Forecasting, structural time series models and the kalman filter

Harvey, Andrew

doi:10.1002/wilm.42820020109

Cited by 387 publications

(643 citation statements)

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“…If τ i were known for each segment then it would be straightforward to apply our direct simulation method, using the Kalman Filter (Harvey, 1989) to integrate out the underlying signal. To incorporate a prior on τ i we resort to numerical integration to calculate the P (t, s) values required by our algorithm.…”

Section: Alternative Modelsmentioning

confidence: 99%

Exact and efficient Bayesian inference for multiple changepoint problems

2006

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Summary We demonstrate how to perform direct simulation from the posterior distribution of a class of multiple changepoint models where the number of changepoints is unknown. The class of models assumes independence between the posterior distribution of the parameters associated with segments of data between successive changepoints. This approach is based on the use of recursions, and is related to work on product partition models. The computational complexity of the approach is quadratic in the number of observations, but an approximate version, which introduces negligible error, and whose computational cost is roughly linear in the number of observations, is also possible. Our approach can be useful, for example within an MCMC algorithm, even when the independence assumptions do not hold. We demonstrate our approach on well-log data. Our method can cope with a range of models for this data, and exact simulation from the posterior distribution is possible in a matter of minutes.

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Section: Alternative Modelsmentioning

confidence: 99%

Exact and efficient Bayesian inference for multiple changepoint problems

2006

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“…The standard errors (SE) for the QML are computed by pre-and post-multiplying the variance of the score by the inverse of the Hessian matrix, as outlined in Harvey (1989). The SE for the ML estimates are obtained as the inverse of the variance for the concentrated score function.…”

Section: Maximum Likelihood Estimation In the One-step Approachmentioning

confidence: 99%

“…One-step approach Bank of Canada yields Svensson (1995) This table reports the estimated parameters (Est) in the B-AFNS model with independent factors and their standard errors (SE) using either the one-step or the two-step approach. The SE are in all cases computed by pre-and post-multiplying the variance of the score by the inverse of the Hessian matrix, as outlined in Harvey (1989). The data are monthly and cover the period from January 31, 2000, to April 29, 2016. even during episodes of near-zero interest rates (see, e.g., Swanson and Williams (2014)).…”

Section: A Shadow-rate Modelmentioning

confidence: 99%

Term Structure Analysis with Big Data

Andreasen¹,

Christensen²,

Rudebusch³

2017

ERWP

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Analysis of the term structure of interest rates almost always takes a two-step approach.First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and second, a small set of these yields are used as the source data for further empirical examination. In contrast, we consider the advantages of a one-step approach that directly analyzes the universe of bond prices. To illustrate the feasibility and desirability of the onestep approach, we compare arbitrage-free dynamic term structure models estimated using both approaches. We also provide a simulation study showing that a one-step approach can extract the information in large panels of bond prices and avoid any arbitrary noise introduced from a first-stage interpolation of yields.JEL Classification: C55, C58, G12, G17

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“…Evidenciam-se, dessa forma, mudanças no comportamento da tendência estimada a partir de quebras estruturais de nível ou de declividade e, ao mesmo tempo, nos outros componentes não observados. Para maiores detalhes, ver Harvey (1989) A comparação da média estimada da tendência do saldo da BC, após os efeitos da crise econômica de 2009, com esse mesmo indicador no período que se inicia no mês de janeiro de 1990 até a quebra de nível da tendência provocada pelo Plano Real, indica um valor 50% maior que o encontrado no início da década de 1990, sendo que a atual conjuntura de crescimento da demanda interna é significativamente mais favorável. Nota-se, também, que há dois meses em que o saldo observado da BC ficou deficitário -janeiro de 2009 e de 2010 -o que é explicado, principalmente, pela sazonalidade do saldo da BC 7 .…”

Section: "Doença Holandesa" E Os Saldos Comerciaisunclassified

Desindustrialização e comércio exterior: evidências recentes para o Brasil

Cunha

Fligenspan

2013

Rev. Econ. Polit.

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Desindustrialização e comércio exterior: evidências recentes para o BrasilAnDRé mOREIRA CUnHA mARCOS TADEU CAPUTI LELIS fLAVIO BEnEVETT fLIgEnSPAn* De-industrialization and foreign trade: recent evidences to Brazil. This paper analyses the behavior of the Brazilian manufacturing sector during the 2000's. We test the hypothesis of early de-industrialization induced by foreign trade. our results show a mixed picture: although we showed signs of early de-industrialization induced by foreign trade, at the same time, we found evidence that Brazilian entrepreneurs have reduced manufacturing exports during internal market boom between 2004 and 2010. This fact determines the deterioration of trade balance of the manufacturing sector and justifies worries on long-term perspectives for Brazilian economy.

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Forecasting, structural time series models and the kalman filter

Cited by 387 publications

References 0 publications

Exact and efficient Bayesian inference for multiple changepoint problems

Exact and efficient Bayesian inference for multiple changepoint problems

Term Structure Analysis with Big Data

Desindustrialização e comércio exterior: evidências recentes para o Brasil

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