Universidad Complutense de Madrid
E-Prints Complutense

Recursive identification, estimation and forecasting of nonstationary economic time series with applications to GNP international data

Impacto

Downloads

Downloads per month over past year



García Ferrer, Antonio and Hoyo Bernat, Juan del and Young, Peter C. and Novales Cinca, Alfonso (1993) Recursive identification, estimation and forecasting of nonstationary economic time series with applications to GNP international data. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 10, 1993, ] (Unpublished)

[img]
Preview
PDF
Creative Commons Attribution Non-commercial Share Alike.

1MB

Official URL: http://eprints.ucm.es/28298/


URLURL Type
https://www.ucm.es/icaeOrganisation


Abstract

En este trabajo proponemos un modelo novedoso de componentes no observables para las variaciones en el PNB anual en varios países. El modelo se formula en espacio de los estados y se estima mediante procedimientos recursivos de filtrado y de suavizado con la muestra completa. Se analiza el producto real anual de nueve países a partir del modelo de componentes no observables en sus versiones univariante y de función de transferencia, utilizando en esta última versión la oferta monetaria como indicador adelantado. Se compara el comportamiento de las predicciones de estos modelos con las obtenidas en trabajos anteriores utilizando el mismo conjunto de datos.

Resumen (otros idiomas)

In this paper we propose a recursive, unobserved components model, where parameter variation is characterized by a particular state space formulation. The choice about the characteristics that define each component are half way between an objetive function optimization strategy and subjective Bayesian approach: some parameter values need to be chosen, but these are reduced to a minimum, and some values are provided to aid in their choice. Annual real output data for nine countries are analyzed under both, the univariate and transfer function version of our unobserved componenets model, the latter using the money supply as a leading indicator. The performance of these models is compared with the forecasting results obtained in previous work with the same data set.

Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Annual real output.
Palabras clave (otros idiomas):Producto real anual.
Subjects:Social sciences > Economics > Econometrics
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:1993
Number:10
ID Code:28298
Deposited On:16 Feb 2015 09:47
Last Modified:12 Feb 2019 13:36

Origin of downloads

Repository Staff Only: item control page