Showing 1 - 10 of 55
In this paper, we provide new evidence on the empirical usefulness of various simple seasonal models, and underscore the importance of carefully designing criteria by which one judges alternative models. In particular, we underscore the importance of both choice of forecast or simulation horizon...
Persistent link: https://www.econbiz.de/10010334249
We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing...
Persistent link: https://www.econbiz.de/10013208399
We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing...
Persistent link: https://www.econbiz.de/10005206993
A new first-order integer-valued autoregressive process (INAR(1)) with extended Poisson innovations is introduced based on a signed version of the thinning operator, called relative binomial thinning operator, which can be considered as an extension of standard binomial thinning operator...
Persistent link: https://www.econbiz.de/10014514104
This paper raises several issues concerning productivity analysis. An attempt is made to demonstrate the usefulness of a micro-based approach to productivity analysis which challenges some basic assumptions of conventional analyses based on aggregate production functions. With the help of a...
Persistent link: https://www.econbiz.de/10010334744
We propose simulation-based forecasting methods for the noncausal vector autoregressive model proposed by Lanne and Saikkonen (2012). Simulation or numerical methods are required because the prediction problem is generally nonlinear and, therefore, its analytical solution is not available. It...
Persistent link: https://www.econbiz.de/10012148167
The recent boom in house prices in many countries during the Covid-19 pandemic and the possibility of household financial distress are of concern among some central banks. We revisit the empirical modelling of house prices and household debt with a policy-oriented perspective using Norwegian...
Persistent link: https://www.econbiz.de/10012872995
Age-sex-specific population forecasts are derived through stochastic population renewal using forecasts of mortality, fertility and net migration. Functional data models with time series coefficients are used to model age-specific mortality and fertility rates. As detailed migration data are...
Persistent link: https://www.econbiz.de/10005427608
The paper reviews some concepts of structural-morphological analysis and its application to the formal description of banking institutions activity. This research develops the synthetic approach based upon ideas of system dynamics, elements of structural linguistics, and Propp's morphological...
Persistent link: https://www.econbiz.de/10011260736