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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

factor model of Chamberlain (1983) and Chamberlain and Rothschild (1983) by allowing serial correlation within and across …

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

consideration the cross-country as well as the within-country correlation structure. …

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

continuous record or in-fill asymptotics (h ? 0) allows us to control the cross-sectional and serial correlation among the … 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 …

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

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Banbura, Marta; Giannone, Domenico; Lenza, Michele - C.E.P.R. Discussion Papers - 2014

This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...

Persistent link: https://www.econbiz.de/10011084028

Bayesian VARs with Large Panels

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

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