Monday, August 12, 2024

Estimation of Local Linear Trend via Kalman Filter

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Authors and guest post by Eren Ocakverdi This blog piece intends to introduce a new add-in (i.e. LOCALLINEAR ) that estima...
Monday, August 5, 2024

Seasonal Adjustment in EViews 14 – Calendar Variables and Lunar New Year

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In our previous blog post we examined how JDemetra+ can be used to perform seasonal adjustment in EViews, producing results ide...
Thursday, August 1, 2024

Seasonal Adjustment in EViews 14 – Comparing X-13 and JDemetra+

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Seasonal Adjustment is a mainstay of modern macro-economic analysis. Many economic time series exhibit seasonal fluctuations tha...
Friday, February 9, 2024

Generalized Autoregressive Score (GAS) approach to univariate GARCH Models

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Authors and guest post by Eren Ocakverdi This blog piece intends to introduce a new add-in (i.e. GASMODELU ) that estimates ...
Wednesday, November 29, 2023

From Bańbura et al. (2010) to Cascaldi-Garcia’s (2022) Pandemic Priors

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Authors and guest post by Ole Rummel and Davaajargal Luvsannyam This is the second in a series of blog posts that will pre...
Wednesday, September 27, 2023

Principal Component Analysis for Nonstationary Series

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Authors and guest post by Eren Ocakverdi This blog piece intends to introduce a new add-in (i.e. HXPRINCOMP ) that impleme...
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Monday, September 11, 2023

Nowcasting US GDP During Covid-19 using Factor Augmented MIDAS

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The COVID-19 pandemic sent waves through the global economy, triggering a macroeconomic shock and caused unprecedented challeng...