12 datasets found

Demographic effects and user costs in demand systems have usually been modelled explicitly. A more robust approach is a state space formulation of the demand system, where...

Convergence in the gross domestic product series of five European countries is empirically identified using multivariate time series models that are based on unobserved...

Multivariate unobserved components (structural) time series models are fitted to annual post-war observations on real income per capita in countries in the Euro-zone. The aim is...

This paper compares two methods for undertaking likelihood-based inference in dynamic equilibrium economies: a sequential Monte Carlo filter and the Kalman filter. The...

Recently, considerable emphasis has been placed on the problems arising out of cross-sectional dependence in panel unit root tests. This paper adopts the factor-based...

This paper discusses the estimation of a class of nonlinear state space models including nonlinear panel data models with autoregressive error components. A health economics...

Using Bayesian Markov chain Monte Carlo methods, we decompose the log price-dividend ratio into a market fundamentals component and a bubble component. The market fundamentals...

Motivated by the need for a positive-semidefinite estimator of multivariate realized covariance matrices, we model noisy and asynchronous ultra-high-frequency asset prices in a...

In this paper, we develop a bivariate unobserved components model for inflation and unemployment. The unobserved components are trend inflation and the non-accelerating...

In this paper, we develop solutions for linearized models with forward-looking expectations and structural changes under a variety of assumptions regarding agents' beliefs about...

EuroMInd- D is a density estimate of monthly gross domestic product (GDP) constructed according to a bottom-up approach, pooling the density estimates of 11 GDP components, by...

Empirical work in macroeconometrics has been mostly restricted to using vector autoregressions (VARs), even though there are strong theoretical reasons to consider general...