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Factor structural time series models for official statistics with an application to hours worked in Germany
Weigand, Roland; Wanger, Susanne; Zapf, Ines - 2015
We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...
Persistent link: https://www.econbiz.de/10011309972
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On the estimation and forecasting of international migration : how relevant is heterogeneity across countries?
Brücker, Herbert (contributor);  … - 2005
This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than 20 estimators common in the panel data literature using the data on migration to Germany from 18 source countries in the period 1967-2001. Our results suggest that the choice of...
Persistent link: https://www.econbiz.de/10003053134
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On the Estimation and Forecasting of International Migration : How Relevant is Heterogeneity Across Countries?
Brücker, Herbert; Siliverstovs, Boriss - 2021
This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than 20 estimators common in the panel data literature using the data on migration to Germany from 18 source countries in the period 1967-2001. Our results suggest that the choice of...
Persistent link: https://www.econbiz.de/10013318340
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Google data in bridge equation models for German GDP
Götz, Thomas B.; Knetsch, Thomas A. - 2017
There has been increased interest in the use of "big data" when it comes to forecasting macroeconomic time series such as private consumption or unemployment. However, applications on forecasting GDP are rather rare. In this paper we incorporate Google search data into a Bridge Equation Model, a...
Persistent link: https://www.econbiz.de/10011667109
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The impact of population aging on the German statutory pension insurance : a probabilistic approach
Vanella, Patrizio; Gonzalez, Miguel Rodriguez; Wilke, … - 2021
decline in mortality alongside low fertility rates - a situation that puts social security systems under severe pressure. To …
Persistent link: https://www.econbiz.de/10012599101
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Stochastic population forecast for Germany and its consequence for the German pension system
Härdle, Wolfgang; Mysickova, Alena - 2009
for Germany is derived through a stochastic population renewal process using forecasts of mortality, fertility and … indices of mortality and fertility rates. These models are then used in the simulation of future vital rates to obtain age …
Persistent link: https://www.econbiz.de/10003814452
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A probabilistic cohort-component model for population forecasting : the case of Germany
Vanella, Patrizio; Deschermeier, Philipp - 2018
business is conducted based on expectations about the future makeup of the population. Countries with both decreasing mortality …, migration and mortality to forecast the population by age and sex. We specifically focus on quantifying the uncertainty of … mortality, higher fertility and higher net migration as derived by us statistically in contrast to widely used qualitative …
Persistent link: https://www.econbiz.de/10011912101
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A principal component simulation of age-specific fertility : impacts of family and social policy on reproductive behavior in Germany
Vanella, Patrizio; Deschermeier, Philipp - 2018
This contribution proposes a simulation approach for the indirect estimation of age-specific fertility rates (ASFRs) and the total fertility rate (TFR) for Germany via time series modeling of the principal components of the ASFRs. The model accounts for cross-correlation and autocorrelation...
Persistent link: https://www.econbiz.de/10011860247
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Stochastic Population Forecast for Germany and Its Consequence for the German Pension System
Härdle, Wolfgang K. - 2017
for Germany is derived through a stochastic population renewal process using forecasts of mortality, fertility and … indices of mortality and fertility rates. These models are then used in the simulation of future vital rates to obtain age …
Persistent link: https://www.econbiz.de/10012966275
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Money growth and inflation: a regime switching approach
Amisano, Gianni; Fagan, Gabriel - 2010
We develop a time-varying transition probabilities Markov Switching model in which inflation is characterised by two regimes (high and low inflation). Using Bayesian techniques, we apply the model to the euro area, Germany, the US, the UK and Canada for data from the 1960s up to the present. Our...
Persistent link: https://www.econbiz.de/10003973538