Similar Search Results

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo; Kapetanios, George - 2004

Standard measures of prices are often contaminated by transitory shocks. This has prompted economists to suggest the use of measures of underlying in?ation to formulate monetary policy and assist in forecasting observed in?ation. Recent work has concentrated on modelling large datasets using...

Persistent link: https://www.econbiz.de/10011604448

An Automatic Leading Indicator, Variable Reduction and Variable Selection Methods Using Small and Large Datasets : Forecasting the Industrial Production Growth for Euro Area Econom...

Camba-Mendez, Gonzalo - 2015

This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area economies. The results indicate that the Automatic Leading...

Persistent link: https://www.econbiz.de/10013025082

Testing the rank of the Hankel matrix: a statistical approach

Camba-Méndez, Gonzalo; Kapetanios, George - 2001

The rank of the Hankel matrix, corresponding to a system transfer function, is equal to the order of its minimal state space realization. The computation of the rank of the Hankel matrix is complicated by the fact that its block elements are rarely given exactly but are estimated instead. In...

Persistent link: https://www.econbiz.de/10011604091

Spectral based methods to identify common trends and common cycles

Camba-Méndez, Gonzalo; Kapetanios, George - 2001

(1986) showed that a necessary condition for cointegration is that the spectral density matrix of the innovation sequence at … at any given frequency. The tests of rank at frequency zero are tests of the null of 'cointegration', complementary to … those suggested by Phillips and Ouliaris (1988) which test the null of 'no cointegration'. …

Persistent link: https://www.econbiz.de/10011604108

Estimating the rank of the spectral density matrix

Camba-Méndez, Gonzalo; Kapetanios, George - 2004

The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive de?nite matrix estimate...

Persistent link: https://www.econbiz.de/10011604395

Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling

Camba-Méndez, Gonzalo; Kapetanios, George - 2008

Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...

Persistent link: https://www.econbiz.de/10011604896

An automatic leading indicator, variable reduction and variable selection methods using small and large datasets: Forecasting the industrial production growth for euro area economi...

Camba-Méndez, Gonzalo; Kapetanios, George; Papailias, Fotis - 2015

Persistent link: https://www.econbiz.de/10011605818

Statistical Tests and Estimators of the Rank of a Matrix and their Applications in Econometric Modelling

Camba-Mendez, Gonzalo; Kapetanios, George - 2021

Persistent link: https://www.econbiz.de/10013316643

Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK

Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - 2009

Factor based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...

Persistent link: https://www.econbiz.de/10011605097

Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK

Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - 2021

Factor based forecasting has been at the forefront of developments in the macro-econometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...

Persistent link: https://www.econbiz.de/10013316380