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Identifying the Common Component of International Economic Fluctuations: A New Approach

Lumsdaine, Robin L.; Prasad, Eswar S. - 2002

In this paper, we develop an aggregation procedure using time-varying weights for constructing the common component of international economic fluctuations. The methodology for deriving time-varying weights is based on some stylized features of the data documented in the paper. The model allows...

Persistent link: https://www.econbiz.de/10010262765

Identifying the Common Component of International Economic Fluctuations: A New Approach

Lumsdaine, Robin L.; Prasad, Eswar S. - Institute for the Study of Labor (IZA) - 2002

Persistent link: https://www.econbiz.de/10005822387

Real Time Econometrics

Pesaran, Mohammad Hashem; Timmermann, Allan - 2004

This paper considers the problems facing decision makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated...

Persistent link: https://www.econbiz.de/10010276178

Real Time Econometrics

Pesaran, M. Hashem; Timmermann, Allan - Institute for the Study of Labor (IZA) - 2004

Persistent link: https://www.econbiz.de/10005763536

On the estimation and forecasting of international migration: how relevant is heterogeneity across countries?

Brücker, Herbert; Siliverstovs, Boriss - 2005

This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than … estimates of the migration function. Out-of-sample forecasting results indicate the following: (i) the standard fixed effects … variables estimators, (iv) forecasting performance of heterogenous estimators is mediocre in our data set. …

Persistent link: https://www.econbiz.de/10010267584

Forecasting Time Series Subject to Multiple Structural Breaks

Timmermann, Allan; Pettenuzzo, Davide; Pesaran, … - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Persistent link: https://www.econbiz.de/10010276180

Forecasting Time Series Subject to Multiple Structural Breaks

Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - Institute for the Study of Labor (IZA) - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Persistent link: https://www.econbiz.de/10005763710

On the Estimation and Forecasting of International Migration: How Relevant Is Heterogeneity Across Countries?

Brücker, Herbert; Siliverstovs, Boriss - Institute for the Study of Labor (IZA) - 2005

Persistent link: https://www.econbiz.de/10005703752

Are Unemployment Rates in OECD Countries Stationary? Evidence from Univariate and Panel Unit Root Tests

Khraief, Naceur; Shahbaz, Muhammad; Heshmati, Almas; … - 2015

This paper revisits the dynamics of unemployment rate for 29 OECD countries over the period of 1980-2013. Numerous empirical studies of the dynamics of unemployment rate are carried out within a linear framework. However, unemployment rate can show nonlinear behaviour as a result of business...

Persistent link: https://www.econbiz.de/10011420751

Google econometrics and unemployment forecasting

Askitas, Nikolaos; Zimmermann, Klaus F. - 2009

The current economic crisis requires fast information to predict economic behavior early, which is difficult at times of structural changes. This paper suggests an innovative new method of using data on internet activity for that purpose. It demonstrates strong correlations between keyword...

Persistent link: https://www.econbiz.de/10010269318