The GARCH model and the Stochastic Volatility [SV] model are competing but non-nested models to describe unobserved volatility in asset returns. We propose a GARCH model with an additional error term, which can capture SV model properties, and which can be used to test GARCH against SV. We...

We develop a parsimonious panel model for quarterly regional house prices, for which both the cross-section and the time series dimension is large. The model allows for stochastic trends, cointegration, cross-equation correlations and, most importantly, latent-class clustering of regions. Class...

Economic variables like GDP growth, employment, interest rates and consumption show signs of cyclical behavior. Many variables display multiple cycles, with lengths ranging in between 5 to even up to 100 years. We argue that multiple cycles can be associated with long-run stability of the...

Using a uniquely compiled database concerning rental prices of commercial real estates, which are property of the largest broker in the Netherlands, we examine if these prices have predictive value for quarterly economic growth. In contrast to related studies, we document that the mean price...

Nonlinear time series models have become fashionable tools to describe and forecast a variety of economic time series. A closer look at reported empirical studies, however, reveals that these models apparently fit well in-sample, but rarely show a substantial improvement in out-of-sample...

In this paper we address the question whether countries on the African continent have lower average growth rates in real GDP per capita than countries in Asia and Latin America. In contrast to previous studies, we do not aggregate the data, nor do we a priori assign countries to clusters....

We propose tests for hypotheses on the parameter for deterministic trends. The model framework assumes a multivarariat stucture for trend-stationary time series variables. We derive the asymptotic theory and provide some relevant critical values. Monte Carlo simulations suggest which tests are...

We put forward a statistical model for interpurchase times that takes into account all the current and past information available for all purchases as time continues to run along the calendar timescale. It delivers forecasts for the number of purchases in the next period and for the timing of...

In this paper we consider the estimation of probabilistic ranking models in the context of conjoint experiments. By using approximate rather than exact ranking probabilities, we do not need to compute high-dimensional integrals. We extend the approximation technique proposed by...

This paper links judgemental adjustment of model-based forecasts with the potential presence of exceptional observations in time series. Specific attention is given to current and future additive outliers, as these require most consideration. A brief illustration to a quarterly real GDP series...