Forecasting hotel occupancy during external shocks is particularly challenging due to their disruptive effects. This study develops a forecasting framework that integrates multisource data using a time-varying parameter state-space model (TVP-SSM). In this framework, search engine data (SED) are...

Sequence-space models are becoming increasingly popular in macroeconomics, especially in the heterogeneous-agent literature. However, the econometric toolkit for users of these models remains less developed than that available for traditional state-space methods. This note introduces an...

This paper investigates the nexus between medium- and high-technology exports and electric- ity consumption from 2016M1 to 2025M05 in Turkey. Nonlinear features in the data lead the use of a Smooth Transition Regression model that shows entrepreneurial expansion which intensifies electricity...

Subspace algorithms like canonical variate analysis (CVA) are regression-based methods for the estimation of linear dynamic state space models. They have been shown to deliver accurate (consistent and asymptotically equivalent to quasi-maximum likelihood estimation using the Gaussian likelihood)...

Wavelet coherence analysis (WCA) examines the dynamic interactions between economic policy uncertainty (EPU) in Brazil, Chile, Colombia, and Mexico and key external variables, using monthly data from 2010 to 2022. The findings reveal the following: (i) medium-term co-movements (4-16 months)...

This paper studies the effects of key underlying macroeconomic variables on the trend inflation rate in the USA. To do so, we consider eight structural shocks that incorporate a broad set of information for the US economy and that can be regarded as the main structural determinants of the...

The natural rate of interest, often interpreted as the equilibrium real interest rate, serves as a critical benchmark for evaluating the stance of monetary policy. This paper investigates the natural rate of interest in Uzbekistan using three econometric approaches: the HLW-type model1 , a...

This paper addresses the challenge of inflation forecasting by adopting a thick modeling approach that integrates forecasts from time- and frequency-domain models. Frequency-domain models excel at capturing long-term trends while also accounting for short-term fluctuations. Combining these...

The energy-intensive nature of urban transport systems plays a major role in environmental decline, emphasizing the urgent need to foster sustainable energy adoption. This study takes Macao as an example and uses wavelet coherence to analyze the relationship between transportation and energy...

Standard nowcasting frameworks commonly use weekly or monthly variables to monitor quarterly gross domestic product (GDP). However, this method is not suitable for economies that track GDP annually. We modify the state-space representation of an otherwise standard dynamic factor model to...

Aim of this study is to examine the coherence of consumer price indices (CPI) variants in Pakistan using time series data. The techniques of data analysis are descriptive statistics and wavelet analysis. Plots of CPI variants show more frequent changes as compared to the base year / month from...

The COVID-19 pandemic and the implementation of strict lockdown measures have significantly impacted various dimensions of the global economy. This study examines the impact of COVID-19 and lockdown stringency on exchange rate volatility in India using three core variables, i.e., COVID-19 cases,...

This paper introduces a novel approach to simulation smoothing for nonlinear and non-Gaussian state space models. It allows for computing smoothed estimates of the states and nonlinear functions of the states, as well as visualizing the joint smoothing distribution. The approach combines...

Point forecasts of score-driven models have been shown to behave at par with those of state-space models under a variety of circumstances. We show, however, that density rather than point forecasts of plain-vanilla score-driven models substantially underperform their state-space counterparts in...