In this paper we discuss two methods for the estimation of linear dynamic factor models. The first method is behavioural in nature and consists of the least squares approximation of the observed data by means of a linear system. The second method is based on the statistical concept of principal...

Immigration tends to have a mitigating effect on the socioeconomic gender gap among immigrants. To explain this finding, we propose a gender convergence hypothesis that states that migration to a modern ‘open’ society offers women the opportunity to improve their position relative to that of...

This article proposes a modified method for the construction of diffusion indexes in macroeconomic forecasting using principal component regres- sion. The method aims to maximize the amount of variance of the origi- nal predictor variables retained by the diffusion indexes, by matching the data...

Efficiency of outbound warehouse operations depends on the management of demand forecasts and associated labor planning. A case study in consumer electronics shows that warehouse management systematically over-forecasts actual orders, by 3% on average and by 6-12% in busy periods (at the end of...

This paper concerns the modelling of stochastic processes by means of dynamic factor models. In such models the observed process is decomposed into a structured part called the latent process, and a remainder that is called noise. The observed variables are treated in a symmetric way, so that no...

Pre-election polls can suffer from survey effects. For example, surveyed individuals can become more aware of the upcoming election so that they become more inclined to vote. These effects may depend on factors like political orientation and prior intention to vote, and this may cause biases in...

The behavioural framework has several attractions to offer for the identification of multivariable systems. Some of the variables may be left unexplained without the need for a distinction between inputs and outputs; criteria for model quality are independent of the chosen parametrization; and...

Behaviours provide an elegant, parameter free characterization of deterministic systems. We discuss a possible application of behaviours in the approximation of stochastic systems. This can be seen as an extension to the dynamic case of the well-known static factor analysis model. An essential...

Model estimates of the pay-off of the Betuwe railway have played an important role for politicians to decide to build this railway. This has already been discussed extensively, especially with respect to the macro-economic effects of this investment. A deeper analysis shows that these effects...

We propose a new method of leading index construction that combines the need for data compression with the objective of forecasting. This so-called principal covariate index is constructed to forecast growth rates of the Composite Coincident Index. The forecast performance is compared with an...