Search Results - subject:"Time varying parameters"

Time-varying conditional Johnson Su density in Value-at-Risk methodology

Cayton, Peter Julian; Mapa, Dennis - In: The Philippine review of economics : a joint … 52 (2015) 1, pp. 23-44

Persistent link: https://www.econbiz.de/10011416114

Panel conditional and multinomial logit with time-varying parameters

Lee, Myoung-jae - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 3, pp. 317-337

Persistent link: https://www.econbiz.de/10011339431

Slovak economy in a period of recession : nonlinear DSGE model with time-varying parameters

Tvrz, Stanislav; Vašíček, Osvald - In: Ekonomický časopis : časopis pre ekonomickú … 63 (2015) 1, pp. 34-50

Persistent link: https://www.econbiz.de/10011341462

The time varying effect of oil price shocks on euro-area exports

Riggi, Marianna; Venditti, Fabrizio - In: Journal of economic dynamics & control 59 (2015), pp. 75-94

Persistent link: https://www.econbiz.de/10011575058

An Hourly Periodic State Space Model for Modelling French National Electricity Load

Dordonnat, V.; Koopman, S.J.; Ooms, M.; Dessertaine, A.; … - 2008

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...

Persistent link: https://www.econbiz.de/10010325676

A General Framework for Observation Driven Time-Varying Parameter Models

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2008

unified and consistent framework for introducing time-varying parameters in a wide class of non-linear models. The GAS model … parameters, observation driven analogues of unobserved components time series models, multivariate point process models with time-varying … specification provides a wide range of new observation driven models. Examples include non-linear regression models with time-varying …

Persistent link: https://www.econbiz.de/10010325732

Dynamic factor models with time-varying parameters: Measuring changes in international business cycles

Del Negro, Marco; Otrok, Christopher - 2008

We develop a dynamic factor model with time-varying factor loadings and stochastic volatility in both the latent factors and idiosyncratic components. We employ this new measurement tool to study the evolution of international business cycles in the post-Bretton Woods period, using a panel of...

Persistent link: https://www.econbiz.de/10010283508

Assessing Time-Varying Oligopoly and Oligopsony Power in the U.S. Paper Industry

Mei, Bin; Sun, Changyou - In: Journal of Agricultural and Applied Economics 40 (2008) 03

The U.S. paper industry has become increasingly concentrated and therefore been suspected of imperfect competition. In this study, the new empirical industrial organization approach is employed to measure the degree of oligopoly and oligopsony power in the U.S. paper industry simultaneously. The...

Persistent link: https://www.econbiz.de/10005469167

An Hourly Periodic State Space Model for Modelling French National Electricity Load

Dordonnat, V.; Koopman, S.J.; Ooms, M.; Dessertaine, A.; … - Tinbergen Instituut - 2008

Persistent link: https://www.econbiz.de/10011256898

Learning About Learning in Dynamic Economic Models

Kendrick, D.A.; Amman, H.M.; Tucci, M.P. - School of Economics, Universiteit Utrecht - 2008

This chapter of the Handbook of Computational Economics is mostly about research on active learning and is confined to discussion of learning in dynamic models in which the systems equations are linear, the criterion function is quadratic and the additive noise terms are Gaussian. Though there...

Persistent link: https://www.econbiz.de/10005040838