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Modelling the Phillips curve with unobserved components [PDF]
Applied Financial Economics, 2010 The relationship between inflation and the output gap can be modelled simply and effectively by including an unobserved random walk component in the model. The dynamic properties match the stylized facts and the random walk component satisfies the properties normally required for core inflation.
Andrew Harvey
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Seasonality with Trend and Cycle Interactions in Unobserved Components Models [PDF]
Journal of the Royal Statistical Society Series C: Applied Statistics, 2008 SummaryUnobserved components time series models decompose a time series into a trend, a season, a cycle, an irregular disturbance and possibly other components. These models have been successfully applied to many economic time series. The standard assumption of a linear model, which is often appropriate after a logarithmic transformation of the data ...
Siem Jan Koopman, Kai Ming Lee
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Output Fluctuations in the G-7: An Unobserved Components Approach [PDF]
SSRN Electronic Journal, 2010 This paper proposes a multivariate unobserved-components model to simultaneously decompose the real GDP for each of the G-7 countries into its respective trend and cycle components. In contrast to previous literature, our model allows for explicit correlation between all the contemporaneous trend and cycle shocks.
Mitra, Sinchan, Sinclair, Tara M.
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Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach [PDF]
Studies in Nonlinear Dynamics & Econometrics, 2010 A new test for hysteresis based on a nonlinear unobserved components model is proposed. Observed unemployment rates are decomposed into a natural rate component and a cyclical component. Threshold type nonlinearities are introduced by allowing past cyclical unemployment to have a different impact on the natural rate depending on the regime of the ...
Alicia Pérez Alon, Silvestro Di Sanzo
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Total factor productivity: an unobserved components approach [PDF]
Applied Economics, 2008 This work examines the presence of unobserved components in the time-series of total factor productivity (TFP), which is an idea central to modern Macroeconomics. The main approaches in both the study of economic growth and the study of business cycles rely on certain properties of the different components of the time-series of TFP.
Raul Crespo
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Statistical Software for State Space Methods
Journal of Statistical Software, 2011 In this paper we review the state space approach to time series analysis and establish the notation that is adopted in this special volume of the Journal of Statistical Software.
Jacques J. F. Commandeur +2 more
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Economic Growth, Business Cycles and Okun’s Law: Unobserved Components Approach [PDF]
Statistika: Statistics and Economy Journal, 2020 Clark’s (1989) bivariate unobserved components model is applied in order to estimate and analyse the trend and cycle of GDP and the unemployment rate as well as to quantify and discuss the relationship known as Okun’s law. Empirical analysis is performed
Andrea Čížků
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Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction [PDF]
Journal of Applied Econometrics, 2021 SummaryThe unobserved components time series model with stochastic volatility has gained much interest in econometrics, especially for the purpose of modelling and forecasting inflation. We present a feasible simulated maximum likelihood method for parameter estimation from a classical perspective.
Mengheng Li, Siem Jan Koopman
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Testing for hysteresis in unemployment an unobserved components approach [PDF]
Empirical Economics, 1990 We suggest a new test for hysteresis in unemployment based on an unobserved components model. Observed unemployment rates are decomposed into a natural rate component and a cyclical component. The impact of lagged cyclical shocks on the current natural component is the measure of hysteresis.
Albert Jaeger, Martin Parkinson
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Maximum likelihood estimates of some probability model of discrete distributions
Қарағанды университетінің хабаршысы. Математика сериясы, 2018 In this work the new multivariate discrete probability model of distribution of random sums with unobserved components is proposed.The maximum likelihood estimates for this model are determined in the case that all the elements of the sample ...
A. Iskakova, G. Zhaxybayeva
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