We present a road map for effective application of Bayesian analysis of a class of well-known dynamic econometric models by means of the Gibbs sampling algorithm. Members belonging to this class are the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root...

Several frequentist and Bayesian model averaging schemes, including a new one that simultaneously allows for parameter uncertainty, model uncertainty and time varying model weights, are compared in terms of forecast accuracy over a set of simulation experiments. Artificial data are generated,...

The subject of measuring the performance of registries has been a topic of policy discussions in recent years on the regional level due to the recast of the European Union (EU) port state control (PSC) directive which introduces incentives for flags which perform better. Since the current method...

This paper develops a return forecasting methodology that allows for instabil ity in the relationship between stock returns and predictor variables, for model uncertainty, and for parameter estimation uncertainty. The predictive regres sion speci¯cation that is put forward allows for...

The accuracy of real-time forecasts of macroeconomic variables that are subject to revisions may crucially depend on the choice of data used to compare the forecasts against. We put forward a flexible time-varying parameter regression framework to obtain early estimates of the final value of...

We consider tests for sudden changes in the unconditional volatility of conditionally heteroskedastic time series based on cumulative sums of squares. When applied to the original series these tests suffer from severe size distortions, where the correct null hypothesis of no volatility change is...

This paper puts forward a data collection method to measure weekly consumer confidence at the individual level. The data thus obtained allow to statistically analyze the dynamic correlation of such a consumer confidence indicator and to draw inference on transition rates, which is not possible...

We analyze five vintages of eighteen quarterly macroeconomic variables for the Netherlands and we focus on the degree of deterministic seasonality in these series. We document that the data show most such deterministic seasonality for their first release vintage and for the last available...

We develop a formal statistical approach to investigate the possibility that leading indicator variables have different lead times at business cycle peaks and troughs. For this purpose, we propose a novel Markov switching vector autoregressive model, where economic growth and leading indicators...

Jan Tinbergen was the first Nobel Laureate in Economics in 1969. This paper presents a brief survey of his many contributions to economics, in particular to macro-econometric modelling, business cycle analysis, economic policy making, development economics, income distribution, international...