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Classical time-varying FAVAR models - estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - Deutsche Bundesbank - 2011
We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation …-varying FAVAR is estimated using a large quarterly dataset of US variables from 1972 to 2007, the results indicate some changes in … from the time-varying FAVAR are more accurate than those from a constant parameter FAVAR for most variables and horizons …
Persistent link: https://www.econbiz.de/10009493746
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Classical time-varying FAVAR models - Estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011
We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation …-varying FAVAR is estimated using a large quarterly dataset of US variables from 1972 to 2007, the results indicate some changes in … from the time-varying FAVAR are more accurate than those from a constant parameter FAVAR for most variables and horizons …
Persistent link: https://www.econbiz.de/10008921778
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The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR
Liu, Philip; Mumtaz, Haroon; Theophilopoulou, Angeliki - In: Journal of International Money and Finance 46 (2014) C, pp. 1-15
The aim of this paper is to gauge the importance of foreign demand, supply and interest rate shocks on the UK economy and assess how their role has changed over time. To that end we devise a time-varying factor augmented VAR model that captures the relationship between 17 industrialised...
Persistent link: https://www.econbiz.de/10010785134
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Factor Analysis of a Large DSGE Model
ONATSKI, Alexei; RUGE-MURCIA, Francisco J. - Département de Sciences Économiques, Université de … - 2010
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...
Persistent link: https://www.econbiz.de/10010933690
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Factor Analysis of a Large DSGE Model
ONATSKI, Alexei; RUGE-MURCIA, Francisco J. - Centre Interuniversitaire de Recherche en Économie … - 2010
We study the workings of the factor analysis of high-dimensional data using arti?cial 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 allow us to shed some light on the practical bene?ts...
Persistent link: https://www.econbiz.de/10008671571
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Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters
Barnett, Alina; Mumtaz, Haroon; Theodoridis, Konstantinos - Bank of England - 2012
structural analysis, there is little evidence on their usefulness in forecasting UK output growth, inflation and the short … models in forecasting output growth, inflation and a short rate. We find that allowing for time-varying parameters can lead …
Persistent link: https://www.econbiz.de/10010704383
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Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting
Branimir, Jovanovic; Magdalena, Petrovska - Volkswirtschaftliche Fakultät, … - 2010
We evaluate the forecasting performance of six different models for short-term forecasting of Macedonian GDP: 1) ARIMA … links GDP to the current values of several principal components obtained from a set of high-frequency indicators; 6) FAVAR …
Persistent link: https://www.econbiz.de/10011261076
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Forecasting Hong Kong economy using factor augmented vector autoregression
Pang, Iris Ai Jao - Volkswirtschaftliche Fakultät, … - 2010
This work applies the FAVAR model to forecast GDP growth rate, unemployment rate and inflation rate of the Hong Kong … economy. There is no factor model forecasting literature on the Hong Kong economy. The objective is to find out whether factor … forecasting of using a large dataset can improve forecast performance of the Hong Kong economy. To avoid misspecification of the …
Persistent link: https://www.econbiz.de/10009228917
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Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting
Jovanovic, Branimir; Petrovska, Magdalena - Narodna Banka na Republika Makedonija - 2010
We evaluate the forecasting performance of six different models for short-term forecasting of Macedonian GDP: 1) ARIMA … links GDP to the current values of several principal components obtained from a set of high-frequency indicators; 6) FAVAR …
Persistent link: https://www.econbiz.de/10010734982
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Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting
Jovanovic, Branimir; Petrovska, Magdalena - Narodna Banka na Republika Makedonija - 2010
We evaluate the forecasting performance of six different models for short-term forecasting of Macedonian GDP: 1) ARIMA … links GDP to the current values of several principal components obtained from a set of high-frequency indicators; 6) FAVAR …
Persistent link: https://www.econbiz.de/10010737092