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The Stochastic Volatility in Mean Model with Time-Varying Parameters : An Application to Inflation Modeling
Chan, Joshua - 2015
This paper generalizes the popular stochastic volatility in mean model of Koopman and Hol Uspensky (2002) to allow for time-varying parameters in the conditional mean. The estimation of this extension is nontrival since the volatility appears in both the conditional mean and the conditional...
Persistent link: https://www.econbiz.de/10013026159
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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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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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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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Stochastic Population Forecast for Germany and Its Consequence for the German Pension System
Härdle, Wolfgang - 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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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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Age- and sex-specific fertility in Germany until the year 2040 : the impact of international migration
Vanella, Patrizio - 2017
shrinking population and together with decreasing mortality rates to an aging of the population structure. Which means an …
Persistent link: https://www.econbiz.de/10011722114
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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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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