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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

high dimensional by construction and sparse by assumption, is estimated using the Lasso. We apply this method to the …

Persistent link: https://www.econbiz.de/10010532582

Estimation and forecasting of large realized covariance matrices and portfolio choice

Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - 2014

autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong …

Persistent link: https://www.econbiz.de/10010433899

Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy

Callot, Laurent; Kristensen, Johannes Tang - 2014

) and studies the properties of the Lasso and adaptive Lasso as estimators of this model. The parameters of the model are … finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with … of non zero increments grows slower than √T . By simulation experiments we investigate the properties of the Lasso and …

Persistent link: https://www.econbiz.de/10010433901

Joint modelling and estimation of global and local cross-sectional dependence in large panels

Koopman, Siem Jan; Schaumburg, Julia; Wiersma, Quint - 2021

We propose a new unified approach to identifying and estimating spatio-temporal dependence structures in large panels. The model accommodates global crosssectional dependence due to global dynamic factors as well as local cross-sectional dependence, which may arise from local network structures....

Persistent link: https://www.econbiz.de/10012421000

Bankruptcy codes and risk sharing of currency unions

Wang, Xuan - 2021

Since the Eurozone Crisis of 2010-12, a critical debate on the viability of a currency union has focused on the role of a fiscal union in adjusting for country heterogeneity. However, a fully-fledged fiscal union may not be politically feasible. This paper develops a two-country general...

Persistent link: https://www.econbiz.de/10012421007

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

The forecast combination puzzle : a simple theoretical explanation

Claeskens, Gerda; Magnus, Jan R.; Vasnev, Andrey; Wang, … - 2014

This papers offers a theoretical explanation for the stylized fact that forecast combinations with estimated optimal weights often perform poorly in applications. The properties of the forecast combination are typically derived under the assumption that the weights are fixed, while in practice...

Persistent link: https://www.econbiz.de/10010408465