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Measuring business cycles with structural breaks and outliers : applications to international data ☆

Perron, Pierre; Wada, Tatsuma - In: Research in economics : an international review of economics 70 (2016) 2, pp. 281-303

Persistent link: https://www.econbiz.de/10011631146

Chapter 8. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics

Stock, J.H.; Watson, M.W. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 415-525). 2016

This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses … chapter provides a unification of SVARs, FAVARs, and structural DFMs and shows both in theory and through an empirical …

Persistent link: https://www.econbiz.de/10014024278

Why are Bayesian trend-cycle decompositions of US real GDP so different?

Kim, Jaeho; Chon, Sora - In: Empirical economics : a journal of the Institute for … 58 (2020) 3, pp. 1339-1354

Persistent link: https://www.econbiz.de/10012219585

Reconciling output gaps : unobserved components model and Hodrick-Prescott filter

Grant, Angelia L.; Chan, Joshua - In: Journal of economic dynamics & control 75 (2017), pp. 114-121

Persistent link: https://www.econbiz.de/10011817152

An analysis of the time-varying behavior of the equilibrium velocity of money in the euro area

Camarero Olivas, Mariam; Sapena, Juan; Tamarit … - In: Recent econometric techniques for macroeconomic and …, (pp. 113-146). 2021

-space framework for modeling the velocity of circulation. Our specification allows for the estimation of different autoregressive …

Persistent link: https://www.econbiz.de/10012395397

Forecasting and nowcasting economic growth in the euro area using factor models

Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - In: International journal of forecasting 32 (2016) 4, pp. 1284-1305

Persistent link: https://www.econbiz.de/10011622152

Daily news sentiment and monthly surveys : a mixed-frequency dynamic factor model for nowcasting consumer confidence

Algaba, Andres; Borms, Samuel; Boudt, Kris; Verbeken, Brecht - In: International journal of forecasting 39 (2023) 1, pp. 266-278

Persistent link: https://www.econbiz.de/10014462779

A latent factor model for forecasting realized variances

Calzolari, Giorgio; Halbleib, Roxana; Zagidullina, Aygul - In: Journal of financial econometrics 19 (2021) 5, pp. 860-909

Persistent link: https://www.econbiz.de/10012799052

Nowcasting GDP with a pool of factor models and a fast estimation algorithm

Eraslan, Sercan; Schröder, Maximilian - In: International journal of forecasting 39 (2023) 3, pp. 1460-1476

Persistent link: https://www.econbiz.de/10014465295

Structural changes in high dimensional factor models

Bai, Jushan; Han, Xu - In: Frontiers of economics in China : selected publications … 11 (2016) 1, pp. 9-39

Persistent link: https://www.econbiz.de/10011473561

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