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Testing for structural breaks in dynamic factor models

Breitung, Jörg; Eickmeier, Sandra - Deutsche Bundesbank - 2009

From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks....

Persistent link: https://www.econbiz.de/10005083187

Unit roots and cointegration in panels

Breitung, Jörg; Pesaran, Mohammad Hashem - Deutsche Bundesbank - 2005

degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the …

Persistent link: https://www.econbiz.de/10005083230

Dynamic factor models

Breitung, Jörg; Eickmeier, Sandra - Deutsche Bundesbank - 2005

Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an...

Persistent link: https://www.econbiz.de/10005083092

A Vectorautoregressive Investment Model (VIM) and Monetary Policy Transmission: Panel Evidence from German Firms

von Kalckreuth, Ulf; Chirinko, Robert S.; Breitung, Jörg - Deutsche Bundesbank - 2003

investment spending as a VAR. Based on a panel of financial statement data for 6,408 German firms (44,345 datapoints … substantive conclusions, this paper demonstrate that the panel VAR approach is useful for modeling firm dynamics and real … Ergebnissen zeigt das Papier, dass der Panel VAR-Ansatz für die Modellierung der unternehmerischen Dynamik, der Interaktion von …

Persistent link: https://www.econbiz.de/10005083170

Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?

De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - Deutsche Bundesbank - 2006

This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...

Persistent link: https://www.econbiz.de/10005083173

The evolution of economic convergence in the European Union

Borsi, Mihály Tamás; Metiu, Norbert - Deutsche Bundesbank - 2013

This paper investigates economic convergence in real income per capita between 27 European Union countries. We employ a non-linear latent factor framework to study transitional behavior among economies between 1970 and 2010. Our results offer important insights on the economic catch-up exhibited...

Persistent link: https://www.econbiz.de/10010984716