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Displaying results 1 to 5 of 5.

  1. The structural Theta method and its predictive performance in the M4-Competition
    Author: Sbrana, Giacomo; Silvestrini, Andrea
    Published: [2024]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 450
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Temi di discussione / Banca d'Italia ; number 1457 (June 2024)
    Subjects: Theta method; state-space models; Kalman filter; M4-Competition; predictiveaccuracy
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  2. Dynamic factor models and fractional integration
    with an application to US real economic activity
    Author: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Piqueras Martínez, Pedro José
    Published: November 2024
    Publisher:  CESifo, Munich, Germany

    This paper makes a twofold contribution, First, it develops the dynamic factor model of Barigozzi et al. (2016) by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series.... more

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    This paper makes a twofold contribution, First, it develops the dynamic factor model of Barigozzi et al. (2016) by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable information on the degree of persistence and mean-reverting properties of the series. Second, the proposed framework is used to analyse five annual US Real Economic Activity series (Employees, Energy, Industrial Production, Manufacturing, Personal Income) over the period from 1967 to 2019 in order to shed light on their degree of persistence and cyclical behaviour. The results indicate that economic activity in the US is highly persistent and is also characterised by cycles with a periodicity of 6 years and 8 months.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CESifo working papers ; 11486 (2024)
    Subjects: fractional integration; dynamic factor models; persistence; business cycle; economic activity; Kalman filter; state-space models
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  3. Can the Philippines attain 6.5-8 percent growth during 2023-28?
    an assessment based on the estimation of the balance-of-payments-constrained growth rate
    Author: Felipe, Jesus; Albis, Manuel Leonard
    Published: February 2024
    Publisher:  DLSU, Angelo King for Economic and Business Studies, Manila, Philippines

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    VS 918
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: DLSU-AKI working paper series ; 2024-02-090
    Subjects: Balance-of-Payments-constrained growth rate; Philippines; Kalman filter
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  4. Statistical early warning models with applications
    Author: Harlaar, Lucas P.; Commandeur, Jacques Jean François; Brakel, Jan A. van den; Koopman, Siem Jan; Bos, Niels; Bijleveld, Frits D.
    Published: [2024]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    This paper investigates the feasibility of using earlier provisional data to improve the now- and forecasting accuracy of final and official statistics. We propose the use of a multivariate structural time series model which includes common trends... more

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    This paper investigates the feasibility of using earlier provisional data to improve the now- and forecasting accuracy of final and official statistics. We propose the use of a multivariate structural time series model which includes common trends and seasonal components to combine official statistics series with related auxiliary series. In this way, more precise and more timely nowcasts and forecasts of the official statistics can be obtained by exploiting the higher frequency and/or the more timely availability of the auxiliary series. The proposed method can be applied to different data sources consisting of any number of missing observations both at the beginning and at the end of the series simultaneously. Two empirical applications are presented. The first one focuses on fatal traffic accidents and the second one on labour force participation at the municipal level. The results demonstrate the effectiveness of our proposed approach in improving forecasting performance for the target series and providing early warnings to policy-makers.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/303236
    Series: Array ; TI 2024, 037
    Subjects: nowcasting; multivariate structural time series model; seemingly unrelated time series equations; Kalman filter; road fatalities; labour market statistics
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  5. Can the Philippines attain 6.5-8 percent growth during 2023-28?
    an assessment based on the estimation of the balance-of-payments-constrained growth rate
    Author: Felipe, Jesus; Albis, Manuel Leonard
    Published: February 2024
    Publisher:  Levy Economics Institute, Annandale-on-Hudson, NY

    We expand the standard balance-of-payments-constrained (BOPC) growth rate model in three directions. First, we take into account the separate contributions of exports in goods, exports in services, overseas remittances, and foreign direct investment... more

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    We expand the standard balance-of-payments-constrained (BOPC) growth rate model in three directions. First, we take into account the separate contributions of exports in goods, exports in services, overseas remittances, and foreign direct investment (FDI) inflows. Second, we use state-space estimation techniques to obtain time-varying parameters of the relevant coefficients. Third, we test for the endogeneity of output in the import equation. We apply this framework to assess the feasibility of the target set by the new Philippine administration of President Marcos (elected in 2022) to attain an annual GDP growth rate of 6.5-8 percent during 2024-28. We obtain an estimate of the growth rate consistent with equilibrium in the basic balance of the Philippines of about 6.5 percent in 2021 (and declining during the years prior to it). This BOPC growth rate is below the 6.5-8 percent target. We also find that exchange-rate depreciations will not lead to an improvement in the BOPC growth rate. The Philippines must lift the constraints that impede a higher growth of exports. In particular, it must shift its export structure toward more sophisticated products with a higher income elasticity of demand.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/300432
    Series: Working paper / Levy Economics Institute of Bard College ; no. 1039
    Subjects: Balance-of-Payments-constrained growth rate; Philippines; Kalman filter
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen