Showing 1 - 10 of 71
In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitory components with QGARCH disturbances. This model distinguishes whether the long-run or short-run components are heteroscedastic. Furthermore, the uncertainty associated with these components may...
Persistent link: https://www.econbiz.de/10005022265
The recent economic crisis has altered the dynamics of economic series and, as a consequence, introduced uncertainty in seasonal adjustment of recent years. This problem was discussed in recent workshops at the European Central Bank and at Eurostat in the context of adjustment of the Euro Area...
Persistent link: https://www.econbiz.de/10009275521
The asymptotic efficiency of indirect estimation methods, such as the efficient method of moments and indirect inference, depends on the choice of the auxiliary model. To date, this choice has been somewhat ad hoc and based on an educated guess. In this article we introduce a class of...
Persistent link: https://www.econbiz.de/10010862251
This paper "tests" the performance of the approaches of Watson (1993), DeJong, Ingram and Whiteman (1996), Canova and De Nicolo (1995) and Ortega (1998) for evaluating stochastic dynamic general equilibrium models using Monte Carlo techniques. It asks: Do different model evaluation methodologies...
Persistent link: https://www.econbiz.de/10005155240
We investigate identifiability issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model impulse responses. Observational equivalence, partial and weak identification problems are...
Persistent link: https://www.econbiz.de/10005155307
We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-variance-skewness frontier in closed form, and show that it...
Persistent link: https://www.econbiz.de/10004969776
We derive Lagrange Multiplier and Likelihood Ratio specifi cation tests for the null hypotheses of multivariate normal and Student t innovations using the Generalised Hyperbolic distribution as our alternative hypothesis. We decompose the corresponding Lagrange Multiplier-type tests into...
Persistent link: https://www.econbiz.de/10008495372
This paper proposes the use of dynamic factor models as an alternative to the VAR-based tools for the empirical validation of dynamic stochastic general equilibrium (DSGE) theories. Along the lines of Giannone et al. (2006), we use the state-space parameterisation of the factor models proposed...
Persistent link: https://www.econbiz.de/10008620575
We examine the finite-sample performance of small versus large scale dynamic factor models. Our Monte Carlo analysis reveals that small scale factor models out-perform large scale models in factor estimation and forecasting for high levels of cross-correlation across the idiosyncratic errors of...
Persistent link: https://www.econbiz.de/10010862254
In this paper we propose a new real-time forecasting model for euro area GDP growth, D€STINY, which attempts to bridge the existing gap in the literature between large- and small-scale dynamic factor models. By adopting a disaggregated modelling approach, D€STINY uses most of the information...
Persistent link: https://www.econbiz.de/10010862260