In this paper the performance of different information criteria for simultaneous model class and lag order selection is evaluated using simulation studies. We focus on the ability of the criteria to distinguish linear and nonlinear models. In the simulation studies, we consider three different...

In this paper the performance of information criteria and a test against SETAR nonlinearity for outlier contaminated time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and hence of linearity tests, resulting in spurious test...

Outlying observations in time series influence parameter estimation and testing procedures, leading to biased estimates and spurious test decisions. Further inference based on these results will be misleading. In this paper the effects of outliers on the performance of ratio-based tests for a...

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...

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...

A framework for forecasting new COVID-19 cases jointly with hospital admissions and hospital beds with COVID-19 cases is presented. This project, dubbed CovidMod, produced 21-days ahead forecasts each working day from March 2021 to April 2022, and forecast errors that were used to assess...

We propose a new long-memory model with a time-varying fractional integration parameter, evolving non-linearly according to a Logistic Smooth Transition Autoregressive (LSTAR) specification. To estimate the time-varying fractional integration parameter, we implement a method based on the wavelet...

We propose a new data-rich environment model of the yield curve, the macroeconomy, monetary policies and effective exchange rates for a panel of 11 countries: the iDREAM. The endogenous variables are observable (short- and long-term interest rates, exchange rates) and latent factors (economic...

Dynamic stochastic general equilibrium (DSGE) models use modern macroeconomic theory to explain and predict comovements of aggregate time series over the business cycle and to perform policy analysis. We explain how to use DSGE models for all three purposes — forecasting, story telling, and...

This paper analyses the long-memory properties of both the conditional mean and variance of UK real GDP over the period 1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory variables). The results suggest that this series is...