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Citations for "Statistical algorithms for models in state space using SsfPack 2.2"

by Neil Shephard & Jurgen Doornik & Siem Jan Koopman

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  1. F. Pancotto & G. Pignataro & D. Raggi, 2014. "Higher order beliefs and the dynamics of exchange rates," Working Papers wp957, Dipartimento Scienze Economiche, Universita' di Bologna.
  2. Richard Kleijn & Herman K. van Dijk, 2001. "A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model," Tinbergen Institute Discussion Papers 01-105/4, Tinbergen Institute.
  3. David Hendry & Neil Shephard & Jurgen Doornik, 2003. "Parallel Computation In Econometrics: A Simplified Approach," Economics Series Working Papers 2004-W16, University of Oxford, Department of Economics.
  4. Schulz, Rainer, 2002. "Real estate valuation according to standardized methods: An empirical analysis," SFB 373 Discussion Papers 2002,55, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  5. João Valle e Azevedo & Siem Jan Koopman & António Rua, 2003. "Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area," Working Papers w200316, Banco de Portugal, Economics and Research Department.
  6. Siem Jan Koopman & Marius Ooms, 2001. "Time Series Modelling of Daily Tax Revenues," Tinbergen Institute Discussion Papers 01-032/4, Tinbergen Institute.
  7. Toshitaka Sekine & Yuki Teranishi, 2008. "Inflation Targeting and Monetary Policy Activism," IMES Discussion Paper Series 08-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
  8. Peter Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers 2003-05, Brown University, Department of Economics.
  9. Tommaso Proietti, 2004. "Forecasting and Signal Extraction with Misspecified Models," Econometrics 0401002, EconWPA.
  10. Max Bruche, 2006. "Estimating Structural Models Of Corporate Bond Prices," Working Papers wp2006_0610, CEMFI.
  11. R. Orsi & D. Raggi & F. Turino, 2012. "Size, Trend, and Policy Implications of the Underground Economy," Working Papers wp818, Dipartimento Scienze Economiche, Universita' di Bologna.
  12. Julien Garnier & Bjørn-Roger Wilhelmsen, 2005. "The natural real interest rate and the output gap in the euro area: A joint estimation," Working Paper 2005/14, Norges Bank.
  13. De Rossi, Giuliano & Harvey, Andrew, 2009. "Quantiles, expectiles and splines," Journal of Econometrics, Elsevier, vol. 152(2), pages 179-185, October.
  14. Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form," Tinbergen Institute Discussion Papers 04-015/4, Tinbergen Institute.
  15. Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0657, Faculty of Economics, University of Cambridge.
  16. Jurgen Doornik & Marius Ooms, 2001. "Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models," Economics Series Working Papers 2001-W27, University of Oxford, Department of Economics.
  17. McElroy, Tucker & Sutcliffe, Andrew, 2006. "An iterated parametric approach to nonstationary signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2206-2231, May.
  18. Fabio Busetti & Andrew Harvey, 2011. "When is a Copula Constant? A Test for Changing Relationships," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 106-131, Winter.
  19. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. )," CARF F-Series CARF-F-011, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  20. Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius, 2012. "Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3134-3152.
  21. Proietti, Tommaso, 2003. "Forecasting the US unemployment rate," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 451-476, March.
  22. Boriss Siliverstovs, 2012. "Are GDP Revisions Predictable? Evidence for Switzerland," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 58(4), pages 299-326.
  23. Ooms, M., 2008. "Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code," Serie Research Memoranda 0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  24. Artis, Michael J & Marcellino, Massimiliano & Proietti, Tommaso, 2003. "Dating the Euro Area Business Cycle," CEPR Discussion Papers 3696, C.E.P.R. Discussion Papers.
  25. Riccardo Corradini, 2005. "An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle," Econometrics 0509009, EconWPA.
  26. Artis, Michael J & Marcellino, Massimiliano & Proietti, Tommaso, 2004. "Characterizing the Business Cycle for Accession Countries," CEPR Discussion Papers 4457, C.E.P.R. Discussion Papers.
  27. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference," CIRJE F-Series CIRJE-F-297, CIRJE, Faculty of Economics, University of Tokyo.
  28. Clive G. Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," Economics Series Working Papers 2008-WO5, University of Oxford, Department of Economics.
  29. Koopman, Siem Jan & van der Wel, Michel, 2013. "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model," International Journal of Forecasting, Elsevier, vol. 29(4), pages 676-694.
  30. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers 0707, Federal Reserve Bank of Dallas.
