Results 231 to 240 of about 25,591 (263)

Unobserved components models with correlated disturbances

Statistical Methods and Applications, 2004
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Cyclicality of Schooling: New Evidence from Unobserved Components Models

2020
Quelle est l’incidence variable dans le temps des cycles économiques sur les décisions d’investir dans le capital humain?
Sadaba, Barbara, Vujič, Sunčica , Maier, Sofia   +2 more
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Asymmetric cycles in unobserved components models [PDF]

Bulletin of Economic Research, 2003
A class of structural time series models with an asymmetric cyclical component is presented and used in order to test for asymmetry in economic time series. The asymmetric cycle is defined as a sine-cosine wave where the frequency of the cycle depends on past observations of the stochastic process being modelled.
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State Space and Unobserved Component Models

2004
This 2004 volume offers a broad overview of developments in the theory and applications of state space modeling. With fourteen chapters from twenty-three contributors, it offers a unique synthesis of state space methods and unobserved component models that are important in a wide range of subjects, including economics, finance, environmental science ...
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Estimating an Unobserved Component of a Serial Response Time Model

Psychometrika, 1979
A method is developed for estimating the response time distribution of an unobserved component in a two-component serial model, assuming the components are stochastically independent. The estimate of the component’s density function is constrained only to be unimodal and non-negative.
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An Unobserved Components Model to Forecast Austrian GDP [PDF]

, 2006
This paper deals with forecasting quarterly Austrian GDP growth using monthly conjunctural indicators and state space models. The latter provide an efficient econometric framework to analyse jointly data with different frequencies. Based on a Kalman filter technique we estimate a monthly GDP growth series as an unobserved component using monthly ...
Gerhard Fenz, Martin Spitzer
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Prediction, Extraction, and Estimation in Unobserved Components Models

Econometric Theory, 1987
Francis X. Diebold, Marc Nerlove
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On the Efficiency of Unobserved Components Models

Jahrbücher für Nationalökonomie und Statistik, 2004
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Multivariate unobserved component model for an oil-exporting economy: the case of Russia

Applied Economics Letters, 2021
Andrey Polbin
exaly  

Unobserved-Component Time Series Models With Markov-Switching Heteroscedasticity: Changes in Regime and the Link Between Inflation Rates and Inflation Uncertainty

Journal of Business and Economic Statistics, 1993
Chang-Jin Kim
exaly