Results 11 to 20 of about 24,065 (262)
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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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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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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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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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
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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.
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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
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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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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
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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.
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