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Author : Agustín Maravall
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.3/5 ( download)
Download or read book Time Aggregation and the Hodrick-Prescott Filter written by Agustín Maravall and published by . This book was released on 2001 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Agustín Maravall Herrero
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (254 download)
Download or read book Temporal Aggregation, Systematic Sampling, and the Hodrick-Prescott Filter written by Agustín Maravall Herrero and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Agustín Maravall
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (642 download)
Download or read book Temporal Aggregation, Systematic Sampling, and the Hodrick-Prescott written by Agustín Maravall and published by . This book was released on 2007 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Maravall and del Río (2001), analized the time aggregation properties of the Hodrick Prescott (HP) filter, which decomposes a time series into trend and cycle, for the case of annual, quarterly, and monthly data, and showed that aggregation of the disaggregate component cannot be obtained as the exact result from direct application of an HP filter to the aggregate series. The present paper shows how, using several criteria, one can find HP decompositions for different levels of aggregation that provide similar results. We use as the main criterion for aggregation the preservation of the period associated with the frequency for which the filter gain is 1/2; this criterion is intuitive and easy to apply. It is shown that the Ravn and Uhlig (2002) empirical rule turns out to be a first order approximation to our criterion, and that alternative -more complex- criteria yield similar results. Moreover, the values of the parameter? of the HP filter, that provide results that are approximately consistent under aggregation, are considerably robust with respect to the ARIMA model of the series. Aggregation is seen to work better for the case of temporal aggregation than for systematic sampling. Still a word of caution is made concerning the desirability of exact aggregation consistency. The paper concludes with a clarification having to do with the questionable spuriousness of the cycles obtained with HP filter.
Author : Agustin Maravall
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (129 download)
Download or read book Time aggregation and the Hodrik-Prescott filter written by Agustin Maravall and published by . This book was released on 2001 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Regina Kaiser
Publisher : Springer Science & Business Media
ISBN 13 : 1461301297
Total Pages : 198 pages
Book Rating : 4.4/5 (613 download)
Download or read book Measuring Business Cycles in Economic Time Series written by Regina Kaiser and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book outlines and demonstrates problems with the use of the HP filter, and proposes an alternative strategy for inferring cyclical behavior from a time series featuring seasonal, trend, cyclical and noise components. The main innovation of the alternative strategy involves augmenting the series forecasts and back-casts obtained from an ARIMA model, and then applying the HP filter to the augmented series. Comparisons presented using artificial and actual data demonstrate the superiority of the alternative strategy.
Author : Fabio Canova
Publisher : Princeton University Press
ISBN 13 : 140084102X
Total Pages : 509 pages
Book Rating : 4.4/5 (8 download)
Download or read book Methods for Applied Macroeconomic Research written by Fabio Canova and published by Princeton University Press. This book was released on 2011-09-19 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last twenty years have witnessed tremendous advances in the mathematical, statistical, and computational tools available to applied macroeconomists. This rapidly evolving field has redefined how researchers test models and validate theories. Yet until now there has been no textbook that unites the latest methods and bridges the divide between theoretical and applied work. Fabio Canova brings together dynamic equilibrium theory, data analysis, and advanced econometric and computational methods to provide the first comprehensive set of techniques for use by academic economists as well as professional macroeconomists in banking and finance, industry, and government. This graduate-level textbook is for readers knowledgeable in modern macroeconomic theory, econometrics, and computational programming using RATS, MATLAB, or Gauss. Inevitably a modern treatment of such a complex topic requires a quantitative perspective, a solid dynamic theory background, and the development of empirical and numerical methods--which is where Canova's book differs from typical graduate textbooks in macroeconomics and econometrics. Rather than list a series of estimators and their properties, Canova starts from a class of DSGE models, finds an approximate linear representation for the decision rules, and describes methods needed to estimate their parameters, examining their fit to the data. The book is complete with numerous examples and exercises. Today's economic analysts need a strong foundation in both theory and application. Methods for Applied Macroeconomic Research offers the essential tools for the next generation of macroeconomists.
Author : Emi Mise
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (535 download)
Download or read book The Hodrick-Prescott Filter at Time Series Endpoints written by Emi Mise and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Regina Kaiser
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (319 download)
Download or read book A Complete Model-based Interpretation of the Hodrick-Prescott Filter written by Regina Kaiser and published by . This book was released on 2002 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : OECD
Publisher : OECD Publishing
ISBN 13 : 9264273263
Total Pages : 125 pages
Book Rating : 4.2/5 (642 download)
Download or read book OECD Compendium of Productivity Indicators 2017 written by OECD and published by OECD Publishing. This book was released on 2017-05-18 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report presents a comprehensive overview of recent and longer-term trends in productivity levels and growth in OECD countries, accession countries, key partners and G20 countries. It includes measures of labour productivity, capital productivity and multifactor productivity, as well ...
Author : OECD
Publisher : OECD Publishing
ISBN 13 : 9264250190
Total Pages : 130 pages
Book Rating : 4.2/5 (642 download)
Download or read book OECD Compendium of Productivity Indicators 2016 written by OECD and published by OECD Publishing. This book was released on 2016-05-26 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: The publication presents a comprehensive overview of recent and longer term trends in productivity levels and growth in OECD and some G20 countries. The statistics include measures of labour, capital and multifactor productivity, as well as indicators of international competitiveness.
