354 research outputs found
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
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