Macroeconomic time series such as total unemployment or total industrial production concern data which are aggregated across regions, sectors, or age categories. In this paper we examine if forecasts for these aggregates can be improved by considering panel models for the disaggregate series. As...

We introduce a multi-level smooth transition model for a panel of time series variables, which can be used to examine the presence of common non-linear features across many such variables. The model is positioned in between a fully pooled model, which imposes such common features, and a fully...

The authors propose a statistical methodology to test changes in consumer confidence indicators. These indicators are surveyed monthly and each time concern di®erent individuals. This complicates a straightforward interpretation of changes in the values of the index. The proposed methodology...

The accuracy of real-time forecasts of macroeconomic variables that are subject to revisions may crucially depend on the choice of data used to compare the forecasts against. We put forward a flexible time-varying parameter regression framework to obtain early estimates of the final value of...

We analyze five vintages of eighteen quarterly macroeconomic variables for the Netherlands and we focus on the degree of deterministic seasonality in these series. We document that the data show most such deterministic seasonality for their first release vintage and for the last available...

We put forward a brand choice model with unobserved heterogeneity that concerns responsiveness to marketing efforts. We introduce two latent segments of households. The first segment is assumed to respond to marketing efforts, while households in the second segment do not do so. Whether a...

In this paper we propose a model selection strategy for a univariate periodic autoregressive time series which involves tests for one or more unit roots and for parameter restrictions corresponding to seasonal unit roots and multiple unit roots at the zero frequency. Examples of models that are...

It is conceivable that the "whether to buy" and "how much tobuy" decisions in the purchasing process of households areinfluenced by the inventory process. In this paper we thereforeput forward a model for consumption, where we rely on establishedeconomic theory. We incorporate this model in a...

Macroeconomic forecasts are frequently produced, widely published, intensively discussed and comprehensively used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some...