Publication: Recursive identification, estimation and forecasting of nonstationary economic time series with applications to GNP international data
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1993
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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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.
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.
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.
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