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  1. Time series models for epidemics:
    leading indicators, control groups and policy assessment
    Autor*in: Harvey, Andrew C.
    Erschienen: October 2020
    Verlag:  National Institute of Economic and Social Research, London

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    Schriftenreihe: NIESR discussion paper ; no. 517 (19 October 2020)
    Schlagworte: Balanced growth; Co-integration; Covid-19; Gompertz curve; Kalman filter; Stochastic trend
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  2. Indicador coincidente de actividad económica en la recesión pandémica: el caso del Caribe colombiano
    Autor*in: Orozco, Antonio; Vidal Alejandro, Pavel; Sanabria-Domínguez, Johana; Collazos-Rodríguez, Jaime Andrés
    Erschienen: [2021]
    Verlag:  Banco de la República Colombia, Centro de Estudios Económicos Regionales (CEER), Cartagena

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    Schriftenreihe: Documentos de trabajo sobre economía regional y urbana ; núm. 298 (junio, 2021)
    Schlagworte: Indicator; Kalman filter; Colombian Caribbean region; economic activity; pandemic; Covid-19
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  3. Bellman filtering for state-space models
    Autor*in: Lange, Rutger-Jan
    Erschienen: [2021]
    Verlag:  Tinbergen Institute, Amsterdam, The Netherlands

    This article presents a new filter for state-space models based on Bellman's dynamic programming principle applied to the posterior mode. The proposed Bellman filter generalises the Kalman filter including its extended and iterated versions, while... mehr

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    This article presents a new filter for state-space models based on Bellman's dynamic programming principle applied to the posterior mode. The proposed Bellman filter generalises the Kalman filter including its extended and iterated versions, while remaining equally inexpensive computationally. The Bellman filter is also (unlike the Kalman filter) robust under heavy-tailed observation noise and applicable to a wider range of models. Simulation studies reveal that the mean absolute error of the Bellman-filtered states using estimated parameters typically falls within a few percent of that produced by the mode estimator evaluated at the true parameters, which is optimal but generally infeasible.

     
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    Weitere Identifier:
    hdl: 10419/229672
    Auflage/Ausgabe: Revision: 8 January 2021
    Schriftenreihe: Array ; TI 2020, 052
    Schlagworte: Bellman filter; dynamic programming; Kalman filter; maximum a posteriori (MAP)estimate; posterior mode; state-space model
    Umfang: 1 Online-Ressource (circa 26 Seiten)
  4. Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
    Autor*in: Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia
    Erschienen: [2021]
    Verlag:  Tinbergen Institute, Amsterdam, The Netherlands

    We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model... mehr

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    We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and a multivariate dynamic volatility model for the variance matrix of the disturbance vector. Since the likelihood function is available in closed-form through a simple extension of the Kalman filter equations, all unknown parameters in this flexible model can be easily estimated by the method of maximum likelihood. The proposed approach is appealing since it is simple to implement and computationally fast. Furthermore, it presents an alternative to Bayesian methods which are regularly employed in the empirical literature. A simulation study shows the reliability and robustness of the method against potential misspecifications of the volatility in the disturbance vector. We further provide an empirical illustration in which we analyze possibly time-varying relationships between U.S. industrial production, inflation, and bond spread. We empirically identify a time-varying linkage between economic and financial variables which are effectively described by a common dynamic factor. The impulse response analysis points towards substantial differences in the effects of financial shocks on output and inflation during crisis and non-crisis periods.

     
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    hdl: 10419/237789
    Schriftenreihe: Array ; TI 2021, 056
    Schlagworte: time-varying parameters; vector autoregressive model; dynamic factor model; Kalman filter; generalized autoregressive conditional heteroskedasticity; orthogonal impulse response functions
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  5. Testing for uncovered interest parity conditions in a small open economy
    a state space modelling approach
    Autor*in: Bhatta, Guna Raj; Nepal, Rabindra; Harvie, Charles; Jayanthakumaran, Kankesu
    Erschienen: [2021]
    Verlag:  Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, Canberra

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    Schriftenreihe: CAMA working paper ; 2021, 56 (July 2021)
    Schlagworte: uncovered interest parity; State Space Model; Kalman filter; risk premium; uncovered interest parity; State Space Model; Kalman filter; risk premium
    Umfang: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  6. Volatility bursts
    a discrete-time option model with multiple volatility components
    Autor*in: Lilla, Francesca
    Erschienen: [2021]
    Verlag:  Banca d'Italia Eurosistema, [Rom]