Author : Tilman Brück
Publisher : Routledge
ISBN 13 : 1134216483
Total Pages : 319 pages
Book Rating : 4.1/5 (342 download)
Download or read book The Economic Analysis of Terrorism written by Tilman Brück and published by Routledge. This book was released on 2007-03-12 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whilst most books look at the political response to terror, this unique book takes an economic approach and includes contributions from Todd Sandler, Sanjay Jain, Andrew Chen, Valpy Fitzgerald and Dennis Mueller. Research in the field of terrorism has increased dramatically since 9/11, responding to the sudden need by policy makers, journalists and the general public to understand terrorism. A unique feature of this field of research is that it expands beyond typical academic categories such as macroeconomics, development studies, international relations or peace science, instead, a range of analysts have applied their various skills of different sub-disciplines to a common theme since 9/11, providing inter-disciplinary insights characterized by a clear focus.
Author : OECD
Publisher : OECD Publishing
ISBN 13 : 9264301127
Total Pages : 142 pages
Book Rating : 4.2/5 (643 download)
Download or read book OECD Compendium of Productivity Indicators 2018 written by OECD and published by OECD Publishing. This book was released on 2018-06-19 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report presents a comprehensive overview of recent and longer-term trends in productivity levels and growth in OECD countries, accession countries, key partners and some G20 countries. It includes measures of labour productivity, capital productivity and multifactor productivity, as well ...
Author : OECD
Publisher : OECD Publishing
ISBN 13 : 9264229574
Total Pages : 94 pages
Book Rating : 4.2/5 (642 download)
Download or read book OECD Compendium of Productivity Indicators 2015 written by OECD and published by OECD Publishing. This book was released on 2015-05-04 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: The OECD Compendium of Productivity Indicators 2015 presents a comprehensive overview of recent and longer term trends in productivity levels and growth in OECD countries.
Author : OECD
Publisher : OECD Publishing
ISBN 13 : 9264603980
Total Pages : 154 pages
Book Rating : 4.2/5 (646 download)
Download or read book OECD Compendium of Productivity Indicators 2019 written by OECD and published by OECD Publishing. This book was released on 2019-04-29 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report presents a comprehensive overview of recent and longer-term trends in productivity levels and growth in OECD countries, accession countries, key partners and some G20 countries.
Author : M. Hashem Pesaran
Publisher : Oxford University Press
ISBN 13 : 0198736916
Total Pages : 1095 pages
Book Rating : 4.1/5 (987 download)
Download or read book Time Series and Panel Data Econometrics written by M. Hashem Pesaran and published by Oxford University Press. This book was released on 2015 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.
Author : Andrew Harvey
Publisher : OUP Oxford
ISBN 13 : 019151554X
Total Pages : 472 pages
Book Rating : 4.1/5 (915 download)
Download or read book Readings in Unobserved Components Models written by Andrew Harvey and published by OUP Oxford. This book was released on 2005-04-07 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. The book is intended to give a self-contained presentation of the methods and applicative issues. Harvey has made major contributions to this field and provides substantial introductions throughout the book to form a unified view of the literature. - ;This book presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. It contains four parts, three of which concern recent theoretical developments in classical and Bayesian estimation of linear, nonlinear, and non Gaussian UC models, signal extraction and testing, and one is devoted to selected econometric applications. The first part focuses on the linear state space model; the readings provide insight on prediction theory, signal extraction, and likelihood inference for non stationary and non invertible processes, diagnostic checking, and the use of state space methods for spline smoothing. Part II deals with applications of linear UC models to various estimation problems concerning economic time series, such as trend-cycle decompositions, seasonal adjustment, and the modelling of the serial correlation induced by survey sample design. The issues involved in testing in linear UC models are the theme of part III, which considers tests concerned with whether or not certain variance parameters are zero, with special reference to stationarity tests. Finally, part IV is devoted to the advances concerning classical and Bayesian inference for non linear and non Gaussian state space models, an area that has been evolving very rapidly during the last decade, paralleling the advances in computational inference using stochastic simulation techniques. The book is intended to give a relatively self-contained presentation of the methods and applicative issues. For this purpose, each part comes with an introductory chapter by the editors that provides a unified view of the literature and the many important developments that have occurred in the last years. -
Author : International Monetary Fund. European Dept.
Publisher : International Monetary Fund
ISBN 13 : 1498331335
Total Pages : 60 pages
Book Rating : 4.4/5 (983 download)
Download or read book Finland written by International Monetary Fund. European Dept. and published by International Monetary Fund. This book was released on 2014-05-28 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Selected Issues paper on Finland discusses that the country is struggling to recover from the Great Recession, indicating that deeper, structural issues may be holding back growth. Estimates of potential output for Finland are an important part of the toolkit for policymakers—but they come with a degree of uncertainty. As this paper illustrates, the use of different methodologies and assumptions can lead to different results. However, there are indications that Finnish potential output growth is low at this juncture. From 1997 to 2007, potential growth, independent of the choice of smoothing, averages 3.2 percent per year. In 2013, that average has dropped to 0.2 with several of the models producing negative growth. This result indicates that the lack of a recovery in Finland is largely structural in nature. Therefore, any indication that the output gap is closing is due to falling potential rather than a pickup in growth. This leads to the advantages of structural reforms aiming to enhance Finland’s long-term capacity. Total factor productivity enhancing measures could be crucial in helping the economy recover despite the time it takes to implement them.
