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Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction
Li, Mengheng - 2018
applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation …
Persistent link: https://www.econbiz.de/10012924242
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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …
Persistent link: https://www.econbiz.de/10011809984
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Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021
, inflation, and bond spread. We empirically identify a time-varying linkage between economic and financial variables which are … effects of financial shocks on output and inflation during crisis and non-crisis periods. …
Persistent link: https://www.econbiz.de/10012591572
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …
Persistent link: https://www.econbiz.de/10011373822
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Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan; Bos, Charles S. - 2002
concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …
Persistent link: https://www.econbiz.de/10011327834
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Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2008
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …
Persistent link: https://www.econbiz.de/10014221102
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Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Koopman, Siem Jan; Bos, Charles S. - 2003
concerned with the modelling and forecasting of two U.S. macroeconomic time series: Inflation and industrial production …
Persistent link: https://www.econbiz.de/10014100716
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Statistical early warning models with applications
Harlaar, Lucas P.; Commandeur, Jacques Jean François; … - 2024
This paper investigates the feasibility of using earlier provisional data to improve the now- and forecasting accuracy of final and official statistics. We propose the use of a multivariate structural time series model which includes common trends and seasonal components to combine official...
Persistent link: https://www.econbiz.de/10015062979
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Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
Koopman, Siem Jan; Wel, Michel van der - 2011
We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for extracting the common factors from a large panel of macroeconomic series and for estimating the parameters in the model....
Persistent link: https://www.econbiz.de/10011386428
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011376640