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A multivariate STAR analysis of the relationship between money and output
van Dijk, Dick; Franses, Philip Hans; Rothman, P. - Faculteit der Economische Wetenschappen, Erasmus … - 1999
-of-sample forecasting exercise to study money-income Granger causality, both linear and nonlinear, we believe is new to the literature. The … forecasting results do not suggest that money is nonlinearly Granger causal for output. In fact, they show that by allowing money … to nonlinearly Granger cause output, the forecasting performance of the STVECM is significantly worsened. …
Persistent link: https://www.econbiz.de/10010837854
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Instituut - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011257521
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Modeling the impact of forecast-based regime switches on macroeconomic time series
Paap, Richard; Bel, Bel, K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013
Forecasts of key macroeconomic variables may lead to policy changes of governments, central banks and other economic agents. Policy changes in turn lead to structural changes in macroeconomic time series models. To describe this phenomenon we introduce a logistic smooth transition autoregressive...
Persistent link: https://www.econbiz.de/10010837733
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Functional-coefficient regression models for nonlinear time series
Cai, Zongwu; Fan, Jianqing; Yao, Qiwei - London School of Economics (LSE) - 2000
forecasting performance. Also proposed are a new bootstrap test for the goodness of fit of models and a bandwidth selector based … on newly defined cross-validatory estimation for the expected forecasting errors. The proposed methodology is data …
Persistent link: https://www.econbiz.de/10011126715
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Institute - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10008838634
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On mean reversion in real interest rates: An application of threshold cointegration
Jumah, Adusei; Kunst, Robert M. - 2002
Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....
Persistent link: https://www.econbiz.de/10010292774
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Forecasting with artificial network models
Rech, Gianluigi - 2002
This paper contains a forecasting exercise on 30 time series, ranging on several fields, from economy to ecology. The …
Persistent link: https://www.econbiz.de/10010281250
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
van den Hauwe, Sjoerd; Paap, Richard; van Dijk, Dick J.C. - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10010325904
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Forecasting with artificial neural network models
Rech, Gianluigi - Economics Institute for Research (SIR), … - 2002
This paper contains a forecasting exercise on 30 time series, ranging on several fields, from economy to ecology. The …
Persistent link: https://www.econbiz.de/10005190861
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On Mean Reversion in Real Interest Rates: An Application of Threshold Cointegtation
Jumah, Adusei; Kunst, Robert M. - Department of Economics and Finance Research and … - 2002
Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....
Persistent link: https://www.econbiz.de/10005704200