Results 21 to 30 of about 26,074 (306)
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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COVID-19 Data Imputation by Multiple Function-on-Function Principal Component Regression
Mathematics, 2021 The aim of this paper is the imputation of missing data of COVID-19 hospitalized and intensive care curves in several Spanish regions. Taking into account that the curves of cases, deceases and recovered people are completely observed, a function-on ...
Christian Acal +3 more
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Macro-Prudential Policies and Financial Cycle in Iran [PDF]
International Journal of Business and Development Studies, 2021 Financial markets are channels for attracting surplus financial resources and allocating them to investment. Macro-prudential policy needs to consider financial cycle in order to assess the state of the financial sector, predict its developments and ...
Nafiseh Keshtgar +2 more
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Fad Models with Markov Switching Hetroskedasticity: Decomposing Tehran Stock Exchange Return into Permanent and Transitory Components [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2018 In this paper, the stochastic behavior of Tehran stock exchange return index (TEDPIX) is examined by using unobserved component Markov switching model (UC-MS) during the period 3/27/2010 - 8/3/2015.
Teimour Mohammadi +3 more
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Bayesian analysis of output gap in Barbados
Latin American Journal of Central Banking, 2020 This article contributes to understanding the performance of various unobserved components (UC) models in fitting Barbados’ real GDP. Relying on recent UC models techniques, it finds support for the UC model that captures correlated disturbances, but not
Terence D. Agbeyegbe
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Approximate state space modelling of unobserved fractional components [PDF]
Econometric Reviews, 2020 We propose convenient inferential methods for potentially nonstationary multivariate unobserved components models with fractional integration and cointegration. Based on finite-order ARMA approximations in the state space representation, maximum likelihood estimation can make use of the EM algorithm and related techniques. The approximation outperforms
Hartl, Tobias, Weigand, Roland
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PLoS ONE, 2023 ObjectiveTo quantify the increase in pediatric patients presenting to the emergency department with suicidality before and during the COVID-19 pandemic, and the subsequent impact on emergency department length of stay and boarding.MethodsThis ...
Amy R Zipursky +6 more
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Measuring business cycles: Empirical evidence based on an unobserved component approach
Cogent Economics & Finance, 2019 We adopt an unobserved components time series model to track the business cycles in the G7 countries using the Industrial production index over the period from 1:1961 to 8:2017. The advantage of adopting the industrial production series frequency is that
Huthaifa Alqaralleh
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Time Series Forecasting with UCM Model ; A Comparative Study using the Tigris River Data [PDF]
المجلة العراقية للعلوم الاحصائية, 2008 In this paper,we build two basic models to forecast a flow water of the Tigris river which enters to mosul city . The first model is Unobserved Components Model which is writing braivly by UCM,the second is Autoregressive and Moving Average model which
Thafer Ramathan Muttar +1 more
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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.
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