Search Results - subject:"State–Space Models"

Extracting the Cyclical Component in Hours Worked: a Bayesian Approach

Bernardi, Mauro; Della Corte, Giuseppe; Proietti, Tommaso - Volkswirtschaftliche Fakultät, … - 2008

The series on average hours worked in the manufacturing sector is a key leading indicator of the U.S. business cycle. The paper deals with robust estimation of the cyclical component for the seasonally adjusted time series. This is achieved by an unobserved components model featuring an...

Persistent link: https://www.econbiz.de/10005621547

A Monthly Indicator of the Euro Area GDP

Frale, Cecilia; Marcellino, Massimiliano; Mazzi, Gian Luigi - Department of Economics, European University Institute - 2008

A continuous monitoring of the evolution of the economy is fundamental for the decisions of public and private decision makers. This paper proposes a new monthly indicator of the euro area real Gross Domestic Product (GDP), with several original features. First, it considers both the output side...

Persistent link: https://www.econbiz.de/10005557751

Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality

Reichmuth, Wolfgang; Sarferaz, Samad - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

. Kohn (1994). On Gibbs sampling for state space models. Biometrika, 81(3), 541–553. Coale, A. J. and P. G. Demeny (1983 … Space Models, Forecasts 1We would like to thank Pooyan Amir Ahmadi, Alexander Rathke, Henning Weber and especially Albrecht … classification codes: C11, C32, C53, I10, J11 Keywords: Demography, Age-specific, Mortality, Lee-Carter, Stochastic, Bayesian, State …

Persistent link: https://www.econbiz.de/10005784846

Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components

Proietti, Tommaso - Volkswirtschaftliche Fakultät, … - 2008

The paper estimates a large-scale mixed-frequency dynamic factor model for the euro area, using monthly series along with Gross Domestic Product (GDP) and its main components, obtained from the quarterly national accounts. The latter define broad measures of real economic activity (such as GDP...

Persistent link: https://www.econbiz.de/10005789536

Seasonality with Trend and Cycle Interactions in Unobserved Components Models

Koopman, Siem Jan; Lee, Kai Ming - Tinbergen Institute - 2008

Unobserved 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, often appropriate after...

Persistent link: https://www.econbiz.de/10005209532

Modeling and Forecasting Age-Specific Mortality: A Bayesian Approach

Reichmuth, Wolfgang; Sarferaz, Samad - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

, J11 Keywords: demography, age-specific mortality, Lee–Carter, stochastic, Bayesian state space models, forecasts 1A …. Carter, C. K. and R. Kohn (1994). On Gibbs sampling for state space models. Biometrika, 81(3), 541–553. Coale, A. J. and P. G …

Persistent link: https://www.econbiz.de/10010609985

Seasonality with trend and cycle interactions in unobserved components models

Koopman, Siem Jan; Lee, Kai Ming - 2008

Persistent link: https://www.econbiz.de/10011374413

A Bayesian approach for improved pavement performance prediction

Park, Eun Sug; Smith, Roger; Freeman, Thomas; … - In: Journal of Applied Statistics 35 (2008) 11, pp. 1219-1238

We present a method for predicting future pavement distresses such as longitudinal cracking. These predicted distress values are used to plan road repairs. Large inherent variability in measured cracking and an extremely small number of observations are the nature of the pavement cracking data,...

Persistent link: https://www.econbiz.de/10005458259

A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices

Qu, Zhongjun; Perron, Pierre - Department of Economics, Boston University - 2008

Empirical ?ndings related to the time series properties of stock returns volatility indicate autocorrelations that decay slowly at long lags. In light of this, several long-memory models have been proposed. However, the possibility of level shifts has been advanced as a possible explanation for...

Persistent link: https://www.econbiz.de/10004991570

Measuring the baseline sales and the promotion effect for incense products: a Bayesian state-space modeling approach

Ando, Tomohiro - In: Annals of the Institute of Statistical Mathematics 60 (2008) 4, pp. 763-780

Persistent link: https://www.econbiz.de/10005184680