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Job finding, job loss and consumption behaviour

Koç, E. - Tilburg University, Center for Economic Research - 2015

between employment and unemployment states are identified using monthly transition expectations. Firstly, it is shown that … expectations have significant predictive power conditional on individual characteristics and a set of time-varying controls. This … allows us to use a two-stage estimation strategy, where expectations are used to explain anticipated changes in employment …

Persistent link: https://www.econbiz.de/10011199226

Intertemporal Consumption with Directly Measured Welfare Functions and Subjective Expectations

van soest, arthur; Kapteyn, A.; Kleinjans, K. - Tilburg University, Center for Economic Research - 2008

include assumptions on expectations and preferences. We aim at reducing some of these requirements by using direct subjective … information on respondents’ preferences and expectations. The results suggest that individually measured welfare functions and … expectations have predictive power for the variation in consumption across households. Furthermore, estimates of the intertemporal …

Persistent link: https://www.econbiz.de/10011092114

Improving Garch Volatility Forecasts

Klaassen, F.J.G.M. - Tilburg University, Center for Economic Research - 1998

Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH effects are allowed within each regime, so that our...

Persistent link: https://www.econbiz.de/10011090288

Purchasing Power Parity : Evidence from a New Test

Klaassen, F.J.G.M. - Tilburg University, Center for Economic Research - 1999

Most economists intuitively consider purchasing power parity (PPP) to be true. Nevertheless, quite surprisingly, the empirical literature is not very supportive for PPP. In this paper, however, we find evidence in favor of PPP using a new test. The test is embedded in a Markov regime-switching...

Persistent link: https://www.econbiz.de/10011090364

Forecasting the Winner of a Tennis Match

Magnus, Jan R.; Klaassen, F.J.G.M. - Tilburg University, Center for Economic Research - 2001

We propose a method to forecast the winner of a tennis match, not only at the beginning of the match, but also (and in particular) during the match.The method is based on a fast and exible computer program TENNISPROB, and on a statistical analysis of a large data set from Wimbledon, both at...

Persistent link: https://www.econbiz.de/10011090818

Improved Spare Parts Inventory Management : A Case Study

Strijbosch, L.W.G.; Heuts, R.M.J.; van der Schoot, E.H.M. - Tilburg University, Center for Economic Research - 1998

This paper examines the performance of two different (s,Q) inventory models for spare parts in a production plant of confectionery in The Netherlands, a simple and an advanced model. The simple approach is more or less standard: undershoot of the reorder level is not taken into account, the...

Persistent link: https://www.econbiz.de/10011090984

Forecast Accuracy after Pretesting with an Application to the Stock Market

Magnus, Jan R.; Danilov, D.L. - Tilburg University, Center for Economic Research - 2002

Timmermann (1994) to stock market forecasting, and show that their proposed recursive predictions are much less robust than naive …

Persistent link: https://www.econbiz.de/10011091069

Sensitivity of Univariate AR(1) Time-series Forecasts Near the Unit Root

Banerjee, A.N. - Tilburg University, Center for Economic Research - 1997

Persistent link: https://www.econbiz.de/10011091715

Long Swings in Exchange Rates : Are They Really in the Data?

Klaassen, F.J.G.M. - Tilburg University, Center for Economic Research - 1999

The random walk is often used to model exchange rates. According to the Lucas critique, however, policy shifts may lead to breaks in the trend of exchange rates and hence to long swings. We use a Markov regime-switching model to allow for such swings and we reject the random walk in favor of the...

Persistent link: https://www.econbiz.de/10011092028

Simple Expressions for Safety Factors in Inventory Control

Strijbosch, L.W.G.; Moors, J.J.A. - Tilburg University, Center for Economic Research - 1999

The literature on inventory control discusses many methods to establish the level of decision parameters -like reorder levels or safety factors-, necessary to attain a prescribed service level. In general, however, these methods are not easy applicable: they often use time-consuming iterations,...

Persistent link: https://www.econbiz.de/10011092568