• Are Real Wages Rigid Downwards? 

      Holden, Steinar; Wulfsberg, Fredrik (Working Papers;1/2007, Working paper, 2007)
      This paper explores the existence of downward real wage rigidity (DRWR) in 19 OECD countries, over the period 1973–1999, using data for hourly nominal earnings at industry level. Based on a nonparametric statistical method, ...
    • Bootstrapping the Likelihood Ratio Cointegration Test in Error Correction Models with Unknown Lag Order 

      Kascha, Christian; Trenkler, Carsten (Working Papers;12/2009, Working paper, 2009)
      We investigate the small-sample size and power properties of bootstrapped likelihood ratio systems cointegration tests via Monte Carlo simulations when the true lag order of the data generating process is unknown. A recursive ...
    • Business Cycle Analysis and VARMA Models 

      Kascha, Christian; Mertens, Karel (Working Papers;5/2008, Working paper, 2008)
      Can long-run identified structural vector autoregressions (SVARs) discriminate between competing models in practice? Several authors have suggested SVARs fail partly because they are finite-order approximations to ...
    • Combination Schemes for Turning Point Predictions 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;4/2012, Working paper, 2012)
      We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning ...
    • Combining Predictive Densities Using Bayesian Filtering with Applications to Us Economics Data 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;29/2010, Working paper, 2010)
      Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach ...
    • Downward Nominal Wage Rigidity in the OECD 

      Holden, Steinar; Wulfsberg, Fredrik (Working Papers;5/2004, Working paper, 2004)
      This paper explores the existence of downward nominal wage rigidity (DNWR) in 19 OECD countries, over the period 1973–1999, using data for hourly nominal wages at industry level. Based on a novel nonparametric statistical ...
    • Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance 

      Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;12/2015, Working paper, 2015)
      A Bayesian nonparametric predictive model is introduced to construct time-varying weighted combinations of a large set of predictive densities. A clustering mechanism allocates these densities into a smaller number of ...
    • Interactions Between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;20/2013, Working paper, 2013)
      Interactions between the eurozone and US booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model ...
    • Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting 

      McAlinn, Kenichiro; Aastveit, Knut Are; Nakajima, Jouchi; West, Mike (Working Paper;2/2019, Working paper, 2019)
      We present new methodology and a case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the foundational BPS framework to the multivariate setting, ...
    • Oil Price Density Forecasts: Exploring the Linkages with Stock Markets 

      Lombardi, Marco J.; Ravazzolo, Francesco (Working Papers;24/2012, Working paper, 2012)
      In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims ...
    • Simulating Forward-Looking Models 

      Kolsrud, Dag (Working Papers;9/2001, Working paper, 2001)
      The solutions of a macroeconometricmodel with expectations of future-dated variables has to be approximated by numerical simulations. A brief review of deterministic and stochastic dynamic simulations of a backward-looking ...
    • Wage Rigidity, Institutions, and Inflation 

      Holden, Steinar; Wulfsberg, Fredrik (Working Papers;2/2009, Working paper, 2009)
      A number of recent studies have documented extensive downward nominal wage rigidity (DNWR) for job stayers in many OECD countries. However, DNWR for individual workers may induce downward rigidity or “a floor” for the ...