We examine the validity of real interest parity as a long run condition for the G7 countries. If real interest parity holds, differences of real interest rates are stationary. This is investigated by the means of conventional and panel unit root tests, where heterogeneity and contemporaneous...

In this paper the forecasting performance of popular leading indicators for the German business cycle is investigated. Survey based indicators (ifo business climate, ZEW index of economic sentiment) and composite leading indicators (Handelsblatt, Frankfurter Allgemeine Zeitung, Commerzbank) are...

This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate...

The article examines the validity of real interest parity as a long run condition for the G7 countries. According to the hypothesis, differences of real interest rates are stationary. The hypothesis is supported by the means of panel unit root tests. Compared with standard unit root tests, these...

This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate...

This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used to determine the factors by principal component analysis. The factors enter a linear dynamic model for German GDP. To evaluate its empirical properties,...

The analysis of large panel data sets (with N variables) involves methods of dimension reduction and optimal information extraction. Dimension reduction is usually achieved by extracting the common variation in the data into few factors (k, where k N). In the present project, factors are...

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...

This paper estimates and forecasts trend output and output gaps for the Euro area. In the monetary strategy of the European Central Bank (ECB), trend output is used to forecast a reference value for money. For this purpose, trend output must be forecasted as well. In this paper, a...