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    Schriftenreihe: Temi di discussione / Banca d'Italia ; number 1336 (June 2021)
    Schlagworte: volatility bursts; ARG-zero; option pricing; Kalman filter; realized volatility
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  7. A counterfactual analysis of the effects of climate change on the natural interest rate
    Autor*in: Ojeda Joya, Jair Neftali
    Erschienen: May 2022
    Verlag:  Graduate Institute of International and Development Studies, International Economics Department, Geneva, Switzerland

    Climate change will potentially bring about important macroeconomic effects for all countries in the world and especially for emerging economies. I perform a counterfactual analysis to estimate the potential effect of global warming on the natural... mehr

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    Climate change will potentially bring about important macroeconomic effects for all countries in the world and especially for emerging economies. I perform a counterfactual analysis to estimate the potential effect of global warming on the natural interest rate using a state-space semi-structural model of inflation and output determination. The model is estimated with quarterly data for Colombia for the period 1994-2019. I simulate gradual warming of 1°C during this period and include its potential effect on GDP growth and inflation according to recent cross-country estimations in the literature. The estimation with counterfactual data shows that the counterfactual natural interest rate decreases more rapidly to reach near 0% at the end of the period. This result is induced by the persistently negative effects of higher temperatures on trend output growth.

     
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    hdl: 10419/266125
    Schriftenreihe: Working paper series / Graduate Institute of International and Development Studies, International Economics Department ; no. HEIDWP2022, 10
    Schlagworte: Natural Interest Rate; Climate Change; Monetary Policy; Kalman filter
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  8. Time series modeling of epidemics
    leading indicators, control groups and policy assessment
    Autor*in: Harvey, Andrew C.
    Erschienen: [2021]
    Verlag:  University of Cambridge, Faculty of Economics, Cambridge

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    Schriftenreihe: Cambridge working paper in economics ; 2114
    Schlagworte: Balanced growth; Co-integration; Covid-19; Gompertz curve; Kalman filter; Stochastic trend
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  9. Can alternative data improve the accuracy of dynamic factor model nowcasts?
    evidence from the euro area
    Autor*in: Cristea, Radu Gabriel
    Erschienen: [2020]
    Verlag:  University of Cambridge, Faculty of Economics, Cambridge

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    Schriftenreihe: Cambridge working paper in economics ; 20108
    Cambridge-INET working paper series ; 2020, 50
    Schlagworte: nowcasting; dynamic factor model; Kalman filter; real-time high frequency alternative data; Google econometrics; COVID-19; euro area macroeconomics
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  10. An augmented steady-state Kalman filter to evaluate the likelihood of linear and time
    invariant state-space models
    Autor*in: Huber, Johannes
    Erschienen: [2022]
    Verlag:  Universität Augsburg, Institut für Volkswirtschaftslehre, [Augsburg]

    We propose a modified version of the augmented Kalman filter (AKF) to evaluate the likelihood of linear and time-invariant state-space models (SSMs). Unlike the regular AKF, this augmented steady-state Kalman filter (ASKF), as we call it, is based on... mehr

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    We propose a modified version of the augmented Kalman filter (AKF) to evaluate the likelihood of linear and time-invariant state-space models (SSMs). Unlike the regular AKF, this augmented steady-state Kalman filter (ASKF), as we call it, is based on a steady-state Kalman filter (SKF). We show that to apply the ASKF, it is sufficient that the SSM at hand is stationary. We find that the ASKF can significantly reduce the computational burden to evaluate the likelihood of medium- to large-scale SSMs, making it particularly useful to estimate dynamic stochastic general equilibrium (DSGE) models and dynamic factor models. Tests using a medium-scale DSGE model, namely the 2007 version of the Smets and Wouters model, show that the ASKF is up to five times faster than the regular Kalman filter (KF). Other competing algorithms, such as the Chandrasekhar recursion (CR) or a univariate treatment of multivariate observation vectors (UKF), are also outperformed by the ASKF in terms of computational efficiency.

     
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    hdl: 10419/262020
    Schriftenreihe: Volkswirtschaftliche Diskussionsreihe / Universität Augsburg, Institut für Volkswirtschaftslehre ; Nr. 343 (April 2022)
    Schlagworte: Kalman filter; DSGE; Bayesian estimation; Maximum-likelihood estimation; Computational techniques
    Umfang: 1 Online-Ressource (circa 73 Seiten), Illustrationen
  11. Estimating the natural rate of unemployment for Ukraine
    Autor*in: Vdovychenko, Artem
    Erschienen: [2022]
    Verlag:  Graduate Institute of International and Development Studies, International Economics Department, Geneva, Switzerland

    In this study, we apply the Kalman filter to estimate the set of reduced-form Phillips curves for different types of inflation in Ukraine. Based on the estimated models, we derive a number of series of non-accelerating inflation rate of unemployment... mehr

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    In this study, we apply the Kalman filter to estimate the set of reduced-form Phillips curves for different types of inflation in Ukraine. Based on the estimated models, we derive a number of series of non-accelerating inflation rate of unemployment (NAIRU) that provide information about the general trajectory and last tendencies of trend unemployment. To better identify the unemployment trend, we include indicators of long-term unemployment and the Beveridge curve shifts as exogenous variables in the NAIRU equation. Both variables demonstrate a significant impact on NAIRU dynamics. Our estimates show that the Phillips curve slope in Ukraine lies in a standard range of -0.3 to -0.5, with high statistical significance. The median value of estimated NAIRUs was at its lowest at 7.2% at the end of 2008, after which it gradually increased to 9.4% by the end of 2021.

     
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    hdl: 10419/278192
    Schriftenreihe: Working paper series / Graduate Institute of International and Development Studies, International Economics Department ; no. HEIDWP2022, 21
    Schlagworte: Phillips curve; unemployment; NAIRU; Kalman filter; Beveridge curve
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  12. Measuring the natural rate of interest after COVID-19
    Autor*in: Holston, Kathryn; Laubach, Thomas; Williams, John C.
    Erschienen: [2023]
    Verlag:  Federal Reserve Bank of New York, [New York, NY]

    We modify the Laubach-Williams and Holston-Laubach-Williams models of the natural rate of interest to account for time-varying volatility and a persistent COVID supply shock during the pandemic. Resulting estimates of the natural rate of interest in... mehr

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    We modify the Laubach-Williams and Holston-Laubach-Williams models of the natural rate of interest to account for time-varying volatility and a persistent COVID supply shock during the pandemic. Resulting estimates of the natural rate of interest in the United States, Canada, and the Euro Area at the end of 2022 are close to their respective levels estimated directly before the pandemic; that is, we do not find evidence that the era of historically low estimated natural rates of interest has ended. In contrast, estimates of the natural rate of output have declined relative to those projected before the pandemic.

     
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    hdl: 10419/284023
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 1063 (June 2023)
    Schlagworte: natural rate of output; time-varying volatility; Kalman filter; trend growth; COVID-19pandemic
    Umfang: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  13. Estimation of continuous-time linear DSGE models from discrete-time measurements
    Autor*in: Christensen, Bent Jesper; Neri, Luca; Parra-Alvarez, Juan Carlos
    Erschienen: [2023]
    Verlag:  Department of Economics and Business Economics, Aarhus University, Aarhus, Denmark

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    Schriftenreihe: CREATES research paper ; 2022, 12
    Schlagworte: DSGE models; continuous time; exact discrete-time representation; stock and flow variables; Kalman filter; maximum likelihood; aliasing; structural shocks
    Umfang: 1 Online-Ressource (circa 92 Seiten), Illustrationen
  14. Data uncertainty and the role of money as an information variable for monetary policy
    Autor*in: Coenen, Günter; Levin, Andrew T.; Wieland, Volker
    Erschienen: 2003
    Verlag:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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  15. Data uncertainty and the role of money as an information variable for monetary policy
    Autor*in: Coenen, Günter; Levin, Andrew T.; Wieland, Volker
    Erschienen: 2001
    Verlag:  Europ. Central Bank, Frankfurt am Main

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  16. A sparse Kalman Filter: a non-recursive approach
    Autor*in: Andrle, Michal; Brůha, Jan
    Erschienen: 2023
    Verlag:  Czech National Bank, Economic Research Department, Praha

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    Schriftenreihe: Working paper series / Czech National Bank ; 2023, 13
    Schlagworte: Kalman filter; regularization; sparsity
    Umfang: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  17. Economic activity by race
    Autor*in: Mboup, Fatima
    Erschienen: [2023]
    Verlag:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

