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Mathematics

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Structural time-series modelling of monetary aggregates: a case study for eleven European countries

Article Abstract:

The usage of asymptotic least squares (ALS) in the estimation of the parameters of structural time-series models yields positive experimental results. In the analysis of the monetary aggregates of eleven European countries using structural time-series methodology, the ALS procedure yielded a maximum likelihood estimate result that is comparable to the widely used estimation process of Kalman filter. The positive result of ALS procedure in estimating the four variance parameters of the model makes it a an alternative to the Kalman filter estimation.

Economics, Research and Development in the Social Sciences and Humanities, Models, Analysis, Case studies, European Union, Estimation theory, Structural frames

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Bayesian analysis of vector ARMA models using Gibbs sampling

Article Abstract:

Vector autoregressive moving-average (VARMA) models for multiple time series are used to include relationships between series and within series. A study that presented a methodology for estimation, prediction and model assessment of VARMA models in the Bayesian framework was conducted using Markov chain Monte Carlo algorithms. Incorporation of parameter restrictions, like stationary restrictions or zero constraints by suitable prior specifications, are permitted in the sampling-based Bayesian framework.

Gibbs' equation, Parameter estimation

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Model selection and forecasting for long-range dependent processes

Article Abstract:

The effects of model selection and estimation procedures on forecasts of long-range dependent processes made from estimated autoregressive moving-average (ARMA) and fractionally integrated autoregressive moving-average (ARFIMA) models are assessed and compared using a large-scale simulation study. Results include observations on the frequency of matches between selected and generating models.

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