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Blended Identification in Structural Vars
Carriero, Andrea; Marcellino, Massimiliano; Tornese, Tommaso - 2023
We propose a blended approach which combines identification via heteroskedasticity with the widely used methods of sign restrictions, narrative restrictions, and external instruments.Since heteroskedasticity in the reduced form can be exploited to point identify a set of orthogonal shocks, its...
Persistent link: https://www.econbiz.de/10014356078
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Mixed Frequency Structural Models: Estimation, and Policy Analysis
Foroni, Claudia; Marcellino, Massimiliano - 2013
scale of a DSGE model and that of the time series data used for its estimation generally creates identfication problems …, introduces estimation bias and distorts the results of policy analysis. On the constructive side, we prove that the use of mixed … frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the …
Persistent link: https://www.econbiz.de/10012143827
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Mixed Frequency Structural VARs
Foroni, Claudia; Marcellino, Massimiliano - 2014
estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions …. However, the use of mixed frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation …
Persistent link: https://www.econbiz.de/10012143839
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Chapter 16 Leading Indicators
Marcellino, Massimiliano - 2006
In this chapter we provide a guide for the construction, use and evaluation of leading indicators, and an assessment of the most relevant recent developments in this field of economic forecasting. To begin with, we analyze the problem of indicator selection, choice of filtering methods, business...
Persistent link: https://www.econbiz.de/10014023690
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate …
Persistent link: https://www.econbiz.de/10003962215
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Short-term GDP forecasting with a mixed-frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 118-127
Persistent link: https://www.econbiz.de/10011691233
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Mixed frequency structural models: estimation, and policy analysis
Foroni, Claudia; Marcellino, Massimiliano - Norges Bank - 2013
scale of a DSGE model and that of the time series data used for its estimation generally creates identfication problems …, introduces estimation bias and distorts the results of policy analysis. On the constructive side, we prove that the use of mixed … frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the …
Persistent link: https://www.econbiz.de/10010787755
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A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market
Krolzig, Hans-Martin; Marcellino, Massimiliano - Department of Economics, Oxford University - 2000
There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...
Persistent link: https://www.econbiz.de/10011277856
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A Markov-switching vector equilibrium correction model of the UK labour market
Marcellino, Massimiliano; Mizon, Grayham E.; Krolzig, … - In: Empirical Economics 27 (2002) 2, pp. 233-254
There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. In this paper we present a statistical model that offers a congruent representation of part of the UK labour market since the mid 1960s. We use a cointegrated vector autoregressive...
Persistent link: https://www.econbiz.de/10005758339
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The Transmission Mechanism in a Changing World
Artis, Michael J; Galvão, Ana Beatriz C; Marcellino, … - C.E.P.R. Discussion Papers - 2003
This Paper aims at improving the understanding of the transmission of shocks across countries and how this transmission may have changed over time. By employing a model that allows for parameter changes across regimes, we show that transmission of shocks from the US to European countries may...
Persistent link: https://www.econbiz.de/10005498077