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Likelihood-based analysis for dynamic factor models

Jungbacker, Borus; Koopman, Siem Jan - 2008

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

Persistent link: https://www.econbiz.de/10011373811

Forecasting aggregate productivity using information from firm-level data

Bartelsman, Eric J.; Wolf, Zoltán - 2009

explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

Persistent link: https://www.econbiz.de/10011378362

Forecasting with vector autoregressive models of data vintages : US output growth and inflation

Clements, Michael P.; Galvão, Ana Beatriz C. - In: International journal of forecasting 29 (2013) 4, pp. 698-714

Persistent link: https://www.econbiz.de/10010221301

Now-casting inflation using high frequency data

Modugno, Michele - In: International journal of forecasting 29 (2013) 4, pp. 664-675

Persistent link: https://www.econbiz.de/10010221306

Nowcasting US GDP : the role of ISM business surveys

Lahiri, Kajal; Monokroussos, George - In: International journal of forecasting 29 (2013) 4, pp. 644-658

Persistent link: https://www.econbiz.de/10010221312

Linear time-varying regression with a DCC-GARCH model for volatility

Kim, Jong-Min; Jung, Hojin; Qin, Li - In: Applied economics 48 (2016) 16/18, pp. 1573-1582

Persistent link: https://www.econbiz.de/10011456689

Would information on consumer confidence have helped to predict UK household expenditure during the recent economic crisis?

Gausden, Robert; Hasan, Mohammad S. - In: Applied economics 48 (2016) 16/18, pp. 1695-1709

Persistent link: https://www.econbiz.de/10011456726

Balance sheets of financial intermediaries : do they forecast economic activity?

Sekkel, Rodrigo - In: International journal of forecasting 31 (2015) 2, pp. 263-275

Persistent link: https://www.econbiz.de/10011474047

Macroeconomic information, structural change, and the prediction of fiscal aggregates

Carriero, Andrea; Mumtaz, Haroon; Theophilopoulou, Angeliki - In: International journal of forecasting 31 (2015) 2, pp. 325-348

Persistent link: https://www.econbiz.de/10011474102

Using financial indicators to predict turning points in the business cycle : the case of the leading economic index for the United States

Levanon, Gad; Manini, Jean-Claude; Ozyildirim, Ataman; … - In: International journal of forecasting 31 (2015) 2, pp. 399-425

Persistent link: https://www.econbiz.de/10011474152

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