Arbeitspapier
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions depending on dynamic stochastic processes can be sufficiently robust against changes in their dynamic properties. We further show that the implementation of the treatment is relatively straightforward. An illustration is given for monthly U.S. Industrial Production. The empirical results including estimates of time-varying means and variances are discussed in detail.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 10-017/4
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Construction and Estimation
Forecasting Models; Simulation Methods
Macroeconomics: Production
- Thema
-
Common stochastic variance
Kalman filter
State space model
unobserved components time series model
Stochastischer Prozess
Zeitreihenanalyse
Zustandsraummodell
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bos, Charles S.
Koopman, Siem Jan
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bos, Charles S.
- Koopman, Siem Jan
- Tinbergen Institute
Entstanden
- 2010
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