Similar Search Results

Comprehensive Time-Series Regression Models Using Gretl — U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013

Shi, Juehui - 2019

Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...

Persistent link: https://www.econbiz.de/10012904559

Realized copula

Fengler, Matthias R.; Okhrin, Ostap - 2012

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...

Persistent link: https://www.econbiz.de/10009537332

Penalized Adaptive Forecasting With Large Information Sets and Structural Changes

Zboňáková, Lenka - 2018

In the present paper we propose a new method, the Penalized Adaptive Method (PAM), for a data driven detection of structural changes in sparse linear models. The method is able to allocate the longest homogeneous intervals over the data sample and simultaneously choose the most proper variables...

Persistent link: https://www.econbiz.de/10012912415

Time Series Properties of Arch Processes with Persistent Covariates

Han, Heejoon; Park, Joon - 2006

We consider ARCH processes with persistent covariates and provide asymptotic theories that explain how such covariates affect various characteristics of volatility. Specifically, we propose and study a volatility model, named ARCH-NNH model, that is an ARCH(1) process with a nonlinear function...

Persistent link: https://www.econbiz.de/10014054279

Dynamics of Consumption and Dividends Over the Business Cycle

Pidkuyko, Myroslav - 2015

We examine a trivariate time series model that is subject to a regime switch, where the shifts are governed by an unobserved, two-state variable that follows a Markov process. The analysis is performed in a Bayesian framework developed by Albert and Chib (1993), where the unobserved states are...

Persistent link: https://www.econbiz.de/10013031069

A persistence‐based Wold‐type decomposition for stationary time series

Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; … - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 203-230

This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...

Persistent link: https://www.econbiz.de/10012202240

Automatic time series modeling and forecasting: a replication case study of forecasting real GDP, the unemployment rate and the impact of leading economic indicators

Guerard, John Baynard; Thomakos, Dimitrios D.; Kyriazi, … - In: Cogent economics & finance 8 (2020) 1, pp. 1-20

We test and report on time series modelling and forecasting using several US. Leading economic indicators (LEI) as an … input to forecasting real US. GDP and the unemployment rate. These time series have been addressed before, but our results … unemployment rate series. We tested the forecasting ability of best univariate and best bivariate models over 60- and 120-period …

Persistent link: https://www.econbiz.de/10012214684

COVID-19 outbreak and beyond : the information content of registered short-time workers for GDP now- and forecasting

Kaufmann, Sylvia - In: Swiss journal of economics and statistics 156 (2020) 1/12, pp. 1-12

The number of short-time workers from January to April 2020 is used to now- and forecast quarterly GDP growth. We purge the monthly log level series from the systematic component to extract unexpected changes or shocks to log short-time workers. These monthly shocks are included in a univariate...

Persistent link: https://www.econbiz.de/10012392543

Covid-19 outbreak and beyond : the information content of registered short-time workers for GDP now- and forecasting

Kaufmann, Sylvia - 2020

The number of employees historically filed and registered from January to April 2020 for short-time compensation is used to obtain a nowcast for GDP growth in the first quarter and an outlook until the third quarter 2021. We purge the monthly log level series from the systematic component to...

Persistent link: https://www.econbiz.de/10012224722

Factor models for non-stationary series : estimates of monthly U.S. GDP

Hengge, Martina; Leonard, Seton - 2017

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...

Persistent link: https://www.econbiz.de/10011669132

1
2
3
4
5
6
7
8
9
10
Next
Last