  31. Dordonnat, V. & Koopman, S.J. & Ooms, M. & Dessertaine, A. & Collet, J., 2008. "An hourly periodic state space model for modelling French national electricity load," International Journal of Forecasting, Elsevier, vol. 24(4), pages 566-587.
  32. Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest, 2007. "Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model," Tinbergen Institute Discussion Papers 07-027/4, Tinbergen Institute.
  33. Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary University of London, School of Economics and Finance.
  34. Mauro Bernardi & Ghislaine Gayraud & Lea Petrella, 2013. "Bayesian inference for CoVaR," Papers 1306.2834, arXiv.org, revised Nov 2013.
  35. Max Bruche, 2005. "Estimating structural bond pricing models via simulated maximum likelihood," LSE Research Online Documents on Economics 24647, London School of Economics and Political Science, LSE Library.
  36. Tommaso Proietti, 2012. "Seasonality, Forecast Extensions And Business Cycle Uncertainty," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 555-569, 09.
  37. Siem Jan Koopman & Joao Valle e Azevedo, 2003. "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers 03-052/4, Tinbergen Institute.
  38. repec:spo:wpecon:info:hdl:2441/2129 is not listed on IDEAS
  39. Nikolaus Hautsch & Fuyu Yang, 2014. "Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth," University of East Anglia Applied and Financial Economics Working Paper Series 056, School of Economics, University of East Anglia, Norwich, UK..
  40. Verdugo-Yepes, Concepción & Pedroni, Peter & Hu, Xingwei, 2015. "Crime and the Economy in Mexican States : Heterogeneous Panel Estimates (1993-2012)," MPRA Paper 64930, University Library of Munich, Germany.
  41. Yoshihiro Hashiguchi, 2010. "Bayesian estimation of spatial externalities using regional production function: the case of China and Japan," Economics Bulletin, AccessEcon, vol. 30(1), pages 751-764.
  42. Tommaso Proietti, 2009. "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 186-208.
  43. Tusell, Fernando, 2011. "Kalman Filtering in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 39(i02).
  44. Harm Jan Boonstra & Jan A. Van Den Brakel & Bart Buelens & Sabine Krieg & Marc Smeets, 2008. "Towards small area estimation at Statistics Netherlands," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 21-49.
  45. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, Department of Economics and Business Economics, Aarhus University.
  46. Siem Jan Koopman & Max I.P. Mallee & Michel van der Wel, 2007. "Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters," Tinbergen Institute Discussion Papers 07-095/4, Tinbergen Institute.
  47. Tommaso Proietti & Alberto Musso, 2012. "Growth accounting for the euro area," Empirical Economics, Springer, vol. 43(1), pages 219-244, August.
  48. Song, Haiyan & Li, Gang & Witt, Stephen F. & Athanasopoulos, George, 2011. "Forecasting tourist arrivals using time-varying parameter structural time series models," International Journal of Forecasting, Elsevier, vol. 27(3), pages 855-869, July.
  49. Michel Beine & Charles S. Bos & Sébastien Laurent, 2007. "The Impact of Central Bank FX Interventions on Currency Components," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(1), pages 154-183.
  50. Koopman, Siem Jan & Harvey, Andrew, 2003. "Computing observation weights for signal extraction and filtering," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1317-1333, May.
  51. Peter Fuleky & Carl S. Bonham, 2013. "Forecasting with Mixed Frequency Samples: The Case of Common Trends," Working Papers 201305, University of Hawaii at Manoa, Department of Economics.
  52. Tommaso Proietti, 2007. "Band Spectral Estimation for Signal Extraction," CEIS Research Paper 104, Tor Vergata University, CEIS.
  53. Ruiz, Esther & Broto, Carmen, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de Estadística.
  54. José‐María Montero & Gema Fernández‐Avilés & María‐Carmen García, 2010. "Estimation of Asymmetric Stochastic Volatility Models: Application to Daily Average Prices of Energy Products," International Statistical Review, International Statistical Institute, vol. 78(3), pages 330-347, December.
  55. Andrew Harvey, 2002. "Trends, Cycles and Convergence," Working Papers Central Bank of Chile 155, Central Bank of Chile.
  56. Siem Jan Koopman & André Lucas & André Monteiro, 2005. "The Multi-State Latent Factor Intensity Model for Credit Rating Transitions," Tinbergen Institute Discussion Papers 05-071/4, Tinbergen Institute, revised 04 Jul 2005.
  57. Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004. "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers 04-016/4, Tinbergen Institute.
