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Banbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2007

This paper assesses the performance of Bayesian Vector Autoregression (BVAR) for models of different size. We consider standard specifications in the macroeconomic literature based on, respectively, three and eight variables and compare results with those obtained by larger models containing...

Persistent link: https://www.econbiz.de/10005666834

The Generalized Dynamic Factor Model: Identification and Estimation

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1999

This paper analyzes identification conditions, and proposes an estimator, for a dynamic factor model where the idiosyncratic components are allowed to be mutually non-orthogonal. This model, which we call the generalized dynamic factor model, is novel to the literature, and generalizes the...

Persistent link: https://www.econbiz.de/10005667125

Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002

The Paper uses a large data set, consisting of 447 monthly macroeconomic time series concerning the main countries of the Euro area to simulate out-of-sample predictions of the Euro area industrial production and the harmonized inflation index and to evaluate the role of financial variables in...

Persistent link: https://www.econbiz.de/10005789173

Empirics for Growth and Distribution: Stratification, Polarization, and Convergence Clubs

Quah, Danny - C.E.P.R. Discussion Papers - 1997

This paper studies cross-country patterns of economic growth from the viewpoint of income distribution dynamics. Such a perspective raises new empirical and theoretical issues in growth analysis: the profound empirical regularity is an ‘emerging twin peaks’ in the cross-sectional...

Persistent link: https://www.econbiz.de/10005792305

Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach

Giannone, Domenico; Lenza, Michele; Momferatou, Daphne; … - C.E.P.R. Discussion Papers - 2010

In this paper, we construct a large Bayesian Vector Autoregressive model (BVAR) for the Euro Area that captures the complex dynamic inter-relationships between the main components of the Harmonized Index of Consumer Price (HICP) and their determinants. The model is estimated using Bayesian...

Persistent link: https://www.econbiz.de/10008468558

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2009

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US time series with the most promising existing alternatives, namely, factor...

Persistent link: https://www.econbiz.de/10008528528

The Generalized Dynamic Factor Model: Representation Theory

Forni, Mario; Lippi, Marco - C.E.P.R. Discussion Papers - 2000

This paper, along with the companion paper Forni, Hallin, Lippi and Reichlin (1999), introduces a new model-the generalized dynamic factor model-for the empirical analysis of financial and macroeconomic data sets characterized by a large number of observations both cross-section and over time....

Persistent link: https://www.econbiz.de/10005123749

Reference Cycles: The NBER Methodology Revisited

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2000

This paper proposes a new way to compute a coincident and a leading index of economic activity. The method provides a unified approach for the selection of the coincident and the leading variables, for averaging them into coincident and leading indexes and for the identification of turning...

Persistent link: https://www.econbiz.de/10005136502

Common Drifting Volatility in Large Bayesian VARs

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2012

The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...

Persistent link: https://www.econbiz.de/10011083279

Factor Analysis with Large Panels of Volatility Proxies

Ghysels, Eric - C.E.P.R. Discussion Papers - 2014

idiosyncratic errors of the panel. A remarkable result emerges. Under suitable regularity conditions the traditional principal …-sectional driven criteria suffice for consistent estimation of the number of factors, which is different from the traditional panel … data results. Finally, we also show that the panel data estimates improve upon the individual volatility estimates. …

Persistent link: https://www.econbiz.de/10011083764

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