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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

Long Memory and Level Shifts : Re-Analyzing Inflation Rates

Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - 1999

Persistent link: https://www.econbiz.de/10014184339

How Large is Average Economic Growth?

Boswijk, H. Peter; Franses, Philip Hans - 2002

This paper puts forward a method to estimate average economic growth, and its associated confidence bounds, which does not require a formal decision on potential unit root properties. The method is based on the analysis of either difference-stationary or trend-stationary time series models,...

Persistent link: https://www.econbiz.de/10014120928

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

A Model Selection Approach to Detect Seasonal Unit Roots

Franses, Philip Hans - 2003

The popular 'airline' model for a seasonal time series assumes that a variable needs double differencing, i.e. first and seasonal (or annual) differencing. The resultant time series can usaually be described by a low order moving average model with estimated roots close to the unit circle. This...

Persistent link: https://www.econbiz.de/10014069469

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

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

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

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

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