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Forecasting inflation with gradual regime shifts and exogenous information
González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011
-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the … inflation process into a slowly moving nonstationary component and dynamic short-run fluctuations around it. An important … quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …
Persistent link: https://www.econbiz.de/10009238009
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Forecasting inflation with gradual regime shifts and exogenous information
González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011
-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the … inflation process into a slowly moving nonstationary component and dynamic short-run fluctuations around it. An important … quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …
Persistent link: https://www.econbiz.de/10009640913
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Forecasting inflation with gradual regime shifts and exogenous information
González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011
-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the … inflation process into a slowly moving nonstationary component and dynamic short-run fluctuations around it. An important … quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …
Persistent link: https://www.econbiz.de/10011605409
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Forecasting inflation with gradual regime shifts and exogenous information
González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2009
. It is suitable for describing characteristic features in inflation series as well as for medium-term forecasting. With … this model we decompose the inflation process into a slowly moving nonstationary component and dynamic short …-run fluctuations around it. We fit the model to the monthly euro area, UK and US inflation series. An important feature of our model is …
Persistent link: https://www.econbiz.de/10005787545
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Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques
Kock, Anders Bredahl; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2011
In this paper we consider the forecasting performance of a well-defined class of flexible models, the so-called single hidden-layer feedforward neural network models. A major aim of our study is to find out whether they, due to their flexibility, are as useful tools in economic forecasting as...
Persistent link: https://www.econbiz.de/10009277000
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Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009
Kock, Anders Bredahl; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2011
In this work we consider forecasting macroeconomic variables dur- ing an economic crisis. The focus is on a specific class of models, the so-called single hidden-layer feedforward autoregressive neural net- work models. What makes these models interesting in the present context is that they form...
Persistent link: https://www.econbiz.de/10009283381
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Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques
Kock, Anders Bredahl; Teräsvirta, Timo - In: Finnish Economic Papers 26 (2013) 1, pp. 13-24
This paper is concerned with forecasting the Finnish inflation rate. It is being forecast using linear autoregressive …
Persistent link: https://www.econbiz.de/10010699614
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Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis
Holt, Matthew T.; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2012
This paper examines trends in annual temperature data for the northern and southern hemisphere (1850-2010) by using variants of the shifting-mean autoregressive (SM-AR) model of González and Teräsvirta (2008). Univariate models are first fitted to each series by using the so called QuickShift...
Persistent link: https://www.econbiz.de/10010851222
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Unit roots, nonlinearities and structural breaks
Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; … - School of Economics and Management, University of Aarhus - 2012
One of the most infl?uential research ?fields in econometrics over the past decades concerns unit root testing in economic time series. In macro-economics much of the interest in the area originate from the fact that when unit roots are present, then shocks to the time series processes have a...
Persistent link: https://www.econbiz.de/10010851298
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Modelling changes in the unconditional variance of long stock return series
Amado, Cristina; Teräsvirta, Timo - In: Journal of Empirical Finance 25 (2014) C, pp. 15-35
In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long daily return series. For this purpose we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta...
Persistent link: https://www.econbiz.de/10011042123