Narrow search
Showing 1 - 10 of 345
Cover Image
Measuring and Predicting Heterogeneous Recessions
Cakmakli, Cem; Paap, Richard; van Dijk, Dick - 2011
This paper conducts an empirical analysis of the heterogeneity of recessions inmonthly U.S. coincident and leading indicator variables. Univariate Markovswitchingmodels indicate that it is appropriate to allow for two distinct recessionregimes, corresponding with ‘mild’ and ‘severe’...
Persistent link: https://www.econbiz.de/10010326552
Cover Image
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10010325871
Cover Image
Measuring and Predicting Heterogeneous Recessions
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011
This paper examines whether the Conference Board's Leading Economic Index (LEI) can be used for modeling and forecasting a more refined business cycle classification beyond the usual distinction between expansions and contractions. Univariate Markov-switching models for monthly coincident...
Persistent link: https://www.econbiz.de/10014176004
Cover Image
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
Cover Image
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area
Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - 2016
We adopt an unobserved components time series model to extract financial cycles for the United States and the five … medium-term cycles which share a few common statistical properties. We show that financial cycles are longer and more ample … than business cycles, and that their length and amplitude vary over time and across countries. …
Persistent link: https://www.econbiz.de/10011526106
Cover Image
A Bayesian Infinite Hidden Markov Vector Autoregressive Model
Nibbering, Didier; Paap, Richard; van der Wel, Michel - 2016
We propose a Bayesian infinite hidden Markov model to estimate time-varying parameters in a vector autoregressive model. The Markov structure allows for heterogeneity over time while accounting for state-persistence. By modelling the transition distribution as a Dirichlet process mixture model,...
Persistent link: https://www.econbiz.de/10011586722
Cover Image
Parallelization Experience with Four Canonical Econometric Models using ParMitISEM
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016
This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm, introduced by Hoogerheide, Opschoor and Van Dijk (2012), provides an automatic and flexible method to approximate a non-elliptical target density using...
Persistent link: https://www.econbiz.de/10011451514
Cover Image
Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space Models
Barra, Istvan; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2012
We propose a new methodology for the Bayesian analysis of nonlinear non-Gaussian state space models with a Gaussian time-varying signal, where the signal is a function of a possibly high-dimensional state vector. The novelty of our approach is the development of proposal densities for the joint...
Persistent link: https://www.econbiz.de/10010326393
Cover Image
Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with Non-filtered Data
Basturk, Nalan; Cakmakli, Cem; Ceyhan, Pinar; van Dijk, … - 2013
Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended Phillips Curve (PC) models. It is shown that mechanical removal or modeling of simple low frequency movements in the data may yield poor predictive results...
Persistent link: https://www.econbiz.de/10010326539
Cover Image
Dynamics in clickthrough and conversion probabilities of paid search advertisements
Castelein, Anoek; Fok, Dennis; Paap, Richard - 2019
We develop a dynamic Bayesian model for clickthrough and conversion probabilities of paid search advertisements. These probabilities are subject to changes over time, due to e.g. changing consumer tastes or new product launches. Yet, there is little empirical research on these dynamics. Gaining...
Persistent link: https://www.econbiz.de/10012114809