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    Schriftenreihe: Working papers / Research Department, Federal Reserve Bank of Philadelphia ; 23, 16 (August 2023)
    Schlagworte: racial stratification; economic activity; racial disparities; unemploymentrate; macroeconomic forecasting; macroeconomic data; Kalman filter
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  18. Measuring the natural rate of interest in Brazil
    Autor*in: Maka, Alexis
    Erschienen: [2023]
    Verlag:  Ipea, Institute for Applied Economic Research, Brasília, DF

    This paper applies the Holston-Laubach-Williams methodology to estimate the natural rate of interest for Brazil. mehr

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    This paper applies the Holston-Laubach-Williams methodology to estimate the natural rate of interest for Brazil.

     
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    Schriftenreihe: Discussion paper / IPEA ; 274 (March 2023)
    Schlagworte: natural rate of interest; Kalman filter; trend growth
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  19. Forecasting inflation: the use of dynamic factor analysis and nonlinear combinations
    Autor*in: Hall, Stephen G.; Tavlas, George S.; Wang, Yongli
    Erschienen: February 2023
    Verlag:  Bank of Greece, Athens

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    Schriftenreihe: Working paper / Bank of Greece ; 314
    Schlagworte: forecast combinations; structural breaks; rolling windows; dynamic factor models; Kalman filter
    Umfang: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  20. 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
    Autor*in: Felipe, Jesus; Albis, Manuel Leonard
    Erschienen: February 2024
    Verlag:  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... mehr

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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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    Schriftenreihe: Working paper / Levy Economics Institute of Bard College ; no. 1039
    Schlagworte: Balance-of-Payments-constrained growth rate; Philippines; Kalman filter
    Umfang: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  21. Natural rate of interest in a small open economy with application to CEE countries
    Autor*in: Stefański, Maciej
    Erschienen: September 2023
    Verlag:  Warsaw School of Economics, Collegium of Economic Analysis, [Warsaw]

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    hdl: 20.500.12182/1181
    Schriftenreihe: Collegium of Economic Analysis working paper series ; number: 093 (2023)
    Schlagworte: Natural interest rate; small open economy; CEE; Kalman filter
    Umfang: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  22. Short term forecasts of economic activity
    are fortnightly factors useful?
    Autor*in: Monteforte, Libero; Raponi, Valentina
    Erschienen: [2018]
    Verlag:  Banca d'Italia Eurosistema, [Rom]

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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Temi di discussione / Banca d'Italia ; number 1177 (June 2018)
    Schlagworte: factor models; Kalman filter; temporal disaggregation; mixed frequency data; forecasting
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  23. The return of the European Wage Phillips curve
    Autor*in: Orlandi, Fabrice; Röger, Werner; Thum-Thysen, Anna
    Erschienen: 2018
    Verlag:  Publications Office of the European Union, Luxembourg

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 289 (85)
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    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789279774225
    Weitere Identifier:
    Schriftenreihe: Array ; 085 (September 2018)
    Schlagworte: NAWRU; output gap; wage Phillips curve; New-Keynesian; Kalman filter
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  24. The rise and fall of the natural interest rate
    Autor*in: Fiorentini, Gabriele; Galesi, Alessandro; Pérez-Quirós, Gabriel; Sentana, Enrique
    Erschienen: July 2018
    Verlag:  CEMFI, Centro de estudios monetarios y financieros, Madrid

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / CEMFI ; 1805
    Schlagworte: Natural rate of interest; Kalman filter; observability; demographics
    Umfang: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  25. Türkiye için ithalat talep fonksiyonu
    Autor*in: Çulha, Olcay Yücel; Eren, Okan; Öğünç, Ferya
    Erschienen: [2018]
    Verlag:  Türkiye Cumhuriyet Merkez Bankası, İdare Merkezi, Yapısal Ekonomik Araştırmalar Genel Müdürlüğü, Ankara, Türkiye

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Sprache: Türkisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Çalışma tebliği / Türkiye Cumhuriyet Merkez Bankası ; no: 18, 03 (Şubat 2018)
    Schlagworte: Import demand; Income elasticity; Relative price elasticity; Kalman filter; Turkish economy
    Umfang: 1 Online-Ressource (circa 19 Seiten), Illustrationen