Search Results - subject:"Unobserved Components Model"

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

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

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

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

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

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

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

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

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

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