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Frontiers in Time Series and Financial Econometrics: An Overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - Tinbergen Instituut - 2015

to time series and financial econometrics, including forecasting co-volatilities via factor models with asymmetry and … factors, endogeneity and nonlinearity, sign-based portmanteau test for ARCH-type models with heavy-tailed innovations, toward …

Persistent link: https://www.econbiz.de/10011257486

Diagnostic Tools for Nonlinearity in Spatial Models

Graaff, Thomas de; Florax, Raymond J.G.M.; Nijkamp, Peter; … - Tinbergen Institute - 1998

econometrics to nonlinearity tests for empirical data series, in particular the so-called <I>BDS</I> (Brock, Dechert, Scheinkman …

Persistent link: https://www.econbiz.de/10005137268

Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.

Hommes, Cars; Manzan, Sebastiano - Tinbergen Institute - 2006

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...

Persistent link: https://www.econbiz.de/10005144529

Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.

Hommes, Cars; Manzan, Sebastiano - Tinbergen Instituut - 2006

Persistent link: https://www.econbiz.de/10011255740

Diagnostic Tools for Nonlinearity in Spatial Models

Graaff, Thomas de; Florax, Raymond J.G.M.; Nijkamp, Peter; … - Tinbergen Instituut - 1998

econometrics to nonlinearity tests for empirical data series, in particular the so-called BDS (Brock, Dechert, Scheinkman) test. A …

Persistent link: https://www.econbiz.de/10011257476

Forecasting Productivity Using Information from Firm-Level Data

Bartelsman, Eric J.; Wolf, Zoltán - Tinbergen Institute - 2009

explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

Persistent link: https://www.econbiz.de/10005016264

Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - Tinbergen Institute - 2006

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

Persistent link: https://www.econbiz.de/10005137026

Examining the Nelson-Siegel Class of Term Structure Models

Pooter, Michiel De - Tinbergen Institute - 2007

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

Persistent link: https://www.econbiz.de/10005137361

Likelihood-based Analysis for Dynamic Factor Models

Jungbacker, Borus; Koopman, Siem Jan - Tinbergen Institute - 2008

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

Persistent link: https://www.econbiz.de/10005137376

The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts

Huurman, Christian; Ravazzolo, Francesco; Zhou, Chen - Tinbergen Institute - 2007

wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …

Persistent link: https://www.econbiz.de/10005504905