Narrow search
Showing 1 - 10 of 138
Cover Image
Long Memory and Level Shifts : Re-Analyzing Inflation Rates
Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - 1999
A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long … such level shifts are not unlikely for inflation, where the shifts may be caused by sudden oil price shocks, we examine … whether evidence for long memory (indicated by the relevance of an ARFIMA model) in G7 inflation rates is spurious or …
Persistent link: https://www.econbiz.de/10014184339
Cover Image
Long memory and level shifts: Re-analyzing inflation rates
Franses, Philip Hans; Ooms, Marius; Bos, Charles S. - In: Empirical Economics 24 (1999) 3, pp. 427-449
A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long … such level shifts are not unlikely for inflation, where the shifts may be caused by sudden oil price shocks, we examine … whether evidence for long memory (indicated by the relevance of an ARFIMA model) in G7 inflation rates is spurious or …
Persistent link: https://www.econbiz.de/10005612952
Cover Image
How large is average economic growth? : evidence from a robust method
Boswijk, Herman Peter; Franses, Philip Hans - 2001
This paper puts forward a method to estimate average economic growth, andits associated confidence bounds, which does not require a formal decision onpotential unit root properties. The method is based on the analysis of eitherdifference-stationary or trend-stationary time series models,...
Persistent link: https://www.econbiz.de/10011325976
Cover Image
Multiple Unit Roots in Periodic Autoregression
Boswijk, H. Peter - 2008
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...
Persistent link: https://www.econbiz.de/10012775178
Cover Image
Evaluating Macroeconomic Forecasts:A Concise Review of Some Recent Developments
Franses, Philip Hans; McAleer, Michael; Legerstee, Rianne - Institute of Economic Research, Kyoto University - 2012
Board and the FOMC on inflation, unemployment and real GDP growth. It is shown that the FOMC does not forecast significantly …
Persistent link: https://www.econbiz.de/10010553126
Cover Image
Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments
Franses, Philip Hans; McAleer, Michael; Legerstee, Rianne - Department of Economics and Finance, College of … - 2012
Board and the FOMC on inflation, unemployment and real GDP growth. It is shown that the FOMC does not forecast significantly …
Persistent link: https://www.econbiz.de/10010556072
Cover Image
Evaluating Macroeconomic Forecast: A Review of Some Recent Developments
Franses, Philip Hans; McAleer, Michael; Legerstee, … - Faculteit der Economische Wetenschappen, Erasmus … - 2010
alternative techniques are illustrated by comparing the forecasts from the Federal Reserve Board and the FOMC on inflation …
Persistent link: https://www.econbiz.de/10010731816
Cover Image
Random-Coefficient periodic autoregression
Franses, Philip Hans; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 2005
We propose a new periodic autoregressive model for seasonally observed time series, where the number of seasons can potentially be very large. The main novelty is that we collect the periodic parameters in a second-level stochastic model. This leads to a random-coefficient periodic...
Persistent link: https://www.econbiz.de/10010731866
Cover Image
Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments
McAleer, Michael; Franses, Philip Hans; Legerstee, Rianne - Facultad de Ciencias Económicas y Empresariales, … - 2012
Board and the FOMC on inflation, unemployment and real GDP growth. It is shown that the FOMC does not forecast significantly …
Persistent link: https://www.econbiz.de/10010778705
Cover Image
Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments
Franses, Philip Hans; McAleer, Michael; Rianne Legerstee: - Facultad de Ciencias Económicas y Empresariales, … - 2011
Board and the FOMC on inflation, unemployment and real GDP growth. It is shown that the FOMC does not forecast significantly …
Persistent link: https://www.econbiz.de/10009002164