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Persistent link: https://www.econbiz.de/10003706020
State space models with nonstationary processes and fixed regression effects require a state vector with diffuse initial conditions. Different likelihood functions can be adopted for the estimation of parameters in time series models with diffuse initial conditions. In this paper we consider...
Persistent link: https://www.econbiz.de/10011374403
State space models with nonstationary processes and fixed regression effects require a state vector with diffuse initial conditions. Different likelihood functions can be adopted for the estimation of parameters in time series models with diffuse initial conditions. In this paper we consider...
Persistent link: https://www.econbiz.de/10014218888
Persistent link: https://www.econbiz.de/10003995293
Persistent link: https://www.econbiz.de/10011800740
Risk is at the center of many policy decisions in companies, governments and other institutions. The risk of road fatalities concerns local governments in planning counter- measures, the risk and severity of counterparty default concerns bank risk managers on a daily basis and the risk of...
Persistent link: https://www.econbiz.de/10010325481
Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...
Persistent link: https://www.econbiz.de/10010326058
We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with principal components from a large time series panel of macroeconomic indicators using a multivariate unobserved components time...
Persistent link: https://www.econbiz.de/10010326452
Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...
Persistent link: https://www.econbiz.de/10011256745
This discussion paper resulted in an article in the <I>Journal of the Royal Statistical Society Series A</I> (2008). Vol. 171, issue 1, pages 265-277.<P> Risk is at the center of many policy decisions in companies, governments and other institutions. The risk of road fatalities concerns local governments...</p></i>
Persistent link: https://www.econbiz.de/10011257128