In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis. For the nonseasonal unit root, such intercepts can generate a stochastic trend with a drift common to all observations. For the seasonal unit roots, however, we show that unrestricted seasonal intercepts...

We propose methods to test for common deterministic seasonality, while allowing for possible seasonal unit roots. For this purpose, we consider panel methods, where we allow for individual and for common dynamics. To decide on the presence of seasonal unit roots, we introduce a decision-based...

We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the quarterly CHEGY test to the monthly case. This parametric test is contrasted with a new nonparametric test, which is the panel counterpart to the univariate RURS test that relies on...

We analyze the behavior of experts who quote forecasts for monthly SKU-level sales data where we compare data before and after the moment that experts received different kinds of feedback on their behavior. We have data for 21 experts located in as many countries who make SKUlevel forecasts for...

This paper reports on simulation results for the Wald test for ∝1=∝2=0 in the regression model [Please open the additional file (8526_math.png) to see the regression model] for the case ĸ is known and for the case where ĸ has to be estimated using nonlinear least squares (NLS). This last...

__Abstract__ This paper puts forward a new data collection method to measure daily consumer confidence at the individual level. The data thus obtained allow to statistically analyze the dynamic correlation of such a consumer confidence indicator and to draw inference on transition rates. The...

We consider the usefulness of the two-regime SETAR model for out-of-sample forecasting, and compare it with a linear AR model. A range of newly-developed forecast evaluation techniques are employed. Our simulation results show that time-series data need to exhibit a substantial degree of...

Each year the Dutch magazine Elsevier publishes the results of surveys amongst students concerning the perceived quality of academic studies. Unfortunately, the original survey data are not publicly available. We therefore repeat the survey for economics students in Maastricht and Rotterdam, as...

We conjecture that individual purchases of counterfeit products could be motivated by income and prices, but that another driver is cultural norms. To put the latter conjecture to an empirical test we make use of the unique situation of Surinamese people who live in Suriname and in the...

This paper describes the components of the EICIE, the Econometric Institute Current Indicator of the Economy. This measure concerns quarterly and annual growth of Dutch real Gross Domestic Product. The key component of our real-time forecasting model for Dutch quarterly GDP is weekly staffing...