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Entry, Exit, Firm Dynamics, and Aggregate Fluctuations
Clementi, Gian Luca; Palazzo, Dino - Rimini Centre for Economic Analysis (RCEA) - 2010
results in greater persistence and unconditional variation of aggregate time-series. In the aftermath of a positive …
Persistent link: https://www.econbiz.de/10008675793
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Errors-in-Variables Estimation with No Instruments
Gencay, Ramazan; Gradojevic, Nikola - Rimini Centre for Economic Analysis (RCEA) - 2009
This paper develops a wavelet (spectral) approach to estimate the parameters of a linear regression model where the regressand and the regressors are persistent processes and contain a measurement error. We propose a wavelet filtering approach which does not require instruments and yields...
Persistent link: https://www.econbiz.de/10008487529
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Large Time-Varying Parameter VARs
Koop, Gary; Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2012
In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …
Persistent link: https://www.econbiz.de/10010540685
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Factor Analysis of a Large DSGE Model
Onatski, Alexei; Ruge-Murcia, Francisco J. - Rimini Centre for Economic Analysis (RCEA) - 2010
We study the workings of the factor analysis of high-dimensional data using arti…cial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allow us to shed some light on the practical...
Persistent link: https://www.econbiz.de/10008751298
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The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies
Papailias, Fotis; Thomakos, Dimitrios D. - Rimini Centre for Economic Analysis (RCEA) - 2013
-to-medium term forecasting performance are investigated. We show that the BDI has a cyclical pattern which has been stable except for … a period after the 2007 crisis. This pattern has implications for improved forecasting and strategic management on the …
Persistent link: https://www.econbiz.de/10010728023
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Optimal Prediction Pools
Geweke, John; Amisano, Gianni - Rimini Centre for Economic Analysis (RCEA) - 2008
A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...
Persistent link: https://www.econbiz.de/10005091090
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Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration
Thomakos, Dimitrios D. - Rimini Centre for Economic Analysis (RCEA) - 2008
In this paper I propose a novel optimal linear ølter for smoothing, trend and signal extraction for time series with a unit root. The filter is based on the Singular Spectrum Analysis (SSA) methodology, takes the form of a particular moving average and is di¨erent from other linear filters...
Persistent link: https://www.econbiz.de/10005091110
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Spatial Panel Data Forecasting over Different Horizons, Cross-Sectional and Temporal Dimensions
Mayor, Matías; Patuelli, Roberto - Rimini Centre for Economic Analysis (RCEA) - 2013
Empirical assessments of the forecasting power of spatial panel data econometric models are still scarcely available … test different forecasting horizons, in order to investigate the speed of deterioration of forecasting quality. We compare … appears to diminish as the forecasting horizon widens, eventually leading the SF model to being preferred for more distant …
Persistent link: https://www.econbiz.de/10010734921
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Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model
Bekiros, Stelios D.; Paccagnini, Alessia - Rimini Centre for Economic Analysis (RCEA) - 2013
monetary policy analysis and macro-forecasting with the use of advanced Bayesian methods. …
Persistent link: https://www.econbiz.de/10010656010
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Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors
Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2011
– 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …
Persistent link: https://www.econbiz.de/10009000949