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...

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...

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.

Wir stellen ein Maß für die Beziehung zwischen zwei Städten/Regionen basierend auf Suchanfragen vor, ausgehend von Merkmalen der Suchanfragen-Zeitreihen nach Zerlegung der Zeitreihe mittels STL (Komponentenzerlegung mittels lokaler linearer Kernregression). Grundlage für das Maß sind...

Many economic time series exhibit important systematic fluctuations within the year, i.e. seasonality. Differently from usual practice, we argue that using original data should always be considered, although their process is more complicated than that of seasonally adjusted data. Motivations to...

We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (number of arithmetic operations) is of order T^2, where T is the length of the time series. Our algorithm allows calculation speed of order T log T. For...

Very often in actual macroeconomic time series there are causes that disrupt the underlying stochastic process and their treatment is known as «linearization». In addition, variance non-stationarity is in many cases also present in such series and is removed by proper data transformation. The...

This document provides an overview of the StMAR Toolbox, a MATLAB toolbox specifically designed for simulation, estimation, diagnostic, and forecasting of the Student's t mixture autoregressive (StMAR) model proposed by Meitz, Preve & Saikkonen (2018). The StMAR model is a new type of mixture...

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...

One of the most important risks in the actuarial industry is the longevity risk. The accurate prediction of mortality rates plays a crucial role in the management of the aforementioned risk. Such predictions are performed by modelling the mortality rates using mortality models. Aiming at...