Zobrazeno 1 - 10
of 88
pro vyhledávání: '"Franz Palm"'
Publikováno v:
De Economist, 168(4), 519-540. Springer
We present a semiparametric method to estimate group-level dispersion, which is particularly effective in the presence of censored data. We apply this procedure to obtain measures of occupation-specific wage dispersion using top-coded administrative
Publikováno v:
Vrije Universiteit Amsterdam
Schiavoni, C, Koopman, S J, Palm, F, Smeekes, S & van den Brakel, J 2021 ' Time-varying state correlations in state space models and their estimation via indirect inference ' TI Discussion Paper Series, Tinbergen Institute . < https://www.tinbergen.nl/discussion-paper/6033/21-020-iii-time-varying-state-correlations-in-state-space-models-and-their-estimation-via-indirect-inference >
Schiavoni, C, Koopman, S J, Palm, F, Smeekes, S & van den Brakel, J 2021 ' Time-varying state correlations in state space models and their estimation via indirect inference ' TI Discussion Paper Series, Tinbergen Institute . < https://www.tinbergen.nl/discussion-paper/6033/21-020-iii-time-varying-state-correlations-in-state-space-models-and-their-estimation-via-indirect-inference >
Statistics Netherlands uses a state space model to estimate the Dutch unemployment by using monthly series about the labour force surveys (LFS). More accurate estimates of this variable can be obtained by including auxiliary information in the model,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::449ff8399cc1a81bbe0690a05cef1acc
https://hdl.handle.net/10419/237753
https://hdl.handle.net/10419/237753
Publikováno v:
Journal of the Royal Statistical Society Series A-Statistics in Society, 180(4), 1281-1308. Wiley-Blackwell
Summary This study compares state space models (estimated with the Kalman filter with a frequentist approach to hyperparameter estimation) with multilevel time series models (based on the hierarchical Bayesian framework). The application chosen is th
Publikováno v:
Karabiyik, H, Palm, F C & Urbain, J P 2019, ' Econometric Analysis of Panel Data Models with Multifactor Error Structures ', Annual Review of Economics, vol. 11, pp. 495-522 . https://doi.org/10.1146/annurev-economics-063016-104338
Annual Review of Economics, 11, 495-522. Annual Reviews Inc.
Annual Review of Economics, 11, 495-522. Annual Reviews Inc.
Economic panel data often exhibit cross-sectional dependence, even after conditioning on appropriate explanatory variables. Two approaches to modeling cross-sectional dependence in economic panel data are often used: the spatial dependence approach,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ef0808f532993a6254cf8be9ff2907f0
https://hdl.handle.net/1871.1/7231b778-5dec-43ab-897c-261711d2406e
https://hdl.handle.net/1871.1/7231b778-5dec-43ab-897c-261711d2406e
Publikováno v:
Maastricht University
In this paper we consider estimation of unobserved components in state space models using a dynamic factor approach to incorporate auxiliary information from high-dimensional data sources. We apply the methodology to unemployment estimation as done b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::9cea94d81fe41e43c057cf82d6a5f255
https://cris.maastrichtuniversity.nl/en/publications/db447310-0a76-4b4c-b3af-a58f829b29fe
https://cris.maastrichtuniversity.nl/en/publications/db447310-0a76-4b4c-b3af-a58f829b29fe
Publikováno v:
Econometric Reviews, 38(7), 763-792. Taylor & Francis Ltd
Econometric Reviews, 38(7), 763-792. Routledge/Taylor & Francis Group
Econometric Reviews, 38(7), 763-792. Routledge/Taylor & Francis Group
This paper investigates the focused information criterion and plug-in average for vector autoregressive models with local-to-zero misspecification. These methods have the advantage of focusing on a quantity of interest rather than aiming at overall m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d12fa6e5546f872ef11b7314799a991d
https://pure.eur.nl/en/publications/e0f9fb78-e8ab-4b79-8ae3-1bb152b45408
https://pure.eur.nl/en/publications/e0f9fb78-e8ab-4b79-8ae3-1bb152b45408
Publikováno v:
Journal of the Royal Statistical Society Series A-Statistics in Society, 184(1), 324-353. Wiley-Blackwell
Journal of the Royal Statistical Society: Series A (Statistics in Society)
Journal of the Royal Statistical Society: Series A (Statistics in Society)
In this paper we consider estimation of unobserved components in state space models using a dynamic factor approach to incorporate auxiliary information from high-dimensional data sources. We apply the methodology to unemployment estimation as done b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f7c2b7ecbc1124ddb0bbd94ab1d9abd0
Publikováno v:
Journal of the Royal Statistical Society Series A-Statistics in Society, 179(2), 377-402. Wiley-Blackwell
Summary Statistics Netherlands applies a design-based estimation procedure to produce road transportation figures. Frequent survey redesigns caused discontinuities in these series which obstruct the comparability of figures over time. Reductions in t
Publikováno v:
Management Science, 61(9), 2185-2202. INFORMS Institute for Operations Research and the Management Sciences
Management Science, 61(9), 2185-2202. INFORMS
Management Science, 61(9), 2185-2202. INFORMS
We evaluate the out-of-sample performance of a long-term investor who follows an optimized dynamic trading strategy. Although the dynamic strategy is able to benefit from predictability out-of-sample, a short-term investor using a single-period marke
Publikováno v:
De Economist, 162(1), 19-40. Springer
The aim of this paper is to investigate the long run relationship between the development of banks and stock markets and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence to test th