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Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach

Koop, Gary; van Dijk, Herman K.; 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/10010324436

Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach

Koop, Gary; van Dijk, Herman K. - 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/10010324712

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/10010325226

Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models

Koopman, Siem Jan; Lucas, Andre; Scharth, Marcel - 2011

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/10010325813

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/10012114774

Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance

Casarin, Roberto; Grassi, Stefano; Ravazzollo, Francesco; … - 2019

A flexible forecast density combination approach is introduced that can deal with large data sets. It extends the mixture of experts approach by allowing for model set incompleteness and dynamic learning of combination weights. A dimension reduction step is introduced using a sequential...

Persistent link: https://www.econbiz.de/10012114778

Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean

Banbura, Marta; van Vlodrop, Andries - 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/10011819540

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/10010325543

Derived Measurement in Macroeconomics : Two Approaches for Measuring the NAIRU Considered

Rodenburg, Peter - 2010

Persistent link: https://www.econbiz.de/10013142984