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  • Search: subject:"Unobserved Components Model"
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Year of publication
Subject
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unobserved components model 63 Time series analysis 48 Zeitreihenanalyse 48 Unobserved components model 46 Theorie 34 Theory 33 Estimation 32 Schätzung 32 State space model 26 Zustandsraummodell 26 Business cycle 25 Konjunktur 25 Unobserved Components Model 23 Bruttoinlandsprodukt 21 Gross domestic product 20 Inflation 18 Bayes-Statistik 15 Phillips curve 15 Prognoseverfahren 15 Bayesian estimation 14 Bayesian inference 14 Forecasting model 14 Phillips-Kurve 12 Potential output 12 Produktionspotenzial 12 Geldpolitik 11 Monetary policy 11 Inflation targeting 10 Decomposition method 9 Dekompositionsverfahren 9 Inflationssteuerung 9 Schock 9 National income 8 Nationaleinkommen 8 Output gap 8 Shock 8 output gap 8 Euro area 7 Structural break 7 trend-cycle decomposition 7
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Online availability
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Free 89 Undetermined 37 CC license 2
Type of publication
All
Book / Working Paper 90 Article 62
Type of publication (narrower categories)
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Article in journal 45 Aufsatz in Zeitschrift 45 Working Paper 34 Graue Literatur 20 Non-commercial literature 20 Arbeitspapier 19 Article 2
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Language
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English 107 Undetermined 43 French 1 Turkish 1
Author
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Wada, Tatsuma 7 Allegret, Jean-Pierre 6 Perron, Pierre 6 Chen, Xiaoshan 5 Congregado, Emilio 5 Lindblad, Hans 5 MacDonald, Ronald 5 Sellin, Peter 5 Aron, Janine 4 Basistha, Arabinda 4 Bazen, Stephen 4 Chan, Joshua 4 Golpe, Antonio A. 4 Muellbauer, John 4 Poon, Aubrey 4 Sand-Zantman, Alain 4 Singh, Aarti 4 Vitek, Francis 4 Willems, Tim 4 Österholm, Pär 4 Eo, Yunjong 3 Guérin, Pierre 3 Kim, Chang-Jin 3 Kim, Jaeho 3 Manopimoke, Pym 3 Maurin, Laurent 3 Mohr, Matthias 3 Morley, James 3 Nagakura, Daisuke 3 Sobiech, Izabela 3 Startz, Richard 3 Uzeda, Luis 3 Wong, Benjamin 3 Abu-Alfoul, Mohammed N. 2 Al Salamat, Wasfi A. 2 Alexius, Annika 2 Barbarino, Alessandro 2 Berge, Travis J. 2 Carstensen, Kai 2 Chan, Joshua C.C. 2
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Institution
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Department of Economics, Boston University 5 HAL 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 C.E.P.R. Discussion Papers 2 Department of Economics, College of Business and Economics 2 EconWPA 2 London School of Economics (LSE) 2 School of Economics, UNSW Business School 2 Society for Computational Economics - SCE 2 Sveriges Riksbank 2 Banque de France 1 Crawford School of Public Policy, Australian National University 1 Department of Economics, Adam Smith Business School 1 Department of Economics, Oxford University 1 Department of Economics, University of Stirling 1 Dipartimento del Tesoro, Ministero dell'Economia e delle Finanze 1 Dipartimento di Economia, Università Ca' Foscari Venezia 1 Dipartimento di Statistica, Università degli Studi di Milano-Bicocca 1 Département des Études Économiques d'Ensemble (D3E), Institut National de la Statistique et des Études Économiques (INSEE) 1 Düsseldorf Institute for Competition Economics (DICE), Wirtschaftswissenschaftliche Fakultät 1 European Central Bank 1 Faculty of Economics, University of Cambridge 1 Groupe d'Analyse et de Théorie Économique Lyon St-Étienne (GATE Lyon St-Étienne), Faculté de Sciences Économiques et de Gestion 1 Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong 1 Institute for Monetary and Economic Studies, Bank of Japan 1 Institute for the Study of Labor (IZA) 1 Institute of Economic Research, Hitotsubashi University 1 Institute of Economic Research, Korea University 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1 Melbourne Institute of Applied Economic and Social Research (MIAESR), Faculty of Business and Economics 1 Nationalekonomiska Institutionen, Uppsala Universitet 1 School of Economics, Faculty of Arts and Social Sciences 1 Scottish Institute for Research in Economics (SIRE) 1 Spatial Economics Research Centre, LSE 1 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1 Tinbergen Institute 1 Tinbergen Instituut 1 ifo Leibniz-Institut für Wirtschaftsforschung an der Universität München e.V. 1
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Published in...
