econbiz.de/10004991127

Common large innovations across nonlinear time series

Franses, Ph.H.B.F.; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2002

nonlinearity across economic variables. The model is a multivariate censored latent effects autoregression. The key feature of this … model is that nonlinearity appears as separate innovation-like variables. Common nonlinearity can then be easily defined as … not the other way around, and also that there is no common nonlinearity across the unemployment variables. …

Persistent link: https://www.econbiz.de/10005696119

Forecasting industrial production with linear, nonlinear, and structural change models

Siliverstovs, B.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2003

We compare the forecasting performance of linear autoregressive models, autoregressive models with structural breaks … 2000. The results of point forecast evaluation tests support the established notion in the forecasting literature on the …

Persistent link: https://www.econbiz.de/10008570631

Nonlinearities and outliers: robust specification of STAR models

Escribano, A.; Franses, Ph.H.B.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 1998

Outliers and nonlinearity may easily be mistaken. This paper uses Monte Carlo methods to examine and compare the …

Persistent link: https://www.econbiz.de/10008584751

Neural networks as econometric tool

Kaashoek, J.F.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2000

The flexibility of neural networks to handle complex data patterns of economic variables is well known. In this survey we present a brief introduction to a neural network and focus on two aspects of its flexibility . First, a neural network is used to recover the dynamic properties of a...

Persistent link: https://www.econbiz.de/10008584789