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Long-run links among money, prices, and output : world-wide evidence

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

analyse this topic by means of a P-star model. Based on the quantity theory of money, this approach explains inflation via a …. Moreover, parameter restrictions for the long-run relationships implied by the monetary theory are tested. Country specific P … Preisniveau und dem realen Output testet. Weiterhin werden die Parameterrestriktionen, die sich durch die monet¨are Theorie …

Persistent link: https://www.econbiz.de/10011419407

Testing for structural breaks in dynamic factor models

Breitung, Jörg; Eickmeier, Sandra - 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/10003815484

Dynamic factor models

Breitung, Jörg (contributor); Eickmeier, Sandra (contributor) - 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/10003227088

Real-time forecasting of GDP based on a large factor model with monthly and quarterly data

Schumacher, Christian (contributor); … - 2006

This paper discusses a factor model for estimating monthly GDP using a large number of monthly and quarterly time series in real-time. To take into account the different periodicities of the data and missing observations at the end of the sample, the factors are estimated by applying an EM...

Persistent link: https://www.econbiz.de/10003383602