Censored Latent E ects Autoregression , with an Application to US Unemployment

نویسندگان

  • Philip Hans Franses
  • Richard Paap
چکیده

A new time series model is proposed to describe observed asymmetries in postwar unemployment data. We assume that recession periods, when unemployment increases rapidly, are caused by unobserved positive shocks. The generating mechanism of these latent shocks is a censored regression model, where linear combinations of lagged explanatory variables lead to positive shocks, while otherwise shocks are equal to zero. We apply our censored latent e ects autoregression [CLEAR] to monthly US unemployment, where the positive shocks are found to depend on lagged oil prices, industrial production, the term structure of interest rates and a stock market index. The model ts the data well, and its out-of-sample forecasts appear to outperform those from alternative models.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Censored Latent Eeects Autoregression, with an Application to Us Unemployment

A new time series model is proposed to describe observed asymmetries in postwar unemployment data. We assume that recession periods, when unemployment increases rapidly, are caused by unobserved positive shocks. The generating mechanism of these latent shocks is a censored regression model, where linear combinations of lagged explanatory variables lead to positive shocks, while otherwise shocks...

متن کامل

Common Large Innovations Across Nonlinear Time Series

We propose a multivariate nonlinear econometric time series model, which can be used to examine if there is common nonlinearity across economic variables. The model is a multivariate censored latent effects autoregression. The key feature of this model is that nonlinearity appears as separate innovation-like variables. Common nonlinearity can then be easily defined as the presence of common inn...

متن کامل

Do the Us and Canada Have a Common Nonlinear Cycle in Unemployment?

To enable answering the question in the title, we introduce a bivariate censored latent eeects autoregression, and discuss representation, parameter estimation, di-agnostics and inference. We show that this bivariate nonlinear model is very useful for examining common nonlinearity. We apply the model to the monthly unemployment rate in the US and Canada to examine if these variables have common...

متن کامل

Integration and Search Unemployment: An Analysis of Eastern EU Enlargement¤ by Christian KEUSCHNIGG University of Saarland, CEPR and CESifo

The paper developes a uni...ed general equilibrium model that merges three basic building blocks of intertemporal macroeconomics: savings with overlapping generations, capital accumulation and search unemployment. Long-run analytical results for the small open economy show that the e¤ects of integration on unemployment depend on the nature of wage taxation and unemployment compensation. As a se...

متن کامل

A Bayesian Semiparametric Competing Risk Model with Unobserved Heterogeneity

This paper generalizes existing econometric models for censored competing risks by introducing a new flexible specification based on a piecewise linear baseline hazard, time-varying regressors, and unobserved individual heterogeneity distributed as an infinite mixture of Generalized Inverse Gaussian (GIG) densities, nesting the gamma kernel as a special case. A common correlated latent time eff...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 1998