This paper presents a novel dynamic factor model for non-stationary data. We begin by constructing a simple dynamic stochastic general equilibrium growth model and show that we can represent and estimate the model using a simple linear-Gaussian (Kalman) filter. Crucially, consistent estimation...

This paper presents a framework for quantifying uncertainty around point forecasts for GDP, inflation and house prices in Norway. The framework combines quantile regressions using a broad set of uncertainty indicators with a skewed t-distribution, allowing for time-variation and asymmetry in the...

This paper explores the role that unobserved heterogeneity within an observed category plays in the dynamics of disaggregate unemployment and in the cross-sectional differences across individuals of the duration of unemployment spells. The distribution of unobserved heterogeneity is...

Contrary to the number of unemployed or vacancies, the number of employees subject to social security contribu-tions (SSC) for Germany is published after a time lag of 2 months. Furthermore, there is a waiting period of 6 months until the values are not revised any more. This paper uses monthly...