Similar Search Results

Smooth threshold autoregressive models and Markov process : an application to the Lebanese GDP growth rate

Verne, Jean-François - In: International econometric review 13 (2021) 3, pp. 71-88

This paper analyzes the evolution of the Lebanese GDP growth rate over the period 1970- 2019 by estimating two kinds of switching models: The Smooth Transition Autoregressive (STAR) model and the model of the Markov process. These models show, on the one hand, asymmetries in the evolution of GDP...

Persistent link: https://www.econbiz.de/10012816175

Productivity in the Spanish regions during the recent economic cycles

Sosvilla-Rivero, Simón - 2011 - Very preliminary version, June 2011

The Spanish regions are facing a severe recession caused by the international financial crisis that has overlapped with the correction that had been recorded in the property market, which has led to a sharp drop in economic activity and a rapid destruction process employment. In these...

Persistent link: https://www.econbiz.de/10011555811

Mind the Gap : What is the Best Measure of Slack in the Euro Area?

Ubide, Angel J. - 2021

Assessing the magnitude of the output gap is critical to achieving an optimal policy mix. Unfortunately, the gap is an unobservable variable, which, in practice, has been estimated in a variety of ways, depending on the preferences of the modeler. This model selection problem leads to a...

Persistent link: https://www.econbiz.de/10013211944

Measuring asymmetric stochastic cycle components in US macroeconomic time series

Koopman, Siem Jan; Lee, Kai Ming - 2005

, the asymmetry of cyclical behavior is often discussed and considered for series such as unemployment and gross domestic … asymmetric cycles. The presence of asymmetry can be tested using classical likelihood based test statistics. The trend-cycle de …! composition model is applied to three key U.S. macroeconomic time series. It is found that cyclical asymmetry is a prominent …

Persistent link: https://www.econbiz.de/10011346480

Inference on the Correlation between Permanent and Transitory Shocks for Unidentified Unobserved Components Models

Nagakura, Daisuke - 2009

In this paper, I propose a simple methodology for inferring the correlation between permanent and transitory shocks in unidentified unobserved components (UC) models, where the correlation is not identified. However, I show that there is an upper bound of the correlation implied from the...

Persistent link: https://www.econbiz.de/10012721353

A Trend-Cycle(-Season) Filter

Mohr, Matthias F. - 2021

This paper proposes a new univariate method to decompose a time series into a trend, a cyclical and a seasonal component: the Trend-Cycle filter (TC filter) and its extension, the Trend-Cycle-Season filter (TCS filter). They can be regarded as extensions of the Hodrick-Prescott filter (HP...

Persistent link: https://www.econbiz.de/10013318509

Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series

Koopman, Siem Jan; Wong, Soon Yip - 2006

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/10011350381

Extracting Business Cycles Using Semi-Parametric Time-Varying Spectra with Applications to Us Macroeconomic Time Series

Koopman, Siem Jan; Wong, Soon Y. - 2006

Persistent link: https://www.econbiz.de/10014054238

Measuring Asymmetric Stochastic Cycle Components

Koopman, Siem Jan; Lee, Kai Ming - 2005

, the asymmetry of cyclical behavior is often discussed and considered for series such as unemployment and gross domestic … asymmetric cycles. The presence of asymmetry can be tested using classical likelihood based test statistics. The trend …-cycle decomposition model is applied to three key U.S. macroeconomic time series. It is found that cyclical asymmetry is a prominent …

Persistent link: https://www.econbiz.de/10014062862

The Missing Cycle in the HP Filter and the Measurement of Cyclically-Adjusted Budget Balances

Mohr, Matthias F. - 2012

The HP ﬁlter suffers from a pro-cyclical bias in end-of-sample trend estimates. This paper argues that this feature is related to the 'missing cycle' in the stochastic model of the ﬁlter. The paper suggest an extensions of the HP ﬁlter by including a stochastic cycle component in the...

Persistent link: https://www.econbiz.de/10013110705

1
2
3
4
5
6
7
8
9
10
Next
Last