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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...
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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
-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
simulation, thus enabling straightforward parameter estimation by standard maximum likelihood. We use the new mixed …
Persistent link: https://www.econbiz.de/10011383248
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
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
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
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
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