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Boston University - Department of Economics - Working Papers Series 5 Macroeconomic dynamics 4 CAMA working paper series 3 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 3 Finance and economics discussion series 3 IZA Discussion Papers 3 Journal of money, credit and banking : JMCB 3 MPRA Paper 3 Post-Print / HAL 3 Working Paper 3 CEPR Discussion Papers 2 Discussion Papers / School of Economics, UNSW Business School 2 ECB Working Paper 2 Economic modelling 2 Empirical economics : a quarterly journal of the Institute for Advanced Studies 2 Journal of applied econometrics 2 Journal of economic dynamics & control 2 LSE Research Online Documents on Economics 2 Macroeconomics 2 Sveriges Riksbank Working Paper Series 2 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 2 Tinbergen Institute Discussion Papers 2 Working Paper Series / Sveriges Riksbank 2 Working Papers / Department of Economics, College of Business and Economics 2 Banka Slovenije working papers 1 CAMA Working Papers 1 CESifo Working Paper 1 CESifo working papers 1 Cahiers d'etudes / Banque Centrale du Luxembourg 1 Cambridge Working Papers in Economics 1 Cambridge working papers in economics 1 Central Bank Review 1 Central European Journal of Economic Modelling and Econometrics 1 Central European journal of economic modelling and econometrics 1 Central European journal of operations research 1 China economic review : an international journal 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Computing in Economics and Finance 2002 1 Computing in Economics and Finance 2005 1
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Source
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RePEc 68 ECONIS (ZBW) 67 EconStor 17
Showing 91 - 100 of 152
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The Dynamics of Entrepreneurship: Hysteresis, Business Cycles and Government Policy
Congregado, Emilio; Golpe, Antonio A.; Parker, Simon C. - Institute for the Study of Labor (IZA) - 2009
This paper estimates an unobserved components model to explore the macro dynamics of entrepreneurship in Spain and the … Policy This paper estimates an unobserved components model to explore the macro dynamics of entrepreneurship in Spain and …, J24 Keywords: hysteresis, unobserved components model, time series models, business cycles, self …
Persistent link: https://www.econbiz.de/10005233799
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Inventory Mistakes and the Great Moderation
Morley, James; Singh, Aarti - School of Economics, Faculty of Arts and Social Sciences - 2009
production smoothing. We investigate the role of inventories in the Great Moderation by estimating an unobserved components model …
Persistent link: https://www.econbiz.de/10008763992
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Measuring the dollar–euro permanent equilibrium exchange rate using the unobserved components model
Chen, Xiaoshan; MacDonald, Ronald - In: Journal of International Money and Finance 53 (2015) C, pp. 20-35
This paper employs an unobserved component model that incorporates a set of economic fundamentals to obtain the Euro–Dollar permanent equilibrium exchange rates (PEER) for the period 1975Q1 to 2008Q4. The results show that for most of the sample period, the Euro–Dollar exchange rate closely...
Persistent link: https://www.econbiz.de/10011263952
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Locating change-points in Hodrick–Prescott trends with an application to US real GDP: A generalized unobserved components model approach
Yoon, Gawon - In: Economic Modelling 45 (2015) C, pp. 136-141
components model with error terms of mixtures of normal distributions. We apply the method to US real GDP for the 1947 … change-points. In this study, we locate their change-points by formulating the HP filter as a generalized unobserved …
Persistent link: https://www.econbiz.de/10011190215
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Measuring the dollar-euro permanent equilibrium exchange rate using the unobserved components model
Chen, Xiaoshan; MacDonald, Ronald - In: Journal of international money and finance 53 (2015), pp. 20-35
Persistent link: https://www.econbiz.de/10011475904
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Trend-cycle decomposition of output and euro area inflation forecasts : a real-time approach based on model combination
Guérin, Pierre; Maurin, Laurent; Mohr, Matthias - In: Macroeconomic dynamics 19 (2015) 2, pp. 363-393
Persistent link: https://www.econbiz.de/10011308645
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Do monetary policy shocks generate TAR or STAR dynamics in output?
Donayre, Luiggi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 2, pp. 227-247
Persistent link: https://www.econbiz.de/10011313585
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Small trends and big cycles in crude oil prices
Mu, Xiaoyi; Ye, Haichun - In: The energy journal 36 (2015) 1, pp. 49-72
Persistent link: https://www.econbiz.de/10010528381
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Locating change-points in Hodrick-Prescott trends with an application to US real GDP : a generalized unobserved components model approach
Yoon, Gawon - In: Economic modelling 45 (2015), pp. 136-141
Persistent link: https://www.econbiz.de/10011334137
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Exchange rates and fundamentals: A generalization
Nason, James M.; Rogers, John H. - 2008
Exchange rates have raised the ire of economists for more than 20 years. The problem is that few, if any, exchange rate models are known to systematically beat a naive random walk in out of sample forecasts. Engel and West (2005) show that these failures can be explained by the standard-present...
Persistent link: https://www.econbiz.de/10010292311
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