We provide a joint account of the unemployment and labor force participation patterns of older male workers during the past half-century, and of the role of institutions that have shaped their employment experience. To do so, we build an equilibrium model with labor market frictions,...

This paper studies the secular behavior of worker reallocation across occupations in the US labor market. In the empirical analysis, we use 45 years of microdata to construct consistent time-series and document that the fraction of employment reallocated annually across occupations is remarkably...

This paper describes how we constructed a real-time database for the euro area covering more than 200 series regularly published in the European Central Bank Monthly Bulletin, as made available ahead of publication to the Governing Council members before their first meeting of the month. We...

This paper analyses the use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity. In particular, we focus on situations where many weak instruments exist and/or the factor structure is weak. Theoretical results, simulation experiments and...

As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, cointegration and dynamic factor models, and has several conceptual...

The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic...

This paper shows consistency of a two step estimator of the parameters of a dynamic approximate factor model when the panel of time series is large (n large). In the first step, the parameters are first estimated from an OLS on principal components. In the second step, the factors are estimated...

This paper considers quasi-maximum likelihood estimations of a dynamic approximate factor model when the panel of time series is large. Maximum likelihood is analyzed under different sources of misspecification: omitted serial correlation of the observations and cross-sectional correlation of...

This paper brings together several important strands of the econometrics literature: error-correction, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the factors estimated from a large set of variables in levels are jointly...

This paper introduces a new indicator of core inflation for New Zealand, estimated using a dynamic factor model and disaggregate consumer price data. Using disaggregate consumer price data we can directly compare the predictive performance of our core indicator with a wide range of other ‘core...