Narrow search
Showing 1 - 10 of 85
Cover Image
On the identification of multivariate correlated unobserved components models
Trenkler, Carsten; Weber, Enzo - 2015
This paper analyses identification for multivariate unobserved components models in which the innovations to trend and … cycle are correlated. We address order and rank criteria as well as potential non-uniqueness of the reduced-form VARMA model …. Identification is shown for lag lengths larger than one in case of a diagonal vector autoregressive cycle. We also discuss UC models …
Persistent link: https://www.econbiz.de/10011441877
Cover Image
On the identification of multivariate correlated unobserved components models
Trenkler, Carsten; Weber, Enzo - 2015
This paper analyses identification for multivariate unobserved components models in which the innovations to trend and … cycle are correlated. We address order and rank criteria as well as potential non-uniqueness of the reduced-form VARMA model …. Identification is shown for lag lengths larger than one in case of a diagonal vector autoregressive cycle. We also discuss UC models …
Persistent link: https://www.econbiz.de/10011491916
Cover Image
On the identification of multivariate correlated unobserved components models
Trenkler, Carsten; Weber, Enzo - In: Economics letters 138 (2016), pp. 15-18
Persistent link: https://www.econbiz.de/10011615339
Cover Image
Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output
Soloschenko, Max; Weber, Enzo - Wirtschaftswissenschaftliche Fakultät, Universität … - 2012
In the following paper a simultaneous unobserved components model is applied to US and Canadian output data in order to examine the causal structure of trend and cycle shocks and the way it changes over time. The main focus is placed on the analysis of the subprime crisis impact on the trend and...
Persistent link: https://www.econbiz.de/10010850103
Cover Image
A Simultaneous Unobserved Components Analysis of US Output and the Great Moderation
Weber, Enzo - Wirtschaftswissenschaftliche Fakultät, Universität … - 2009
interaction between permanent and transitory innovations. For the purpose of identification, strategies of augmenting the cyclical …
Persistent link: https://www.econbiz.de/10008455804
Cover Image
Constructing a new leading indicator for unemployment from a survey among German employment agencies
Hutter, Christian; Weber, Enzo - In: Applied Economics 47 (2015) 33, pp. 3540-3558
The paper investigates the predictive power of a new survey implemented by the Federal Employment Agency (FEA) for forecasting German unemployment in the short run. Every month, the CEOs of the FEA's regional agencies are asked about their expectations of future labor market developments. We...
Persistent link: https://www.econbiz.de/10013349233
Cover Image
Mismatch and the Forecasting Performance of Matching Functions
Hutter, Christian; Weber, Enzo - In: Oxford Bulletin of Economics and Statistics 79 (2017) 1, pp. 101-123
This paper investigates the role of structural imbalance between job seekers and job openings for the forecasting performance of a labour market matching function. Starting from a Cobb-Douglas matching function with constant returns to scale (CRS) in each frictional micro market shows that on...
Persistent link: https://www.econbiz.de/10013350370
Cover Image
Forecasting with a mismatch-enhanced labor market matching function
Hutter, Christian; Weber, Enzo - 2014
This paper investigates the role of mismatch between job seekers and job openings for the forecasting performance of a labor market matching function. In theory, higher mismatch lowers matching efficiency which increases the risk that the vacancies cannot be filled within the usual period of...
Persistent link: https://www.econbiz.de/10010420651
Cover Image
Constructing a new leading indicator for unemployment from a survey among German employment agencies
Hutter, Christian; Weber, Enzo - 2013
The paper investigates the predictive power of a new survey implemented by the Federal Employment Agency (FEA) for forecasting German unemployment in the short run. Every month, the CEOs of the FEA's regional agencies are asked about their expectations of future labor market developments. We...
Persistent link: https://www.econbiz.de/10010420671
Cover Image
Measuring persistence in volatility spillovers
Conrad, Christian; Weber, Enzo - 2013
This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional...
Persistent link: https://www.econbiz.de/10009771200