2 citations · 3 across the 4 of their papers we have counts for
6 papers
Monitoring the pandemic: A fractional filter for the COVID-19 contact rate
Tobias Hartl
This paper aims to provide reliable estimates for the COVID-19 contact rate of a Susceptible-Infected-Recovered (SIR) model. From observable data on confirmed, recovered, and decea…
Fractional trends and cycles in macroeconomic time series
Tobias Hartl, Rolf Tschernig, Enzo Weber
We develop a generalization of correlated trend-cycle decompositions that avoids prior assumptions about the long-run dynamic characteristics by modelling the permanent component a…
Fractional trends in unobserved components models
Tobias Hartl, Rolf Tschernig, Enzo Weber
We develop a generalization of unobserved components models that allows for a wide range of long-run dynamics by modelling the permanent component as a fractionally integrated proc…
Macroeconomic Forecasting with Fractional Factor Models
Tobias Hartl
We combine high-dimensional factor models with fractional integration methods and derive models where nonstationary, potentially cointegrated data of different persistence is model…
Multivariate Fractional Components Analysis
Tobias Hartl, Roland Weigand
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…
Approximate State Space Modelling of Unobserved Fractional Components
Tobias Hartl, Roland Weigand
We propose convenient inferential methods for potentially nonstationary multivariate unobserved components models with fractional integration and cointegration. Based on finite-ord…