Search Results - subject:"State Space Models"

Bayesian near-boundary analysis in basic macroeconomic time series models

De Pooter, Michiel; Ravazzolo, Francesco; Segers, Rene; … - Faculteit der Economische Wetenschappen, Erasmus … - 2008

Several lessons learnt from a Bayesian analysis of basic macroeconomic time series models are presented for the situation where some model parameters have substantial posterior probability near the boundary of the parameter region. This feature refers to near-instability within dynamic models,...

Persistent link: https://www.econbiz.de/10010731830

Real Time Estimation of Potential Output and Output Gap for the Euro-Area : Comparing Production Function with Unobserved Components and SVAR Approaches

Mazzi, Gian Luigi; Reynès, Frédéric; Lemoine, Matthieu; … - Sciences économiques, Sciences Po - 2008

We develop a new version of the production function (PF) approach usually used for estimating the output gap of the euro area. Our version does not call for any (often imprecise) measure of the capital stock and improves the estimation of the trend total factor productivity. We asses this...

Persistent link: https://www.econbiz.de/10010798348

Exponential smoothing and non-negative data

Akram, Muhammad; Hyndman, Rob J; Ord, J. Keith - Department of Economics, George Washington University - 2008

underlying exponential smoothing when applied to non-negative data. We explore exponential smoothing state space models for non … from some commonly used state space models may have an infinite variance beyond a certain forecasting horizon. For …

Persistent link: https://www.econbiz.de/10005040995

Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models

Shephard, Neil; Flury, Thomas - Department of Economics, Oxford University - 2008

Suppose we wish to carry out likelihood based inference but we solely have an unbiased simulation based estimator of the likelihood. We note that unbiasedness is enough when the estimated likelihood is used inside a Metropolis-Hastings algorithm. This result has recently been introduced in...

Persistent link: https://www.econbiz.de/10005047860

Business cycle analysis and VARMA models

Kascha, Christian; Mertens, Karel - Norges Bank - 2008

estimate vector autoregressive moving average (VARMA) and state space models, which are not misspecified, using simulated data …

Persistent link: https://www.econbiz.de/10005063081

A View of Damped Trend as Incorporating a Tracking Signal into a State Space Model

Snyder, Ralph D.; Koehler, Anne B. - Department of Econometrics and Business Statistics, … - 2008

Damped trend exponential smoothing has previously been established as an important forecasting method. Here, it is shown to have close links to simple exponential smoothing with a smoothed error tracking signal. A special case of damped trend exponential smoothing emerges from our analysis, one...

Persistent link: https://www.econbiz.de/10005581148

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