Search Results - subject:"State Space Models"

Improving the accuracy of economic measurement with multiple data sources : the case of payroll employment data

Cajner, Tomaz; Crane, Leland D.; Decker, Ryan A.; … - 2019

This paper combines information from two sources of U.S. private payroll employment to increase the accuracy of real-time measurement of the labor market. The sources are the Current Employment Statistics (CES) from BLS and microdata from the payroll processing firm ADP. We briefly describe the...

Persistent link: https://www.econbiz.de/10012182097

Spatio-temporal influence of non-pharmaceutical interventions policies on pandemic dynamics and the economy : the case of COVID-19

Lazebnik, Teddy; Shami, Labib; Bunimovich-Mendrazitsky, … - In: Economic research 35 (2022) 1,2, pp. 1833-1861

Persistent link: https://www.econbiz.de/10014380986

A white-boxed ISSM approach to estimate uncertainty distributions of Walmart sales

De Rezende, Rafael B.; Egert, Katharina; Marin, Ignacio; … - In: International journal of forecasting 38 (2022) 4, pp. 1460-1467

Persistent link: https://www.econbiz.de/10014381111

Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity

Li, Mengheng; Mendieta-Muñoz, Ivan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 337-359

Persistent link: https://www.econbiz.de/10013334751

What does Google say about credit developments in Brazil?

Neto, Alberto Ronchi; Candido, Osvaldo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 4, pp. 499-527

Persistent link: https://www.econbiz.de/10013453758

Optimal frameworks for detecting anomalies in sensor-intensive heterogeneous networks

Moghaddass, Ramin; Guan, Yongtao - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 5, pp. 2583-2610

Persistent link: https://www.econbiz.de/10014325526

Bootstrap inference and diagnostics in state space models : with applications to dynamic macro models

Angelini, Giovanni; Cavaliere, Giuseppe; Fanelli, Luca - In: Journal of applied econometrics 37 (2022) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10013165161

Modeling tail risks of inflation using unobserved component quantile regressions

Pfarrhofer, Michael - In: Journal of economic dynamics & control 143 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013543015

Financial big data solutions for state space panel regression in interest rate dynamics

Toczydlowska, Dorota; Peters, Gareth W. - In: Econometrics 6 (2018) 3, pp. 1-45

. We embed the rank reduced feature extractions into a stochastic representation for state-space models for yield curve … dynamics and compare the results to classical multi-factor dynamic Nelson-Siegel state-space models. This leads to important …

Persistent link: https://www.econbiz.de/10011995227

State-space models on the Stiefel manifold with a new approach to nonlinear filtering

Yang, Yukai; Bauwens, Luc - In: Econometrics 6 (2018) 4, pp. 1-22

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a …

Persistent link: https://www.econbiz.de/10011995230