  58. James Mitchell & Michael Massmann, 2004. "Reconsidering the evidence: are Eurozone business cycles converging?," Money Macro and Finance (MMF) Research Group Conference 2003 67, Money Macro and Finance Research Group.
  59. Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
  60. Rob Luginbuhl & Siem Jan Koopman, 2003. "Convergence in European GDP Series," Tinbergen Institute Discussion Papers 03-031/4, Tinbergen Institute.
  61. Charles S. Bos & Paweł Janus & Siem Jan Koopman, 2012. "Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(2), pages 354-389, 2012 06.
  62. Laurens Swinkels & Pieter Van Der Sluis, 2006. "Return-based style analysis with time-varying exposures," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 529-552.
  63. David Hendry & Neil Shephard & Jurgen Doornik, 2001. "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Series Working Papers 2001-W22, University of Oxford, Department of Economics.
  64. Harvey, Andrew C. & Delle Monache, Davide, 2009. "Computing the mean square error of unobserved components extracted by misspecified time series models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 283-295, February.
  65. Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
  66. Harvey, A., 2008. "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics 0839, Faculty of Economics, University of Cambridge.
  67. Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October.
  68. Andrew Harvey & Siem Jan Koopman, 2000. "Signal extraction and the formulation of unobserved components models," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 84-107.
  69. Eugenie Hol & Siem Jan Koopman, 2002. "Stock Index Volatility Forecasting with High Frequency Data," Tinbergen Institute Discussion Papers 02-068/4, Tinbergen Institute.
  70. Yasutomo Murasawa & Roberto S. Mariano, 2004. "Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model," Econometric Society 2004 Far Eastern Meetings 710, Econometric Society.
  71. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA.
  72. Hindrayanto, Irma & Koopman, Siem Jan & Ooms, Marius, 2010. "Exact maximum likelihood estimation for non-stationary periodic time series models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2641-2654, November.
  73. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter," Working Papers UWEC-2008-15-FC, University of Washington, Department of Economics.
  74. Hendershott, Terrence & Menkveld, Albert J., 2010. "Price pressures," CFS Working Paper Series 2010/14, Center for Financial Studies (CFS).
  75. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2000. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Econometric Society World Congress 2000 Contributed Papers 0504, Econometric Society.
  76. Matthieu Lemoine & Florian Pelgrin, 2003. "Introduction aux modèles espace-état et au filtre de Kalman," Revue de l'OFCE, Presses de Sciences-Po, vol. 86(3), pages 203-229.
  77. Wojciech Maliszewski, 2010. "Vietnam; Bayesian Estimation of Output Gap," IMF Working Papers 10/149, International Monetary Fund.
  78. Siem Jan Koopman & Marius Ooms, 2003. "Time Series Modelling of Daily Tax Revenues," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(4), pages 439-469.
  79. Matthieu Lemoine & Florian Pelgrin, 2003. "Introduction aux modèles espace état et au filtre de Kalman," Post-Print hal-01019094, HAL.
  80. Bernardi, Mauro & Della Corte, Giuseppe & Proietti, Tommaso, 2008. "Extracting the Cyclical Component in Hours Worked: a Bayesian Approach," MPRA Paper 8967, University Library of Munich, Germany.
  81. Renzo Orsi & Davide Raggi & Francesco Turino, 2013. "Online Appendix to "Size, Trend, and Policy Implications of the Underground Economy"," Technical Appendices 12-217, Review of Economic Dynamics.
  82. S. Bordignon & D. Raggi, 2010. "Long memory and nonlinearities in realized volatility: a Markov switching approach," Working Papers 694, Dipartimento Scienze Economiche, Universita' di Bologna.
  83. Berument, M. Hakan & Yalcin, Yeliz & Yildirim, Julide, 2012. "Inflation and inflation uncertainty: A dynamic framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4816-4826.
  84. repec:kap:iaecre:v:15:y:2009:i:1:p:71-87 is not listed on IDEAS
  85. Tommaso Proietti & Filippo Moauro, 2004. "Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints," Econometrics 0401003, EconWPA.
  86. Helena Beltran & Albert J. Menkveld, 2004. "Understanding limit order book depth: conditioning on trade informativeness," Econometric Society 2004 Latin American Meetings 142, Econometric Society.
  87. Stephen Pollock, 2001. "Improved Frequency-selective Filters," Working Papers 449, Queen Mary University of London, School of Economics and Finance.
  88. Philippe Moës, 2012. "Multivariate models with dual cycles: implications for output gap and potential growth measurement," Empirical Economics, Springer, vol. 42(3), pages 791-818, June.
