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Trends in temperature data : micro-foundations of their nature

Gadea, María Dolores; Gonzalo, Jesús; Ramos, Andrey - 2023

Persistent link: https://www.econbiz.de/10014447464

Money demand during hyperinflation : cointegration, rational expectations, and the importance of money demand shocks

Engsted, Tom - 1997

Persistent link: https://www.econbiz.de/10000959730

Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices

Casoli, Chiara; Lucchetti, Riccardo - 2021

In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …

Persistent link: https://www.econbiz.de/10012596987

Modeling and forecasting the long memory of cyclical trends in paleoclimate data

Barrio Castro, Tomás del; Escribano, Álvaro; … - 2024

Persistent link: https://www.econbiz.de/10014566880

Another look into the factor model black box : factor interpretation and structural (in)stability

Despois, Thomas; Doz, Catherine - 2019 - This version: February 4, 2020

Persistent link: https://www.econbiz.de/10012234615

Dynamic factor models

Doz, Catherine; Fuleky, Peter - 2019

Persistent link: https://www.econbiz.de/10012234624

State-dependent monetary policy regimes

Zakipour-Saber, Shayan - 2019

Are monetary policy regimes state-dependent? To answer the question this paper estimates New Keynesian general equilibrium models that allow the state of the economy to influence the monetary authority's stance on inflation. I take advantage of recent developments in solving rational...

Persistent link: https://www.econbiz.de/10011975606