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short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …
Persistent link: https://www.econbiz.de/10010395082
Persistent link: https://www.econbiz.de/10001718554
-effect directly from data that include EMU observations. Using a dynamic panel model for annual bilateral exports, we find that the …
Persistent link: https://www.econbiz.de/10011327839
To study the effect of the euro on international goods trade one typically estimates a panel model for the level of … explain the upward trend. To correct for that, we extend the panel model (a gravity model) by including a time trend that may …
Persistent link: https://www.econbiz.de/10011334328
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
We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel …
Persistent link: https://www.econbiz.de/10015373862
with the underlyingtheory. Based on a panel version of the Engle and Granger (1987) two-stepprocedure we find that the … residuals of our pooled estimated modelare stationary. This indicates that on a pooled time series levelthere is cointegration …
Persistent link: https://www.econbiz.de/10011299983
Housing markets typically exhibit a strong positive correlation between the rate of price increase and the number of houses sold. We document this correlation on high-quality Dutch data for the period 1985-2007, and estimate a VEC-model that allows us to study the mechanism giving rise to the...
Persistent link: https://www.econbiz.de/10011380162
cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …
Persistent link: https://www.econbiz.de/10010259626
use the dataof the Dutch socio-economic panel for the years 1987-1994. These data contain self-reportedvalues of the … Realtors. Households therefore seem to be wellaware of the increase in the value of their house. We use panel data methods to …
Persistent link: https://www.econbiz.de/10011327548