Similar Search Results

Modeling Trigonometric Seasonal Components for Monthly Economic Time Series

Hindrayanto, Irma; Aston, John A.D.; Koopman, Siem Jan; … - Tinbergen Institute - 2010

The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal...

Persistent link: https://www.econbiz.de/10008838551

Modeling Trigonometric Seasonal Components for Monthly Economic Time Series

Hindrayanto, Irma; Aston, John A.D.; Koopman, Siem Jan; … - Tinbergen Instituut - 2010

This discussion paper led to an article in Applied Economics (2013). Vol. 45, pages 3024-3034. The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time...

Persistent link: https://www.econbiz.de/10011255517

Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model

Koopman, Siem Jan; Wel, Michel van der - Tinbergen Instituut - 2011

This discussion paper led to a publication in the International Journal of Forecasting (2013). Vol. 29, pages 676-694. We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for...

Persistent link: https://www.econbiz.de/10011256536

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - Tinbergen Instituut - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10011256800

Convergence in European GDP Series

Luginbuhl, Rob; Koopman, Siem Jan - Tinbergen Instituut - 2003

This discussion paper led to a publication in the Journal of Applied Econometrics</A>. Vol. 19, issue 5, pages 611-636. Convergence in gross domestic product series of five European countriesis empirically identified using multivariate time series models that arebased on unobserved components with...

Persistent link: https://www.econbiz.de/10011256929

Fast Efficient Importance Sampling by State Space Methods

Koopman, Siem Jan; Lit, Rutger; Nguyen, Thuy Minh - Tinbergen Instituut - 2012

This version has replaced the version of January 30, 2012. A successful construction of an importance density for nonlinear non-Gaussian state space models is crucial when Monte Carlo simulation methods are used for likelihood evaluation, signal extraction of dynamic latent factors and...

Persistent link: https://www.econbiz.de/10011256959

Model-based Measurement of Latent Risk in Time Series with Applications

Bijleveld, Frits; Commandeur, Jacques; Gould, Phillip; … - Tinbergen Instituut - 2005

exercise. In this paper we introduce a general multivariate framework for the time series analysis of risk that is modelled as … problems. Seco! nd, we present a general model for the analysis of risk and discuss its statistical treatment based on linear … safety. It is shown that the general methodology can be effectively used in the assessment of risk. …

Persistent link: https://www.econbiz.de/10011257128

Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area

Azevedo, Joao Valle e; Koopman, Siem Jan; Rua, Antonio - Tinbergen Instituut - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10011257132

Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - Tinbergen Instituut

propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model … unsmoothed Fama-Bliss zero yields for US treasuries of different maturities. The general dynamic factor model with and without …

Persistent link: https://www.econbiz.de/10011257133

Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components

Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - Tinbergen Instituut - 2014

Many empirical studies have shown that factor models produce relatively accurate forecasts compared to alternative short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and different forecast horizons. However, various specifications...

Persistent link: https://www.econbiz.de/10011257503