We show that confidence regions covering the identified set may be preferable to confidence regions covering each of its points in robust control applications.

We show that confidence regions covering the identified set may be preferable to confidence regions covering each of its points in robust control applications.

Data in which each observation is a curve occur in many applied problems. This paperexplores prediction in time series in which the data is generated by a curve-valuedautoregression process. It develops a novel technique, the predictive factor decomposition, forestimation of the autoregression...

The paper uses functional auto-regression to predict the dynamics of interest rate curve. It estimates the auto-regressive operator by extending methods of the reduced-rank auto-regression to the functional data. Such an estimation technique is better suited for prediction purposes as opposed to...

We study the workings of the factor analysis of high-dimensional data using artificial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allows us to shed some light on the practical...

Quah's [1993a] transition matrix analysis of world income distribution based on annual data suggests an ergodic distribution with twin peaks at the rich and poor end of the distribution. Since the ergodic distribution is a highly non-linear function of the underlying transition matrix estimated...