A structural time series approach
Measuring inflation persistence: a structural time series approach
... a structural time series approach to model the data generating process of inflation in the euro area 2 and the United ...persistence, structural time series models are ...
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Potential GDP growth in Venezuela : a structural time series approach
... Real GDP and oil prices are decomposed into common underlying annual rate of increase of the real price of oil stochastic trend and cycle processes using structural t[r] ...
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Estimating Price Elasticities of Supply for Cotton: A Structural Time Series Approach
... Bayesian approach to estimation used by Gillson et ...an approach will still produce “sensible” model outputs, while giving due weight to the difficulties encountered in estimation which stem, after all, ...
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
... Bayesian approach to deal with structural breaks in time series models, with an explicit focus on the implications for out-of-sample ...a structural break as a permanent change in the ...
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An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series
... our approach has five attractive features for ...All time-varying parameters are sampled jointly, so the estima- tion is efficient in terms of ...multiple structural breaks ...
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Outlier detection in structural time series models : the indicator saturation approach
... In situations when a single set of indicators constitutes the only set of regressors in the model, like in the references previously mentioned, split–half is always a feasible approach. It is, however, possible ...
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The vector innovation structural time series framework: a simple approach to multivariate forecasting
... of structural time series models is with a different source of randomness for each component; however, this unnecessarily complicates the es- timation ...innovation structural model; that is, ...
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A New Approach to Unit Root Tests in Univariate Time Series Robust to Structural Changes
... of structural change the highest power we can achieve with the transformed data cannot exceed the no-break power using the same transformation, say, the same m and ...
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Structural Time Series Modelling of Capacity Utilisation
... As hinted at the beginning of the section, our model based approach shares with the Wharton Index method the feature of relying solely on the information provided by the output series. Nevertheless, it ...
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Non Gaussian structural time series models
... Figliuoli's approach: - It seems that there exists an inherent difficulty in his approach w i t h regard to the structural interpretation of the ...the structural interpretation will not be as ...
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Demand for Money in the Selected OECD Countries: A Time Series Panel Data Approach and Structural Breaks
... panel time series methods to estimate the demand for narrow money for 11 advanced OECD countries and second we test the stability of this function with the structural breaks test of Westerlund ...as ...
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A cointegration approach for heteroscedastic data based on a time series decomposition: An application to structural health monitoring
... the time series community has been tested in order to project out the seasonality observed in SHM ...cointegration approach is applied, damage information can then be visualised in the residual ...
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Demand for Money in the Selected OECD Countries: A Time Series Panel Data Approach and Structural Breaks
... OECD Countries: A Time Series Panel Data Approach and Structural Breaks. Kumar, Saten and Chowdhury, Mamta and Rao, B[r] ...
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Demand for Money in the Selected OECD Countries: A Time Series Panel Data Approach and Structural Breaks
... panel time series methods to estimate the demand for narrow money for 11 advanced OECD countries and second we test the stability of this function with the structural breaks test of Westerlund ...as ...
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Forecasting Time Series Subject to Multiple Structural Breaks
... chain approach to model the meta distribution for the parameters of the stochastic process underlying structural ...economic time series that are subject to structural ...Our ...
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Bayesian inference for nonlinear structural time series models
... 4.1.3 Results and Analysis As expected, the estimated parameter values from all filters are very similar. However, there are notable differences in efficiency and computing time. Table 8 reports the Metropolis- ...
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Detection of multiple structural breaks in multivariate time series
... multivariate time series, which addresses all raised issues ...Our approach works in the frequency domain and is based on a comparison of the spectral density on two consecutive blocks of length, say ...
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Structural Breaks in Nigeria’s Macroeconomic Time Series Data
... investigated structural breaks in Turkish macroeconomic data using the sequential Dickey-Fuller type test and the minimum LM test for endogenous breaks within the periods 1960 to ...the approach developed ...
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The Dynamics of Inflation in Ethiopia: Time Series Approach
... sixth time in a row in 2008/09 putting the economy in a high growth ...to structural transformation in the domestic economy, growing demand Hikes in world ...
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Structural breaks in time series
... Abstract This chapter covers methodological issues related to estimation, testing and com- putation for models involving structural changes. Our aim is to review developments as they relate to econometric ...
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