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A Compound Gauss-Markov Random Field (CGMRF) Modeling of Philippine Unemployment Data
Navarro, Rolando Danganan; Albert, Jose Ramon - 2007
The presence of discontinuities in the January rounds of Philippine Unemployment Data from 1981-2006 is investigated by … an abrupt change in unemployment rates in the mid-1980s and in 2005-2006. The former may reflect the political and … unemployment adopted in 2005 …
Persistent link: https://www.econbiz.de/10014053163
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Nonlinearities and Workers' Heterogeneity in Unemployment Dynamics
Adjemian, Stéphane; Karamé, Frédéric; Langot, François - 2022
low-paid workers' submarkets. The model fits the job finding, job separation, and unemployment rates well. It also … of the aggregate shock that allows generating the US labor market fluctuations has a correlation with unemployment that …
Persistent link: https://www.econbiz.de/10014084030
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Periodic unobserved cycles in seasonal time series with an application to US unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006
, the model is applied to postwar monthly US unemployment series and we discover a significantly periodic cycle. Furthermore …
Persistent link: https://www.econbiz.de/10011350384
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Chronic excess capacity and unemployment hysteresis in EU countries : a structural approach
Bassi, Federico - 2020
unemployment function. Our results provide evidence of chronic underutilization of productive capacity and hysteresis in … unemployment, especially after the 2008' financial crisis. We show that our series of the rate of capacity utilization are … significant predictors of capacity accumulation, productivity growth and unemployment rates. Moreover, they predict inflation as …
Persistent link: https://www.econbiz.de/10012292864
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Periodic Unobserved Cycles in Seasonal Time Series with an Application to Us Unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006
, the model is applied to postwar monthly US unemployment series and we discover a significantly periodic cycle. Furthermore …
Persistent link: https://www.econbiz.de/10014054411
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On the Stratonovich-Kalman-Bucy Filtering Algorithm Application for Accurate Characterization of Financial Time Series with Use of State-Space Model by Central Banks
Ledenyov, Dimitri - 2015
The central banks introduce and implement the monetary and financial stabilities policies, going from the accurate estimations of national macro-financial indicators such as the Gross Domestic Product (GDP). Analyzing the dependence of the GDP on the time, the central banks accurately estimate...
Persistent link: https://www.econbiz.de/10013024408
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Are Asset Price Data Informative About News Shocks? A DSGE Perspective
Iskrev, Nikolay I. - 2018
Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to...
Persistent link: https://www.econbiz.de/10012916362
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A Monte Carlo procedure for checking identification in DSGE models
Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael R. - 2013
We propose a numerical method, based on indirect inference, for checking the identification of a DSGE model. Monte Carlo samples are generated from the model's true structural parameters and a VAR approximation to the reduced form estimated for each sample. We then search for a different set of...
Persistent link: https://www.econbiz.de/10009738898
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Dynamics of real per capita GDP
Neuhoff, Daniel - 2015 - This Version: August 7, 2015
This study investigates the dynamics of quarterly real GDP per capita growth rates across four countries, the US, UK, Canada and France. I obtain estimates for ARIMA(p,q) processes for first differences of log quarterly real GDP per capita using Reversible Jump Markov Chain Monte Carlo, allowing...
Persistent link: https://www.econbiz.de/10011309627
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Are asset price data informative about news shocks? : a DSGE perspective
Iskrev, Nikolay - 2018
Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to...
Persistent link: https://www.econbiz.de/10011864177