This article proposes a modified method for the construction of diffusion indexes in macroeconomic forecasting using principal component regres- sion. The method aims to maximize the amount of variance of the origi- nal predictor variables retained by the diffusion indexes, by matching the data...

Pre-election polls can suffer from survey effects. For instance, individuals taking part in the poll may become more aware of the upcoming election so that they become more inclined to vote. Such effects cause biases in forecasted outcomes of elections. We propose a simple methodology that takes...

Forecasting with many predictors is of interest, for instance, in macroeconomics and finance. This paper compares two methods for dealing with many predictors, that is, principal component regression (PCR) and principal covariate regression (PCovR). The forecast performance of these methods is...

Direct extrapolation of survey results on purchase intentions may give a biased view on actual consumer behavior. This is because the purchase intentions of consumers may be affected by the survey itself. On the positive side, such effects can be incorporated in econometric models to get...

This paper concerns the modelling of stochastic processes by means of dynamic factor models. In such models the observed process is decomposed into a structured part called the latent process, and a remainder that is called noise. The observed variables are treated in a symmetric way, so that no...

Global trade depends for a large part on maritime transport, and safe ships are needed not only to protect precious cargo but also to prevent environmental damage. Flag state and port state authorities spend much effort in ship safety inspections to ensure a minimum safety level and to prevent...

Pre-election polls can suffer from survey effects. For example, surveyed individuals can become more aware of the upcoming election so that they become more inclined to vote. These effects may depend on factors like political orientation and prior intention to vote, and this may cause biases in...

Various ways of extracting macroeconomic information from a data-rich environment are compared with the objective of forecasting yield curves using the Nelson-Siegel model. Five issues in factor extraction are addressed, namely, selection of a subset of the available information, incorporation...

Global total least squares has been introduced as a method for the identification of deterministic system behaviours. We analyse this method within a stochastic framework, where the observed data are generated by a stationary stochastic process. Conditions are formulated so that the method is...

Model estimates of the pay-off of the Betuwe railway have played an important role for politicians to decide to build this railway. This has already been discussed extensively, especially with respect to the macro-economic effects of this investment. A deeper analysis shows that these effects...