We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...

TSMod is an interactive program which allows the user to estimate a broad range of univariate models. This review describes the possibilities of the package, from a user's perspective and with a secondary focus on the numerical accuracy of the program.

Spectral analysis is one of the most important areas of time series econometrics. The use of spectral measures is widespread in different science fields such as economics, physics, engineering, geology. The SPECTRAN toolbox has been developed to facilitate the application of spectral concepts to...

In seasonal adjustment a time series is considered as a juxtaposition of several components, the trend-cycle, and the seasonal and irregular components. The Bureau of the Census X-11 method, based on moving averages, correction of large errors and trading day adjustments, has long dominated....

Long memory and nonlinearity are two key features of some macroeconomic time series which are characterized by persistent shocks that seem to rise faster during recession than it falls during expansion. A variant of nonlinear time series model together with long memory are used to examine these...

Most economic series have been analyzed on the assumption that they are integrated of order d that is I(d), where d is an integer. Such series exhibit a short memory process characterized with exponential decay in the autocorrelation function (ACF) sometimes with alternating signs after dth...

This paper describes how to use the R package gateveys to establish a transparent and reproducible aggregation work flow for longitudinal data stemming from business tendency surveys (BTS). Business tendency survey researchers are addressed in particular though the suggested work flow could also...

Stock economic time series, such as end-of-month inventories, arise as the cumulative sum of monthly inflows and outflows over time, i.e., as accumulations of monthly net flows. In this article, we derive holiday regressors for stock series from cumulative sums of flow-series holiday regressors....

The recent economic crisis has altered the dynamics of economic series and, as a consequence, introduced uncertainty in seasonal adjustment of recent years. This problem was discussed in recent workshops at the European Central Bank and at Eurostat in the context of adjustment of the Euro Area...