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Interpolation and backdating with a large information set

Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - 2003

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

Persistent link: https://www.econbiz.de/10009635924

Frequency domain principal components estimation of fractionally cointegrated processes

Morana, Claudio - 2004

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...

Persistent link: https://www.econbiz.de/10009636544

Eurostat sampling reference guidelines - Introduction to sample design and estimation techniques

Europäische Kommission / Statistisches Amt - 2008

Besides some basic methodology and definitions, the guidelines provide practical rules, strategies and hints to lead the practitioner in the initial phase of survey planning and reporting, in the selection of the best sampling method and type of allocation, in the determination of the sample...

Persistent link: https://www.econbiz.de/10009638814

Interpolation and backdating with a large information set

Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - 2003

Persistent link: https://www.econbiz.de/10009640916

The impact of monetary union on trade prices

Anderton, Robert; Baldwin, Richard E.; Taglioni, Daria - 2003

Two seemingly unconnected empirical results suggest an intriguing mechanism. First, economic integration helps harmonize prices internationally, with trade being the primary channel (Rogoff 1996, Goldberg and Knetter 1997). Second, monetary union may greatly increase the amount of trade among...

Persistent link: https://www.econbiz.de/10009635969

Developing statistical indicators of the integration of the euro area banking system

Manna,Michele - 2004

This paper discusses a wide range of indicators of the degree of integration of the euro area banking system. It is concerned with volume data, a less developed field of research compared with studies on prices/rates. We first set out a methodological framework, a mixture of elementary and more...

Persistent link: https://www.econbiz.de/10009636523

How frequently do prices change?

Aucremanne, Luc; Dhyne, Emmanuel - 2004

This paper examines the degree of price rigidity in Belgian consumer prices, using a large database. As to the observed degree of rigidity, the results reveal a substantial amount of heterogeneity, not only across but also within product categories. While prices turn out to be perfectly flexible...

Persistent link: https://www.econbiz.de/10009636700

The pricing behaviour of Italian firms

Fabiani, Silvia; Gattulli, Angela; Sabbatini, Roberto - 2004

asymmetrically to shocks, depending on the direction of the adjustment (positive vs negative) and the source of the shock (demand vs … profits to changes in demand u0096 play an important role in determining this asymmetry. Moreover, whereas cost shocks impact … more when prices have to be raised than when they have to be reduced, demand decreases are more likely to induce a price …

Persistent link: https://www.econbiz.de/10009636703

Price setting behaviour in Spain

Álvarez, Luis J.; Hernando, Ignacio - 2004

This paper identifies the basic features of the price setting mechanism in the Spanish economy, using a large dataset that contains over 1.1 million price records and covers around 70% of the expenditure on the CPI basket. In particular, the paper identifies differences in the frequency and size...

Persistent link: https://www.econbiz.de/10009639476

Price setting in France

Loupias, Claire; Ricart, Roland - 2004

cost shocks compared to demand shocks: prices are more rigid downward than upward for cost shocks, while the reverse is … true for demand shocks. …

Persistent link: https://www.econbiz.de/10009639484