In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Forecasting, Structural Time Series Models and the Kalman Filter

Energy consumption, real income and temporal causality: results from a multi-country study based on cointegration and error-correction modelling techniques

Die experimentelle Okonomie fuhrt typischerweise Labor-Untersuchungen durch, die mit homogenen und selektiven Versuchspersonen arbeiten. Reprasentative Surveys leiden hingegen unter Mesfehlern und der Frage, ob hypothetisches Verhalten, das erhoben wird, mit tatsachlichem Verhalten korrespondiert. Deswegen prasentieren wir eine Methode, mit der man die Schwachen beider Ansatze uberwindet, indem man Survey-Daten mit Experimenten kombiniert. Die von uns entwickelte Methode hat den Vorzug, dass sie es auf preiswerte Art und Weise erlaubt, Experimente, die die Interaktion zweier Personen erfordern, mit Standard-Surveys zu kombinieren, die auf der Unabhangigkeit der befragten Personen beruhen. Wir illustrieren die Moglichkeiten unserer Methodik mit einer Untersuchung uber Vertrauen und Vertrauenswurdigkeit in Deutschland, bei der eine reprasentative Umfrage mit einem Experiment uber eine Dilemma-Situation verbunden wurde. Unsere Resultate zeigen zum einen, dass nicht alle Survey-Fragen uber Vertrauen mit den Ergebnissen des Experiments korrelieren. Zum zweiten zeigen unsere Ergebnisse, dass altere Menschen (65 Jahre und alter), Hochqualifizierte und Personen, die in grosseren Haushalten leben, im Experiment unterdurchschnittlich Vertrauen offenbaren. Fur Auslander, Katholiken und die Anhanger der grosen Volksparteien finden wir uberdurchschnittliches Vertrauen. Vertrauenswurdigkeit bzw. Altruismus zeigen im Experiment Altere und Befragte mit gutem Gesundheitszustand. Unterdurchschnittliche Vertrauenswudigkeit bzw. Altruismus zeigen jungere Befragte (bis zu 35 Jahren), arbeitslos Gemeldete und Befragte ohne eine Parteineigung.

https://www.econstor.eu/bitstream/10419/20527/1/dp715.pdf

A Nation-Wide Laboratory: Examining Trust and Trustworthiness by Integrating Behavioral Experiments into Representative Surveys

On the temporal causal relationship between energy consumption, real income, and prices: Some new evidence from Asian-energy dependent NICs Based on a multivariate cointegration/vector error-correction approach

https://www.barcelonagse.eu/sites/default/files/working_paper_pdfs/215.pdf

Business cycles, unemployment insurance, and the calibration of matching models

. This paper provides a survey of some of the recent developments in the field of econometric modelling with cointegrated time series. In particular, we describe the testing and estimation procedures which have become increasingly popular in the recent applied literature. In addition to the ‘two-stage’ procedure proposed by Engle and Granger, we consider extensions to the modelling of dynamic models with cointegrated variables, such as the estimation of models with multiple cointegration vectors, simultaneous systems, models with seasonally integrated and cointegrated variables. Furthermore, we illustrate the practical application of the techniques describes in the paper by means of a tutorial data set.

Cointegration and dynamic time series models

This paper analyses the impact of asymmetric preferences with respect to inflation and output by policymakers on interest-rate reaction functions. A theoretical framework which makes it possible to identify the dominant type of asymmetry is developed and related to the precautionary demand of pol- icymakers for expansions and for low insation. Using data for some G7 economies, the paper shows that, except for Germany, nonlinear and asym- metric behaviour is present. A main Þnding is that where credibility-building and disinflation has already been achieved, the monetary authorities develop a greater precautionary demand for output expansions than for low inflation. This may generate a new type of inflation bias. Conversely, where credibility- building is still a concern for the authorities, managing the business cycle is dominated by concerns of the monetary authorities to keep inflation expec- tations low.

Do Central Banks have Precautionary Demands for Expansions and for Price Stability

This paper estimates VAR models to examine the response of monetary and fiscal policy to macroeconomic targets, and the interdependence between the two policy instruments. The models are estimated for a number of G7 countries. Our findings show that, whilst monetary and fiscal policy are increasingly used as strategic complements, the responsiveness of fiscal policy to the business cycle has decreased since the 1980s. We also demonstrate that shifts in the strategic interdependence between fiscal and monetary policy can be captured using Bayesian VAR models.

/pdf/monetary-and-fiscal-policy-interactions-over-the-cycle-some-4mbnm2n5y0.pdf

Monetary and Fiscal Policy Interactions over the Cycle: Some Empirical Evidence

This paper considers the issue of whether a small developing economy such as Hong Kong faces a perfectly elastic demand for its exports of manufactured goods. We construct a simultaneous demand and supply system which is estimated using Full Information Maximum Likelihood methods, and which allows us to clearly identify demand and supply factors in determining export volumes and prices. Our empirical findings differ from previous studies conducted with this data set in that they suggest that even a small dynamic newly industrialized economy such as Hong Kong may not face infinitely elastic demand for its manufactured goods. We also advance some reasons to explain why the 'small country assumption' may not be applicable in the case of most industrialized economies.

https://www.jstor.org/stable/info/2234801

Vito Muscatelli

Papers

Cointegration and dynamic time series models

Do Central Banks have Precautionary Demands for Expansions and for Price Stability

Monetary and Fiscal Policy Interactions over the Cycle: Some Empirical Evidence

Demand and Supply Factors in the Determination of NIE Exports: A Simultaneous Error-Correction Model for Hong Kong

A Simple and Flexible Alternative to Stability and Growth Pact Deficit Ceilings: Is it at Hand?