ZusammenfassungDie Autoren erklären den bisherigen Verlauf von Covid-19 in Deutschland durch Regressionsanalysen und epidemiologische Modelle. Sie beschreiben und quantifizieren den Effekt der gesundheitspolitischen Maßnahmen (GPM), die bis zum 19. April in Kraft waren. Sie berechnen den erwarteten Verlauf der Covid-19-Epidemie in Deutschland, wenn es diese Maßnahmen nicht gegeben hätte, und zeigen, dass die GPM einen erheblichen Beitrag zur Reduktion der Infektionszahlen geleistet haben. Die seit 20. April gelockerten GPM sind zwischen den Bundesländern relativ heterogen, was ein Glücksfall für die Wissenschaft ist. Mittels einer Analyse dieser Heterogenität kann aufgedeckt werden, welche Maßnahmen für eine Bekämpfung einer eventuellen zweiten Infektionswelle besonders hilfreich und besonders schädlich sind.
We propose convenient inferential methods for potentially nonstationary multivariate unobserved components models with fractional integration and cointegration. Based on finite-order ARMA approximations in the state space representation, maximum likelihood estimation can make use of the EM algorithm and related techniques. The approximation outperforms the frequently used autoregressive or moving average truncation, both in terms of computational costs and with respect to approximation quality. Monte Carlo simulations reveal good estimation properties of the proposed methods for processes of different complexity and dimension.
We propose a setup for fractionally cointegrated time series which is formulated in terms of latent integrated and short-memory components. It accommodates nonstationary processes with different fractional orders and cointegration of different strengths and is applicable in high-dimensional settings. In an application to realized covariance matrices, we find that orthogonal short-and long-memory components provide a reasonable fit and competitive out-of-sample performance compared to several competing methods.
We propose a setup for fractionally cointegrated time series which is formulated in terms of latent integrated and short-memory components. It accommodates nonstationary processes with different fractional orders and cointegration of different strengths and is applicable in high-dimensional settings. In an application to realized covariance matrices, we find that orthogonal short- and long-memory components provide a reasonable fit and competitive out-of-sample performance compared with several competing methods.
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