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Estimating U.S. Housing Price Network Connectedness : Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models

Gabauer, David - 2020

This paper investigates the dynamic connectedness of random shocks to housing prices between the 50 U.S. states and the District of Columbia. The paper implements a standard vector autoregressive (VAR) model as well as three VAR models with shrinkage effects - Elastic Net, Lasso, and Ridge VAR...

Persistent link: https://www.econbiz.de/10012827245

Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, Andre - 2011

This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be...

Persistent link: https://www.econbiz.de/10010325908

Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series

Basturk, Nalan; Cakmakli, Cem; Ceyhan, Pinar; van Dijk, … - 2013

Changing time series properties of US inflation and economic activity are analyzed within a class of extended Phillips Curve (PC) models. First, the misspecification effects of mechanical removal of low frequency movements of these series on posterior inference of a basic PC model are analyzed...

Persistent link: https://www.econbiz.de/10010326136

Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with Non-filtered Data

Basturk, Nalan; Cakmakli, Cem; Ceyhan, Pinar; van Dijk, … - 2013

Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended Phillips Curve (PC) models. It is shown that mechanical removal or modeling of simple low frequency movements in the data may yield poor predictive results...

Persistent link: https://www.econbiz.de/10010326539

Persistence and cycles in US hours worked

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2012

This paper analyses monthly hours worked in the US over the sample period 1939m1 - 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is...

Persistent link: https://www.econbiz.de/10010281793

Persistence and cycles in the US federal funds rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2012

This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...

Persistent link: https://www.econbiz.de/10010289805

Persistence and cycles in the US Federal Funds rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2012

Persistent link: https://www.econbiz.de/10010291553

Posterior-predictive evidence on US inflation using Philips curve models with non-filtered time series

Basturk, Nalan; Çakmaklı, Cem; Ceyhan, Pinar; Dijk, … - 2013

Persistent link: https://www.econbiz.de/10009724100

Posterior-predictive evidence on US inflation using extended Phillips curve models with non-filtered data

Basturk, Nalan; Çakmaklı, Cem; Ceyhan, Pinar; Dijk, … - 2013 - July 2013, revised October 2013

Persistent link: https://www.econbiz.de/10010199052

Forecasting the US Real House Price Index : Structural and Non-Structural Models with and without Fundamentals

Gupta, Rangan - 2012

We employ a 10-variable dynamic structural general equilibrium model to forecast the US real house price index as well … exercise to compare to the dynamic stochastic general equilibrium model, estimated using Bayesian methods. In addition to … 2006:Q2, using the estimated model through 2005:Q2. Only the dynamic stochastic general equilibrium model actually …

Persistent link: https://www.econbiz.de/10013116513