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Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Koopman, Siem Jan; Bos, Charles S. - Tinbergen Instituut - 2002
concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …
Persistent link: https://www.econbiz.de/10011255780
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Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Koopman, Siem Jan; Bos, Charles S. - Tinbergen Institute - 2002
concerned with the modelling and forecasting of two U.S. macroeconomic time series: inflation and industrial production. …
Persistent link: https://www.econbiz.de/10005209436
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Behavioral Heterogeneity in U.S. Inflation Dynamics
Cornea, Adriana; Hommes, Cars; Massaro, Domenico - Tinbergen Instituut - 2013
In this paper we develop and estimate a behavioral model of inflation dynamics with monopolistic competition, staggered … naive. Fundamentalists are forward-looking in the sense that they believe in a present-value relationship between inflation … forecast future inflation. Agents are allowed to switch between these different forecasting strategies conditional on their …
Persistent link: https://www.econbiz.de/10011256332
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Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
Bos, C.S.; Koopman, S.J.; Ooms, M. - Tinbergen Institute - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …
Persistent link: https://www.econbiz.de/10005209535
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Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
Bos, C.S.; Koopman, S.J.; Ooms, M. - Tinbergen Instituut - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …
Persistent link: https://www.econbiz.de/10011256451
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Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - Tinbergen Instituut - 2013
Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...
Persistent link: https://www.econbiz.de/10011255481
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A General Framework for Observation Driven Time-Varying Parameter Models
Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2008
We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...
Persistent link: https://www.econbiz.de/10011255643
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Estimating Structural Parameters in Regression Models with Adaptive Learning
Christopeit, Norbert; Massmann, Michael - Tinbergen Instituut - 2013
This paper investigates the asymptotic properties of the ordinary least squares (OLS) estimator of structural parameters in a stylised macroeconomic model in which agents are boundedly rational and use an adaptive learning rule to form expectations of the endogenous variable. In particular, when...
Persistent link: https://www.econbiz.de/10011255677
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A Note on an Estimation Problem in Models with Adaptive Learning
Christopeit, Norbert; Massmann, Michael - Tinbergen Instituut - 2013
This paper provides an example of a linear regression model with predetermined stochastic regressors for which the sufficient condition for strong consistency of the ordinary least squares estimator by Lai & Wei (1982, Annals of Statistics) is not met. Nevertheless, the estimator is strongly...
Persistent link: https://www.econbiz.de/10011255981
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Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - Tinbergen Instituut - 2005
This discussion paper resulted in an article in the <I>Journal of the American Statistical Association</I> (2007). Vol. 102, issue 477, pages 16-27.<p> Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis...</p></i>
Persistent link: https://www.econbiz.de/10011256266