The use of the Beveridge Nelson decomposition in macroeconomic analysis involves the truncation and estimation of infinite weighted sums of random variables, whereas the single source of error (SSE) state space approach provides a simple and effective framework that leads to exactly the same...

We investigate the effect of publicly released announcements upon trade frequency using high frequency banking stocks from the Australian Stock Exchange and the Autoregressive Conditional Hazard (ACH) model of Hamilton and Jorda (2000). Unlike the ACD model, which models the timing of events,...

VAR models are used in practice in preference to VARMA models due to the difficult issues involved in the identification and estimation of VARMA models. This paper examines if VAR models are good enough for forecasting macroeconomic variables. To answer this question, we extend the Tiao and Tsay...

Yield spread between long and short bonds has been used to forecast economic activity for a long time and has yielded some positive results, particularly for the U.S. data. Recently it has been shown that the forecast can be improved by incorporating the economic activity variable into a term...