An extensive body of research related to immigrants in a variety of countries has documented a "healthy immigrant effect" (HIE). When immigrants arrive in the host country they are healthier than comparable native populations, but their health status may deteriorate with additional years in the...

We study the health determinants of immigrant men and women over the age of fifty, in Europe, and compare them to natives. We utilize the unique Survey of Health Aging and Retirement (SHARE) and augmented it with macroeconomic information on the 22 home countries and 16 host countries. Using...

Inflation persistence has been put forward as one of the potential reasons of divergence among euro area members. It has also been proposed that the new EU Member States (NMS) may struggle with even higher persistence due to convergence factors. We argue that persistence may not be as different...

Time series subject to parameter shifts of random magnitude and timing are commonly modeled with a change-point approach using Chib's (1998) algorithm to draw the break dates. We outline some advantages of an alternative approach in which breaks come through mixture distributions in state...

The detection of structural change and determination of lag lengths are long-standing issues in time series analysis. This paper demonstrates how these can be successfully married in a Bayesian analysis. By taking account of the inherent uncertainty about the lag length when deciding on the...

By means of a very simple example, this note illustrates the appeal of using Bayesian rather than classical methods to produce inference on hidden states in models of Markovian regime switching. -- Bayesian analysis ; switching regression ; regime changes ; nonlinear filtering

This study investigates the usefulness of the business tendency surveys collected at the KOF institute for short-term forecasting of employment in Switzerland aggregated in the KOF Employment Indicator. We use the real time dataset in order to simulate the actual predictive process using only...

A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. The method conveniently deals with the path dependence...

This paper revisits inflation forecasting using reduced-form Phillips curve forecasts, that is, inflation forecasts that use activity and expectations variables. We propose a Phillips-curve-type model that results from averaging across different regression specifications selected from a set of...

We propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the modeled series. We first show that the Bayesian vs frequentist small sample bias controversy is driven by different default initial conditions. These initial conditions are...