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Is there really a global business cycle? : a dynamic factor model with stochastic factor selection
Berger, Tino; Pozzi, Lorenzo - 2016
We investigate the presence of international business cycles in macroeconomic aggregates (output, consumption, investment) using a panel of 60 countries over the period 1961 - 2014. The paper presents a Bayesian stochastic factor selection approach for dynamic factor models with predetermined...
Persistent link: https://www.econbiz.de/10011556201
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Tracking growth and the business cycle : a stochastic common cycle model for the euro area
Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003
Persistent link: https://www.econbiz.de/10001792789
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Tracking growth and the business cycle : a stochastic common cycle model for the Euro area
Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003
This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...
Persistent link: https://www.econbiz.de/10011334364
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Closed-form multi-factor copula models with observation-driven dynamic factor loadings
Opschoor, Anne; Lucas, André; Barra, Istvan; Dijk, Dick van - 2019 - Revision: October 23, 2019
-driven dynamics. The new models are highly flexible, scalable to high dimensions, and ensure positivity of covariance and correlation … matrices. The model retains a closed-form likelihood expression, thus allowing for straightforward parameter estimation and …
Persistent link: https://www.econbiz.de/10011979595
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Observation driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, … - 2011
simulation, thus enabling straightforward parameter estimation by standard maximum likelihood. We use the new mixed …
Persistent link: https://www.econbiz.de/10011383248
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Dynamic factor models with clustered loadings : forecasting education flows using unemployment data
Blasques, Francisco; Hoogerkamp, Meindert Heres; … - 2020
period than our detailed education data panel, we propose a twostep estimation procedure. First, we consider a score …
Persistent link: https://www.econbiz.de/10012315409
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A multilevel factor model for economic activity with observation-driven dynamic factors
Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan - 2023
interdependence structures across multiple sectors. The estimation procedure is based on a multistep least squares method which is …
Persistent link: https://www.econbiz.de/10014249846
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Slow expectation-maximization convergence in low-noise dynamic factor models
Opschoor, Daan; Dijk, Dick van - 2023
This paper addresses the poor performance of the Expectation-Maximization (EM) algorithm in the estimation of low … estimation accuracy. Modestly increasing the noise level also accelerates convergence. A nowcasting exercise of euro area GDP …
Persistent link: https://www.econbiz.de/10014249849
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Accelerating peak dating in a dynamic factor Markov-Switching Model
Os, Bram van; Dijk, Dick van - 2020 - Revision: November 29, 2020
The dynamic factor Markov-switching (DFMS) model introduced by Chauvet (1998) has proven to be a powerful framework to measure the business cycle. We extend the DFMS model by allowing for time-varying transition probabilities, with the aim of accelerating the real-time dating of turning points...
Persistent link: https://www.econbiz.de/10012285510
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
estimation of static factor models and factor augmented autoregressions using a set of 190 quarterly observations of 144 US …
Persistent link: https://www.econbiz.de/10010532582