Results 11 to 20 of about 25,591 (263)
Univariate unobserved-component model with a nonrandom-walk permanent component [PDF]
Applied Economics, 2013 In this note, we revisit the univariate unobserved-component (UC) model of US GDP by relaxing the traditional random-walk assumption of the permanent component. Since our general UC model is unidentified, we investigate the upper bound of the contribution of the transitory component, and find it is dominated by the permanent component.
Zhiwei Xu
exaly +5 more sources
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 ...
Gabriele Fiorentini, Agustin Maravall
exaly +5 more sources
On the Automatic Identification of Unobserved Components Models [PDF]
, 2020 Automatic identi cation of time series models is a necessity once the big data era has come and is staying among us. This has become obvious for many companies and public entities that has passed from a crafted analysis of each individual problem to handle a tsunami of information that has to be processed e ciently, online and in record time. Automatic
Diego J. Pedregal, Juan R. Trapero
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Signal extraction and the formulation of unobserved components models [PDF]
The Econometrics Journal, 2000 Summary: 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.
Harvey, A.C., Koopman, S.J.M.
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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
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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.
openaire +2 more sources
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
TESTING STATIONARITY WITH UNOBSERVED-COMPONENTS MODELS [PDF]
Macroeconomic Dynamics, 2016 In the aftermath of the global financial crisis, competing measures of the trend in macroeconomic variables such as U.S. real GDP have featured prominently in policy debates. A key question is whether large shocks to macroeconomic variables will have permanent effects—i.e., in econometric terms, do the data contain stochastic trends?
Morley, James +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
doaj
Modeling COVID-19 Infection Rates by Regime-Switching Unobserved Components Models
Econometrics, 2023 The COVID-19 pandemic is characterized by a recurring sequence of peaks and troughs. This article proposes a regime-switching unobserved components (UC) approach to model the trend of COVID-19 infections as a function of this ebb and flow pattern ...
Paul Haimerl, Tobias Hartl
doaj +1 more source