  89. Tommaso Proietti, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Econometrics 0209002, EconWPA.
  90. Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 144-157.
  91. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute.
  92. Nahum, Ruth-Aïda, 2005. "Income Inequality and Growth: a Panel Study of Swedish Counties 1960-2000," Arbetsrapport 2005:3, Institute for Futures Studies.
  93. Baxa, Jaromír & Horváth, Roman & Vašíček, Bořek, 2014. "How Does Monetary Policy Change? Evidence On Inflation-Targeting Countries," Macroeconomic Dynamics, Cambridge University Press, vol. 18(03), pages 593-630, April.
  94. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge.
  95. Creal, D., 2009. "A survey of sequential Monte Carlo methods for economics and finance," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  96. Cesaroni, Tatiana & Pappalardo, Carmine, 2008. "Long Run and Short Run Dynamics in Italian Manufacturing Labour Productivity," CEPR Discussion Papers 6795, C.E.P.R. Discussion Papers.
  97. Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K., 2005. "Trends and cycles in economic time series: A Bayesian approach," Econometric Institute Research Papers EI 2005-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  98. Oh, Kum Hwa & Zivot, Eric & Creal, Drew, 2008. "The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics," Journal of Econometrics, Elsevier, vol. 146(2), pages 207-219, October.
  99. Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers 08-011/4, Tinbergen Institute.
  100. María García Centeno & Román Mínguez Salido, 2009. "Estimation of Asymmetric Stochastic Volatility Models for Stock-Exchange Index Returns," International Advances in Economic Research, International Atlantic Economic Society, vol. 15(1), pages 71-87, February.
  101. Clive Bowsher & Roland Meeks, 2006. "High Dimensional Yield Curves: Models and Forecasting," Economics Series Working Papers 2006-FE-11, University of Oxford, Department of Economics.
  102. Christian N. Brinch, 2008. "Simulated Maximum Likelihood using Tilted Importance Sampling," Discussion Papers 540, Statistics Norway, Research Department.
  103. [Reference to Proietti], Tommaso, 2000. "Comparing seasonal components for structural time series models," International Journal of Forecasting, Elsevier, vol. 16(2), pages 247-260.
  104. Matteo M. Pelagatti, 2005. "Business cycle and sector cycles," Econometrics 0503006, EconWPA.
  105. Roberto Iannaccone & Edoardo Otranto, 2003. "Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter," Econometrics 0311002, EconWPA.
  106. Proietti, Tommaso, 2005. "New algorithms for dating the business cycle," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 477-498, April.
  107. Philip Kostov & John Lingard, 2004. "Recurrence analysis techniques for non-stationary and non-linear data," Microeconomics 0409003, EconWPA.
  108. Sascha Mergner & Jan Bulla, 2008. "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 771-802.
  109. Michael C. Neale & Michael D. Hunter & Joshua N. Pritikin & Mahsa Zahery & Timothy R. Brick & Robert M. Kirkpatrick & Ryne Estabrook & Timothy C. Bates & Hermine H. Maes & Steven M. Boker, 2016. "OpenMx 2.0: Extended Structural Equation and Statistical Modeling," Psychometrika, Springer;The Psychometric Society, vol. 81(2), pages 535-549, June.
  110. Peter Fuleky & Carl S. Bonham, 2011. "Forecasting Based on Common Trends in Mixed Frequency Samples," Working Papers 201110, University of Hawaii at Manoa, Department of Economics.
  111. Swinkels, L.A.P. & van der Sluis, P.J. & Verbeek, M.J.C.M., 2003. "Market timing: A decomposition of mutual fund returns," ERIM Report Series Research in Management ERS-2003-074-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  112. Nazifi, Fatemeh, 2013. "Modelling the price spread between EUA and CER carbon prices," Energy Policy, Elsevier, vol. 56(C), pages 434-445.
  113. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
  114. Gijsbert Suren & Guilherme Moura, 2012. "Heteroskedastic Dynamic Factor Models: A Monte Carlo Study," Economics Bulletin, AccessEcon, vol. 32(4), pages 2884-2898.
  115. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute.
  116. Ruiz-Cárdenas, Ramiro & Krainski, Elias T. & Rue, Håvard, 2012. "Direct fitting of dynamic models using integrated nested Laplace approximations — INLA," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1808-1828.
  117. Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute.
