Search Results - subject:"time varying parameter"

The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series

van Dijk, Dick; Strikholm, B.; Terasvirta, T. - Faculteit der Economische Wetenschappen, Erasmus … - 2001

Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for industrial production series of the G7...

Persistent link: https://www.econbiz.de/10010731731

Controlling Inflation in Euroland

Cabos, Karen; Siegfried, Nikolaus A. - Institut für Makroökonomie und Wirtschaftspolitik, … - 2001

For the sake of credibility the ECB has to commit to a clear policy strategy - a direct inflation target or an intermediate monetary target. We offer some information on the scale of control and indicator problems associated with both strategies. We estimate the links between monetary policy...

Persistent link: https://www.econbiz.de/10005823542

The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series

van Dijk, Dick; Strikholm, Birgit; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2001

change, Time-varying parameter. 1. INTRODUCTION Seasonal fluctuations are an important source of variation in many …

Persistent link: https://www.econbiz.de/10005207194

The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series

Dijk, D.J.C. van; Strikholm, B.; Terasvirta, T. - Erasmus University Rotterdam, Econometric Institute - 2001

Persistent link: https://www.econbiz.de/10008570617

Which Econometric Specification to Characterize the U.S. Inflation Rate Process?

Boutahar, Mohamed; Gbaguidi, David - In: Computational Economics 34 (2009) 2, pp. 145-172

Persistent link: https://www.econbiz.de/10004976807

A two-phase approach to estimating time-varying parameters in the capital asset pricing model

Su, Yih; Hwang, Jing-Shiang - In: Journal of Applied Statistics 36 (2009) 1, pp. 79-89

Following the development of the economy and the diversification of investment, mutual funds are a popular investment tool nowadays. Choosing excellent targets from hundreds of mutual funds has become more and more crucial to investors. The capital asset pricing model (CAPM) has been widely used...

Persistent link: https://www.econbiz.de/10005279007

Some Thoughts on Monetary Targeting vs. Inflation Targeting

Cabos, Karen; Funke, Michael; Siegfried, Nikolaus A. - Institut für Makroökonomie und Wirtschaftspolitik, … - 1999

We offer some empirical evidence on the likely scale of control and indicator problems surrounding alternative monetary targets and a direct inflation target. The links between monetary policy actions and inflationare estimated in dynamic linear models using the Kalman filter. We compare...

Persistent link: https://www.econbiz.de/10005582267

Conditional risk-return relationship in a time-varying beta model

Huang, Peng; Hueng, C. James - In: Quantitative Finance 8 (2008) 4, pp. 381-390

We investigate the asymmetric risk-return relationship in a time-varying beta CAPM. A state space model is established and estimated by the Adaptive Least Squares with Kalman foundations proposed by McCulloch. Using S&P 500 daily data from 1987:11-2003:12, we find a positive risk-return...

Persistent link: https://www.econbiz.de/10005462669

Parametric and Semiparametric Efficient Tests for Parameter Instability

Lee, Dong Jin - Department of Economics, University of Connecticut - 2008

cover a wide range of structural breaks and time varying parameter processes. I first derive a test under known error …

Persistent link: https://www.econbiz.de/10005027213

Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?

Granger, Clive - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 3, pp. 1639-1639

parameter linear model. Compared with non-linear models, multi-step forecasts are more easily prepared using time-varying … non-linear models in economics and shows (via White's Theorem) that any non-linear model can be approximated by a time-varying … parameter models, while they are also more readily interpretable and theoretical results on aggregation are straightforward to …

Persistent link: https://www.econbiz.de/10005246308