In this paper we put forward a new time series model, which describes nonlinearity and seasonality simultaneously. We discuss its representation, estimation of the parameters and inference. This seasonal STAR (SEASTAR) model is examined for its practical usefulness by applying it to 18 quarterly...

The effect which the oil price time series has on the long run properties of Vector AutoRegressive (VAR) models for price levels and import demand is investigated. As the oil price variable is assumed to be weakly exogenous for the long run parameters, a cointegration testing procedure allowing...

Several recent studies show that seasonal variation and cyclical variation in unemployment are correlated. A common finding is that seasonality tends to differ across the business cycle stages of recessions and expansions. Since seasonal adjustment methods assume that the two sources of...

The correct parameter restrictions- less restrictive than commonly thought-of the indirect addilog system (IAS) are derived. Under correct restrictions, the IAS is superior to the linear expenditure system in computable general equilibrium models with data scarcity.

Shortest path problems occupy an important position in Operations Research as well as in Arti¯cial Intelligence. In this paper we study shortest path algorithms that exploit heuristic estimates. The well-known algorithms are put into one framework. Besides we present an interesting...

We propose to estimate the parameters of the Market Share Attraction Model (Cooper & Nakanishi, 1988; Fok & Franses, 2004) in a novel way by using a non-parametric technique for function estimation called Support Vector Regressions (SVR) (Vapnik, 1995; Smola, 1996). Traditionally, the parameters of the...

Using annual data on real Gross Domestic Product per capita of seventeen industrialized nations in the twentieth century the empirical relevance of shocks, trends and cycles is investigated. A class of neural network models is specified as an extension of the class of vector autoregressive...

Scanner data for fast moving consumer goods typically amount to panels of time series where both N and T are large. To reduce the number of parameters and to shrink parameters towards plausible and interpretable values, multi-level models turn out to be useful. Such models contain in the second...

A sensible Bayesian model selection or comparison strategy implies selecting the model with the highest posterior probability. While some improper priors have attractive properties such as, e.g., low frequentist risk, it is generally claimed that Bartlett's paradox implies that using improper...

A popular functional form for modeling the consumption block of a computable general equilibrium model (CGE) is the Linear Expenditure System (LES) for which the Engel curves are straight lines. To allow for more general shapes two other systems have been proposed in recent literature: An...