We show that the trend of the one-sided HP filter can be asymptotically approximated by the Holt-Winters (HW) filter. The later is an elegant, moving average representation and facilitates the computation of trends tremendously. We confirm the accuracy of this approximation empirically by...

We show that the trend of the one-sided HP filter can be asymptotically approximated by the Holt-Winters (HW) filter. The later is an elegant, moving average representation and facilitates the computation of trends tremendously. We confirm the accuracy of this approximation empirically by...

We propose a new tool to filter non-linear dynamic models that does not require the researcher to specify the model fully and can be implemented without solving the model. If two conditions are satisfied, we can use a flexible statistical model and a known measurement equation to back out the...

We develop approximate estimation methods for exponential random graph models (ERGMs), whose likelihood is proportional to an intractable normalizing constant. The usual approach approximates this constant with Monte Carlo simulations, however convergence may be exponentially slow. We propose a...

This paper studies how the sensitivity of consumption to income has changed over time as the degree of financial integration has risen. In standard theory, greater financial integration facilitates international borrowing and lending, helping to reduce the sensitivity of consumption growth to...

A textbook provision program in Sierra Leone demonstrates how volatility in the flow of government-provided learning inputs to schools can induce storage of these inputs by school administrators to smooth future consumption. This process in turn leads to low current utilization of inputs for...

Parametric production frontier functions are frequently used in stochastic frontier models, but there do not seem to be any empirical test statistics for its plausibility. To bridge the gap in the literature, we develop two test statistics based on local smoothing and an empirical process,...

This paper studies how the sensitivity of consumption to income has changed over time as the degree of financial integration has risen. In standard theory, greater financial integration facilitates international borrowing and lending, helping to reduce the sensitivity of consumption growth to...

This paper studies how the sensitivity of consumption to income has changed over time as the degree of financial integration has risen. In standard theory, greater financial integration facilitates international borrowing and lending, helping to reduce the sensitivity of consumption growth to...

This paper studies how the sensitivity of consumption to income has changed over time as the degree of financial integration has risen. In standard theory, greater financial integration facilitates international borrowing and lending, helping to reduce the sensitivity of consumption growth to...

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...

Trend rules are widely used to infer whether financial markets show an upward or downward trend. By taking suitable long or short positions, one can profit from a continuation of these trends. Conventionally, trend rules are based on moving averages (MAs) of prices rather than returns, which...

1. Theory of Profit -- 2. Profit Impact in Business Vision -- 3. Smoothing and Earnings Management Policies -- 4. Toward a Definition of Profit Smoothing -- 5. Why China? -- 6. Empirical Analysis of Profit Smoothing.-7. Management Behavior and Profit Smoothing: Implications of the Study.

1. Theory of Profit -- 2. Profit Impact in Business Vision -- 3. Smoothing and Earnings Management Policies -- 4. Toward a Definition of Profit Smoothing -- 5. Why China? -- 6. Empirical Analysis of Profit Smoothing.-7. Management Behavior and Profit Smoothing: Implications of the Study

We estimate nonlinear VARs to assess to what extent fiscal spending multipliers are countercyclical in the United States. We deal with the issue of non-fundamentalness due to fiscal foresight by appealing to sums of revisions of expectations of fiscal expenditures. This measure of anticipated...

A textbook provision program in Sierra Leone demonstrates how volatility in the flow of government-provided learning inputs to schools can induce storage of these inputs by school administrators to smooth future consumption. This process in turn leads to low current utilization of inputs for...

Exponential smoothing models are an important prediction tool in macroeconomics, finance and business. This paper presents the analytical forecasting properties of the random coefficient exponential smoothing model in the multiple source of error framework. The random coefficient state-space...

We propose a new and simple parametrization of the so-called speed of transition parameter of the logistic smooth transition autoregressive (LSTAR) model. The new parametrization highlights that a consequence of the well-known identification problem of the speed of transition parameter is that...

Forecasting aggregate demand is a crucial matter in all industrial sectors. In this paper, we provide the analytical prediction properties of top-down (TD) and bottom-up (BU) approaches when forecasting aggregate demand, using multivariate exponential smoothing as demand planning framework. We...

This paper studies how the sensitivity of consumption to income has changed over time as the degree of financial integration has risen. In standard theory, greater financial integration facilitates international borrowing and lending, helping to reduce the sensitivity of consumption growth to...

Research in the area of forecasting and stock inventory control for intermittent demand is designed to provide robust models for the underlying demand which appears at random, with some time periods having no demand at all. Croston’s method is a popular technique for these models and it uses...

Semiparametrische Volatilitätsmodelle -- Hochfrequente und Ultra-Hochfrequente Finanzdaten -- Berechnung des Value-at-Risk auf Grundlage parametrischer und semiparametrischer Modelle -- Analyse von Handelswartezeiten -- Glättung der Volatilität von hochfrequenten Finanzdaten in einem...

In this paper, we propose an efficient technique for solving some infinite-dimensional problems over the sets of functions of time. In our problem, besides the convex point-wise constraints on state variables, we have convex coupling constraints with finite-dimensional image. Hence, we can...