Results 11 to 20 of about 26,074 (306)

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
openaire   +3 more sources

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
openaire   +5 more sources

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, Siem Jan Koopman, Marius Ooms   +2 more
doaj   +1 more source

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
doaj   +1 more source

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   +5 more sources

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

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

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

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