Download or read book Trend Cycle Interaction in Unobserved Components Models written by Max Soloschenko and published by . This book was released on 2014 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Seasonality with Trend and Cycle Interactions in Unobserved Components Models written by Siem Jan Koopman and published by . This book was released on 2008 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On Trend cycle seasonal Interactions written by Jan Jacobs and published by . This book was released on 2014 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trend Cycle Seasonal Interactions written by Irma Hindrayanto and published by . This book was released on 2017 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists typically use seasonally adjusted data in which the assumption is imposed that seasonality is uncorrelated with trend and cycle. The importance of this assumption has been highlighted by the Great Recession. The paper examines an unobserved components model that permits non-zero correlations between seasonal and nonseasonal shocks. Identification conditions for estimation of the parameters are discussed from the perspectives of both analytical and simulation results. Applications to UK household consumption expenditures and US employment reject the zero correlation restrictions and also show that the correlation assumptions imposed have important implications about the evolution of the trend and cycle in the post-Great Recession period.
Download or read book Filtering None Linear State Space Models Methods and Economic Applications written by Kai Ming Lee and published by Rozenberg Publishers. This book was released on 2010 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Multivariate Simultaneous Unobserved Components Model and Identification Via Heteroskedasticity written by Mengheng Li and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a multivariate simultaneous unobserved components framework to determine the two-sided interactions between structural trend and cycle innovations. We relax the standard assumption in unobserved components models that trends are only driven by permanent shocks and cycles are only driven by transitory shocks by considering the possible spillover effects between structural innovations. The direction of spillover has a structural interpretation, whose identification is achieved via heteroskedasticity. We provide identifiability conditions and develop an efficient Bayesian MCMC procedure for estimation. Empirical implementations for both Okun's law and the Phillips curve show evidence of significant spillovers between trend and cycle components.
Download or read book Time Series Analysis by State Space Methods written by James Durbin and published by Oxford University Press. This book was released on 2012-05-03 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a comprehensive treatment of the state space approach to time series analysis. A distinguishing feature of state space time series models is that observations are regarded as made up of distinct components, which are each modelled separately.
Download or read book Dynamic Linear Models for Time Series Components written by Estela Bee Dagum and published by . This book was released on 1989 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper describes a general state space approach for the modelling of the components and the calculation of the mean square errors of the estimated unobserved components"--Abstract.
Download or read book Time Series Modelling with Unobserved Components written by Matteo M. Pelagatti and published by CRC Press. This book was released on 2015-07-28 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the unobserved components model (UCM) having many advantages over more popular forecasting techniques based on regression analysis, exponential smoothing, and ARIMA, the UCM is not well known among practitioners outside the academic community. Time Series Modelling with Unobserved Components rectifies this deficiency by giving a practical o
Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Download or read book An Exploration of Trend Cycle Decomposition Methodologies in Simulated Data written by Robert J. Hodrick and published by . This book was released on 2020 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses simulations to explore the properties of the HP filter of Hodrick and Prescott (1997), the BK filter of Baxter and King (1999), and the H filter of Hamilton (2018) that are designed to decompose a univariate time series into trend and cyclical components. Each simulated time series approximates the natural logarithms of U.S. Real GDP, and they are a random walk, an ARIMA model, two unobserved components models, and models with slowly changing nonstationary stochastic trends and definitive cyclical components. In basic time series, the H filter dominates the HP and BK filters in more closely characterizing the underlying framework, but in more complex models, the reverse is true.
Download or read book Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment written by Siem Jan Koopman and published by . This book was released on 2006 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Honour of Fabio Canova written by Juan J. Dolado and published by Emerald Group Publishing. This book was released on 2022-09-21 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.
Download or read book Reconciling Output Gaps written by Joshua C. C. Chan and published by . This book was released on 2016 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reconciles two widely used trend-cycle decompositions of GDP that give markedly different estimates: the correlated unobserved components model yields output gaps that are small in amplitude, whereas the Hodrick-Prescott (HP) filter generates large and persistent cycles. By embedding the HP filter in an unobserved components model, we show that this difference arises due to differences in the way the stochastic trend is modeled. Moreover, the HP filter implies that the cyclical components are serially independent -- an assumption that is decidedly rejected by the data. By relaxing this restrictive assumption, the new model provides comparable model fit relative to the standard correlated unobserved components model.
Download or read book Trend cycle Decompositions Allowing Structural Changes and Outliers written by Tatsuma Wada and published by . This book was released on 2006 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation pertains to issues related to trend-cycle decompositions allowing structural breaks and outliers. The first chapter is concerned with this decomposition problem for the postwar quarterly US real GDP series. Recent work shows that common methods such as the Unobserved Components (UC) and Beveridge-Nelson decompositions for US real GDP yield very different cycles with little resemblance to the NBER chronology, and some imply a negative correlation between the cycle and the trend. We argue that these features are due to the neglect of a change in the slope of the trend in 1973. Allowing this change, all methods yield a non-stochastic trend with a cycle that accords well with the NBER chronology. We also propose a generalized UC model, which permits endogenous infrequent changes using a mixtures of Normals distribution for the shocks. The second chapter generalizes the generalized UC model with mixtures of Normals to handle sudden level shifts and outliers as well. We investigate the differences in the implied trend and cycle compared to the popular decomposition obtained with the Hodrick and Prescott filter. Our results show important qualitative and quantitative differences in the implied cycles for both real GDP and consumption series for the G7 countries. Using our decomposition, the cross-country consumption correlations are generally higher than the output correlations, a result which provides a partial solution to the consumption correlation puzzle in the international finance literature. The third chapter considers another important issue in Macroeconomics. A puzzling feature in the literature is that it is believed that a positive technology shock decreases hours. This result arises because of structural breaks in the trend of labor productivity and the low frequency component of hours. We revisit the empirical evidence by allowing non-linearities in the trend function of both the productivity and hours worked series. Along with statistical tests for unit root and structural breaks, using our generalized unobserved components model with flexible trends allows us to conclude that productivity shocks unambiguously increase hours worked, consistent with the prediction of standard real business cycle models.
Download or read book The Common Converging Trend cycle Model written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses multivariate time series models based on unobserved components with dynamic converging properties. We define convergence in terms of a decrease in dispersion over time and model this decrease via mechanisms that allow for gradual reductions in the ranks of covariance matrices associated with the disturbance vectors driving the unobserved components of the model. The inclusion of such convergence mechanisms within the formulation of unobserved components makes the identification of various types of convergence possible. For example, in a panel of macroeconomic time series for different countries, convergence in rates of growth, in cyclical behaviour and in overall volatility can be modelled separately and jointly. Each convergence mechanism introduces two, or in the case of overall volatility, three additional parameters. These parameters can be estimated simultaneously with the other parameters of the model. A mix of EM and numerical maximisation methods are used to obtain maximum likelihood estimates. The multivariate unobserved common converging component model is applied to the per capita gross domestic product for five European countries: Germany, France, Italy, Spain and the Netherlands.
Download or read book Global and National Macroeconometric Modelling written by Anthony Garratt and published by Oxford University Press (UK). This book was released on 2012-03-15 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing a description of the state of modelling in global and national economies, this title introduces an approach to modelling that can readily be adopted for use in understanding how economies work and in generating forecasts for decision-makers and policy-makers alike.
