Testing for seasonality

This paper proposes a general-to-simple test procedure for the presence of seasonal patterns in time series, which is based on tests for parameter restrictions in a general periodic model. The method is illustrated for the U.K

On inflation expectations in the NKPC model

To create an estimable version for annual data of the hybrid new Keynesian Phillips curve, one needs an expression for the expectation of next year’s inflation. The rational expectations literature assumes that this expectation is equal to the realization in the next year and an associated forecast error. This paper argues that this assumption goes against the Wold decomposition theorem, and that it introduces correlation between the error and a regressor. A more appropriate approach resorts to a MIDAS type of model, where forecast updates for next year are created when for example monthly inflation rates come in. An illustration to annual USA inflation, 1956–2016, shows the merits of this MIDAS approach

De langste weg is de beste.

In dit artikel wordt beargumenteerd dat, gemiddeld genomen, een succesvolle start van een academische carrière in de economische wetenschap het best als volgt kan verlopen. Men is eerst vier jaar aio, daarna een aantal jaren postdoctoraal onderzoeker in tijdelijke dienst, en daarna pas universitair docent in vaste dienst. Een belangrijke bouwsteen voor de argumentatie is de observatie dat er gemiddeld twee jaar zit tussen het schrijven en het publiceren van een art

Forecasting Sales

This chapter deals with forecasting sales (in units or money), where an explicit distinction is made between sales of durable goods (computers, cars, books) and sales of utilitarian products (SKU level in supermarkets). Invariably, sales forecasting amounts to a combination of statistical modeling and an expert’s touch. Models for durable goods sales are usually based on (variants of) the Bass model, while SKU sales forecasts are typically based on simple extrapolation methods. Forecast evaluation is not standard due to the interaction of model and expert

The effects of seasonally adjusting a periodic autoregressive process

Traditional methods for the analysis of seasonal and nonstationary time series assume that seasonality and a stochastic trend can be separated in some way. However, several macroeconomic time series display patterns which i

Yet another look at MIDAS regression

A MIDAS regression involves a dependent variable observed at a low frequency and independent variables observed at a higher frequency. This paper relates a true high frequency data generating process, where also the dependent variable is observed (hypothetically) at the high frequency, with a MIDAS regression. It is shown that a correctly specified MIDAS regression usually includes lagged dependent variables, a substantial number of explanatory variables (observable at the low frequency) and a moving average term. Next, the parameters of the explanatory variables unlikely obey certain convenient patterns, and hence imposing such restrictions in practice is not recommended

Testing Changing Harmonic Regressors

Econometric models for economic time series may include harmonic regressors to describe cyclical patterns in the data. This paper focuses on the possibility that the cycle periods in these regressors change over time. To this end, a smooth regime-switching harmonic regression is proposed, and a diagnostic test for changing cycle periods is proposed. An application to annual GDP growth in the Netherlands (for 1969-2007) shows that around 1975 the business cycle period shifted from about 3 years to about 11 years

Hoogmoed en val in 2008

De Nederlandse economie maakt in 2008 een redelijk saai jaar door. Het bbp blijft met zo’n 2,8 procent groeien, maar er zijn wel wat tekenen van aankomend verval. Vooral de Verenigde Staten en China beleven roerige tijden, maar dat zal pas na 2008 in Nederland zijn effect hebben. Veel nieteconomische gebeurtenissen drukken hun stempel op de economische gevoelstemperatuur

A differencing test

This paper proposes and applies a test procedure for misspecification in a dynamic regression model with moving average errors. The test statistics are based on testing for unit roots in the moving average process when the model is deliberately overdifferenced

Formalizing judgemental adjustment of model-based forecasts

In business and in macroeconomics it is common practice to use econo- metric models to generate forecasts. These models can take any degree of sophistication. Sometimes it is felt by an expert that the model-based fore- cast needs adjustment. This paper makes a plea for a formal approach to such an adjustment, more precise, for the creation of detailed logbooks which con- tain information on why and how model-based forecasts have been adjusted. The reasons for doing so are that such logbooks allow for (i) the preservation of expert knowledge, (ii) for the possible future modi¯cation of econometric models in case adjustment is almost always needed, and (iii) for the evaluation of adjusted forecasts. In this paper I put forward an explicit mathematical expression for a judgementally adjusted model-based forecast. The key pa- rameters in the expression should enter the logbook. In a limited simulation experiment I illustrate an additional use of this expression, that is, look