Showing 1,091 - 1,100 of 1,181
We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...
Persistent link: https://www.econbiz.de/10005137376
A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...
Persistent link: https://www.econbiz.de/10005137378
This paper investigates business cycle relations among different economies in the Euro area. Cyclical dynamics are explicitly modelled as part of a time series model. We introduce mechanisms that allow for increasing or diminishing phase shifts and for time-varying association patterns in...
Persistent link: https://www.econbiz.de/10005137388
We consider the dynamic factor model and show how smoothness restrictions can be imposed on the factor loadings. Cubic spline functions are used to introduce smoothness in factor loadings. We develop statistical procedures based on Wald, Lagrange multiplier and likelihood ratio tests for this...
Persistent link: https://www.econbiz.de/10004998863
In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the...
Persistent link: https://www.econbiz.de/10005063668
This paper presents a Monte Carlo maximum likelihood method of estimating Stochastic Volatility (SV). The basic SV model can be expressed as a linear state space model with log chi-square disturbances. Assuming the Gaussianity of these disturbances, application of the Kalman filter leads to...
Persistent link: https://www.econbiz.de/10005073738
This paper looks at unobserved components models and examines the implied weighting patterns for signal extraction. There are four main themes. The first concerns the implications of correlated disturbances driving the components, especially those cases in which the correlation is perfect. The...
Persistent link: https://www.econbiz.de/10005100070
Persistent link: https://www.econbiz.de/10005172865
Persistent link: https://www.econbiz.de/10005186020
Importance sampling is used in many areas of modern econometrics to approximate unsolvable integrals. Its reliable use requires the sampler to possess a variance, for this guarantees a square root speed of convergence and asymptotic normality of the estimator of the integral. However, this...
Persistent link: https://www.econbiz.de/10005192566