State space models with nonstationary processes and fixed regression effects require a state vector with diffuse initial conditions. Different likelihood functions can be adopted for the estimation of parameters in time series models with diffuse initial conditions. In this paper we consider...

This discussion paper led to an article in the <I>Journal of Time Series Analysis</I> (2010). Vol. 31, pages 407-414.<P> State space models with nonstationary processes and fixed regression effects require a state vector with diffuse initial conditions. Different likelihood functions can be adopted for...</p></i>

State space models with non-stationary processes and/or fixed regression effects require a state vector with diffuse initial conditions. Different likelihood functions can be adopted for the estimation of parameters in time-series models with diffuse initial conditions. In this article, we...

We propose an unobserved-component time series model of gross domestic product that includes Markov switching as an unobserved component. In addition to a trend component, the model has two time-varying drift components. One drift represents the expected rate of growth during recession; the...

The correct measurement of house price movements over time on a regional level and for small market segments, with relatively few transactions, is considered. The research is based on data of housing market transactions in the Amsterdam Region over the period 1985-1999. In response to the...

Housing corporations are willing to partly adjust rents to market conditions. At the moment rental prices in the social subsidised housing sector in the Netherlands are regulated and only partly reflect the underlying house values. On the other hand the Dutch commercial rental housing sector is...

This paper presents a hierarchical trend model (HTM) for selling prices of houses, addressing three main problems: the spatial and temporal dependence of selling prices and the dependency of price index changes on housing quality. In this model the general price trend, cluster-level price...

Housing markets typically exhibit a strong positive correlation between the rate of price increase and the number of houses sold. We document this correlation on high-quality Dutch data for the period 1985–2007, and estimate a VEC-model that allows us to study the mechanism giving rise to the...

We model 1927-1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default...