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Real-time inflation forecasting in a changing world

Groen, Jan J. J.; Paap, Richard; Ravazzolo, Francesco - Federal Reserve Bank of New York - 2009

different regression specifications selected from a set of potential predictors. The set of predictors includes lagged values of … allow for stochastic breaks in regression parameters, where the breaks are described as occasional shocks of random …

Persistent link: https://www.econbiz.de/10005078430

Commodity prices, commodity currencies, and global economic developments

Groen, Jan J. J.; Pesenti, Paolo A. - Federal Reserve Bank of New York - 2009

partial least squares (PLS) regression to extract dynamic factors from the data set. Our forecasting analysis considers ten …

Persistent link: https://www.econbiz.de/10005078431

Parsimonious estimation with many instruments

Groen, Jan J. J.; Kapetanios, George - Federal Reserve Bank of New York - 2009

We suggest a way to perform parsimonious instrumental variables estimation in the presence of many, and potentially weak, instruments. In contrast to standard methods, our approach yields consistent estimates when the set of instrumental variables complies with a factor structure. In this sense,...

Persistent link: https://www.econbiz.de/10005078436

An expanded, cointegrated model of U.S. trade

Hickok, Susan A.; Hung, Juann H.; Wulfekuhler, Kurt C. - Federal Reserve Bank of New York - 1991

Persistent link: https://www.econbiz.de/10005387358

Consistent covariance matrix estimation in probit models with autocorrelated errors

Estrella, Arturo; Rodrigues, Anthony P. - Federal Reserve Bank of New York - 1998

Some recent time-series applications use probit models to measure the forecasting power of a set of variables. Correct inferences about the significance of the variables requires a consistent estimator of the covariance matrix of the estimated model coefficients. A potential source of...

Persistent link: https://www.econbiz.de/10005526284

Model selection criteria for factor-augmented regressions

Groen, Jan J. J.; Kapetanios, George - Federal Reserve Bank of New York - 2009

In a factor-augmented regression, the forecast of a variable depends on a few factors estimated from a large number of … predictors. But how does one determine the appropriate number of factors relevant for such a regression? Existing work has … within a factor-augmented regression. This paper develops a number of theoretical conditions that selection criteria must …

Persistent link: https://www.econbiz.de/10005420506

Time-varying structural vector autoregressions and monetary policy: a corrigendum

Negro, Marco Del; Primiceri, Giorgio - Federal Reserve Bank of New York - 2013

This note corrects a mistake in the estimation algorithm of the time-varying structural vector autoregression model of Primiceri (2005) and proposes a new algorithm that correctly applies the procedure proposed by Kim, Shephard, and Chib (1998) to the estimation of VAR or DSGE models with...

Persistent link: https://www.econbiz.de/10010659552

Efficient, regression-based estimation of dynamic asset pricing models

Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - Federal Reserve Bank of New York - 2011

We study regression-based estimators for beta representations of dynamic asset pricing models with affine and … settings where prices of risk vary with observed state variables. We identify conditions under which four-stage regression …

Persistent link: https://www.econbiz.de/10009024085

Pricing the term structure with linear regressions

Adrian, Tobias; Moench, Emanuel - Federal Reserve Bank of New York - 2008

We estimate the time series and cross section of bond returns by way of three-stage ordinary least squares, which we label dynamic Fama-MacBeth regressions. Our approach allows for estimation of models with a large number of pricing factors. Even though we do not impose yield cross-equation...

Persistent link: https://www.econbiz.de/10005726598