  118. Teles, Vladimir Kühl & Cardoso, Eliana Anastácia, 2010. "A brief history of Brazil's growth," Textos para discussão 241, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  119. Trimbur, Thomas M., 2010. "Stochastic level shifts and outliers and the dynamics of oil price movements," International Journal of Forecasting, Elsevier, vol. 26(1), pages 162-179, January.
  120. Tommaso PROIETTI & Alberto MUSSO & Thomas WESTERMANN, 2002. "Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach," Economics Working Papers ECO2002/09, European University Institute.
  121. El-Shazly, Alaa, 2016. "Structural breaks and monetary dynamics: A time series analysis," Economic Modelling, Elsevier, vol. 53(C), pages 133-143.
  122. Dethlefsen, Claus & Lundbye-Christensen, Søren, 2006. "Formulating State Space Models in R with Focus on Longitudinal Regression Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 16(i01).
  123. Chortareas, Georgios & Jiang, Ying & Nankervis, John. C., 2011. "Forecasting exchange rate volatility using high-frequency data: Is the euro different?," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1089-1107, October.
  124. Zietz, Joachim A. & Penn, David A., 2008. "An Unobserved Components Forecasting Model of Non-Farm Employment for the Nashville MSA," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 38(1).
  125. Bellini, Tiziano & Riani, Marco, 2012. "Robust analysis of default intensity," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3276-3285.
  126. Siem Jan Koopman & Kai Ming Lee, 0000. "Seasonality with Trend and Cycle Interactions in Unobserved Components Models," Tinbergen Institute Discussion Papers 08-028/4, Tinbergen Institute.
  127. Assaf, Ata, 2006. "The stochastic volatility in mean model and automation: Evidence from TSE," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 241-253, May.
  128. Fildes, Robert & Wei, Yingqi & Ismail, Suzilah, 2011. "Evaluating the forecasting performance of econometric models of air passenger traffic flows using multiple error measures," International Journal of Forecasting, Elsevier, vol. 27(3), pages 902-922.
  129. Francisco Cribari-Neto & Spyros Zarkos, 2003. "Econometric and Statistical Computing Using Ox," Computational Economics, Society for Computational Economics, vol. 21(3), pages 277-295, June.
  130. Zirogiannis, Nikolaos & Tripodis, Yorghos, 2014. "Dynamic Factor Analysis for Short Panels: Estimating Performance Trajectories for Water Utilities," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170592, Agricultural and Applied Economics Association.
  131. Juergen Bierbaumer-Polly, 2012. "Regional and Sectoral Business Cycles - Key Features for the Austrian economy," EcoMod2012 4074, EcoMod.
  132. Proietti, Tommaso & Riani, Marco, 2007. "Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies," MPRA Paper 7862, University Library of Munich, Germany.
  133. Tucker S. McElroy & Thomas M. Trimbur, 2012. "Signal extraction for nonstationary multivariate time series with illustrations for trend inflation," Finance and Economics Discussion Series 2012-45, Board of Governors of the Federal Reserve System (U.S.).
  134. Kum Hwa Oh & Eric Zivot & Drew Creal, 2006. "The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks," Working Papers UWEC-2006-16-FC, University of Washington, Department of Economics.
  135. Costas Anyfantakis & Guglielmo Maria Caporale & Nikitas Pittis, 2008. "Parameter instability and forecasting performance: a Monte Carlo study," International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd, vol. 1(1), pages 1-20.
  136. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
  137. Hendershott, Terrence & Menkveld, Albert J., 2014. "Price pressures," Journal of Financial Economics, Elsevier, vol. 114(3), pages 405-423.
  138. Rob Luginbuhl & Siem Jan Koopman, 2004. "Convergence in European GDP series: a multivariate common converging trend-cycle decomposition," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(5), pages 611-636.
  139. Marc Francke, 2010. "Repeat Sales Index for Thin Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 24-52, July.
  140. Christian Brinch, 2012. "Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling," Computational Statistics, Springer, vol. 27(1), pages 13-28, March.
  141. Wojciech Maliszewski, 2003. "Modeling Inflation in Georgia," IMF Working Papers 03/212, International Monetary Fund.
  142. B. Jungbacker & S.J. Koopman, 2005. "Model-based Measurement of Actual Volatility in High-Frequency Data," Tinbergen Institute Discussion Papers 05-002/4, Tinbergen Institute.
  143. Francesca Pancotto & Giuseppe Pignataro & Davide Raggi, 2015. "Social Learning and Higher Order Beliefs: A Structural Model of Exchange Rates Dynamics," LEM Papers Series 2015/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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