Results 21 to 30 of about 2,865,465 (299)

Unobserved component models with asymmetric conditional variances [PDF]

Computational Statistics & Data Analysis, 2006
In this paper, unobserved component models with GARCH disturbances are extended to allow for asymmetric responses of conditional variances to positive and negative shocks. The asymmetric conditional variance is represented by a member of the QARCH class of models.
Carmen Broto, Esther Ruiz
openaire   +6 more sources

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
openaire   +2 more sources

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
openaire   +3 more sources

Fitting Time Series Models to Fisheries Data to Ascertain Age

Journal of Probability and Statistics, 2023
The ability of government agencies to assign accurate ages of fish is important to fisheries management. Accurate ageing allows for most reliable age-based models to be used to support sustainability and maximize economic benefit. Assigning age relies on
Kathleen S. Kirch, Norou Diawara, Cynthia M. Jones   +2 more
doaj   +1 more source

Financialisation and income inequality: An investigation of the financial Kuznets curve hypothesis among developed and developing countries

Heliyon, 2023
The Financial Kuznets Curve (FKC) is a variant of the renowned Kuznets Curve and a counterpart to the Environmental Kuznets Curve. In this paper, we examine the financial Kuznets curve hypothesis—based on annual data for 20 developed and developing ...
Ibrahim N. Khatatbeh, Imad A. Moosa
doaj   +1 more source

Common Trends, Common Cycles, and Price Relationships in the International Fiber Market

Journal of Agricultural and Resource Economics, 2007
A multivariate unobserved component model was applied to identify common movements among cotton, wool, rayon, and polyester world prices. Two common stochastic trends and cycles govern the stochastic behaviors of price fluctuations in the world fiber ...
Mohamadou L. Fadiga, Sukant K. Misra
doaj   +1 more source

Unobserved components in ARCH models: An application to seasonal adjustment [PDF]

Journal of Forecasting, 1996
The article is a published version of EUI ECO WP; 1994 ...
FIORENTINI, GABRIELE, MARAVALL A.
openaire   +4 more sources

Decomposing Beveridge Curve Dynamics By Correlated Unobserved Components [PDF]

Oxford Bulletin of Economics and Statistics, 2016
AbstractOur paper provides a consistent framework to study the structural or cyclical nature of Beveridge curve (BC) dynamics: We connect equilibrium unemployment theory to a flexible multivariate unobserved components model. We disentangle permanent and transitory components of all series determining the BC and its position.
Klinger, Sabine, Weber, Enzo
openaire   +3 more sources

Expected demand for Electricity Residential sector in Nineveh governorate for the period (2004-2016) using Unobserved Components Model [PDF]

المجلة العراقية للعلوم الاحصائية, 2018
اىتم ىذا البحث بد ا رسة الطاقة الکیربائیة فی محافظة نینوى بواقع ) 69 ( شی ا رً ولممدة من 4002 ولغایة 4004 ، أظیر التحمیل الاحصائی لمبیانات المدروسة بانیا تحوی عمى التأثی ا رت الموسمیة والاتجاه العام وکذلک العشوائیة، تم استخدام نموذج المکونات غیر ...
Mahmod H. Abd Alla
doaj   +1 more source

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.
openaire   +6 more sources