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The estimation uncertainty of permanent-transitory decompositions in cointegrated systems

Schreiber, Sven - 2011 - this version: February 2011

The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent-transitory decompositions in the frameworkof the cointegrated vector-autoregression. Specifically, we suggest an approach to construct the confidence interval of the transitory component in...

Persistent link: https://www.econbiz.de/10009530402

The estimation uncertainty of permanent-transitory decompositions in co-integrated systems : conference paper

Schreiber, Sven - 2014 - This version: February 2014

The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent-transitory decompositions in the framework of the co-integrated vector autoregression. We suggest an approach to construct the confidence interval of the transitory component estimate in a...

Persistent link: https://www.econbiz.de/10010489880

Applied Cointegration Analysis in the Mirror of Macroeconomic Theory

Vredin, Anders - 2013

Cointegration analyses of macroeconomic time series are often not based on fully specified theoretical models. We use a … theoretical model to scrutinize common procedures in applied cointegration analysis. Monte Carlo experiments show that (1) some … tests of the cointegration vectors do not work well on series generated by an equilibrium business cycle model; (2 …

Persistent link: https://www.econbiz.de/10013095882

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Wonk-ki; Seong, Dakyung - 2022

Persistent link: https://www.econbiz.de/10012816384

Minimum Distance Estimation and Testing of DSGE Models from Structural VARs

Fève, Patrick; Matheron, Julien; Sahuc, Jean-Guillaume - 2010

The aim of this paper is to complement the MDE-SVAR approach when the weighting matrix is not optimal. In empirical studies, this choice is motivated by stochastic singularity or collinearity problems associated with the covariance matrix of Impulse Response Functions. Consequently, the...

Persistent link: https://www.econbiz.de/10014193921

On Adjusting the Hp-Filter for the Frequency of Observations

Ravn, Morten O. - 2003

This paper studies how the HP-Filter should be adjusted, when changing the frequency of observations. It complements the results of Baxter and King (1999) with an analytical analysis, demonstrating that the filter parameter should be adjusted by multiplying it with the fourth power of the...

Persistent link: https://www.econbiz.de/10014123591

Reconsidering Hodrick-Prescott Detrending and Its Smoothing Parameter : Extended Version

Franke, Reiner; Kukacka, Jiri; Sacht, Stephen - 2022

The paper reconsiders the Hodrick-Prescott filter and the issue of a suitable choice of its smoothing parameter λ for quarterly data. To this end stochastic processes generate artificial data with a known growth trend and cyclical component, and a battery of Monte Carlo experiments tests what...

Persistent link: https://www.econbiz.de/10014081635

Chapter 9. Solution and Estimation Methods for DSGE Models

Fernández-Villaverde, J.; Rubio-Ramírez, J.F.; … - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 527-724). 2016

This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.

Persistent link: https://www.econbiz.de/10014024288

Is the Hamilton Regression Filter Really Superior to Hodrick-Prescott Detrending?

Franke, Reiner; Kukacka, Jiri; Sacht, Stephen - 2022

A recent article by J.D. Hamilton from 2018 attracted a great deal of attention, not only because of its telling title, "Why you should never use the Hodrick- Prescott filter", but also because it offered an alternative approach to detrending, the Hamilton regression filter (HRF). His...

Persistent link: https://www.econbiz.de/10013491645

From Many Series, One Cycle : Improved Estimates of the Business Cycle from a Multivariate Unobserved Components Model

Fleischman, Charles A. - 2011

We construct new estimates of potential output and the output gap using a multivariate approach that allows for an explicit role for measurement errors in the decomposition of real output. Because we include data on hours, output, employment, and the labor force, we are able to decompose our...

Persistent link: https://www.econbiz.de/10013118624