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Frequency-band estimation of the number of factors detecting the main business cycle shocks

Avarucci, Marco; Cavicchiol, Maddalena; Forni, Mario; … - 2022

Persistent link: https://www.econbiz.de/10013466051

Fluctuations in global macro volatility

Leiva-Leon, Danilo; Ductor, Lorenzo - 2019

Persistent link: https://www.econbiz.de/10012116822

Examining the quality of early GDP component estimates

Sinclair, Tara M.; Stekler, Herman O. - In: International journal of forecasting 29 (2013) 4, pp. 736-750

Persistent link: https://www.econbiz.de/10010221287

Performance and conservatism of monthly FHS VaR : an international investigation

Chrétien, Stéphane; Coggins, Frank - In: International review of financial analysis 19 (2010) 5, pp. 323-333

Persistent link: https://www.econbiz.de/10009272652

Testing for common cyclical features in var models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...

Persistent link: https://www.econbiz.de/10011398127

Radici, unitarie e persistenza : l'analisi univariata delle fluttuazioni economiche

Pistoresi, Barbara - In: Rivista di politica economica 87 (1997) 2, pp. 111-152

Persistent link: https://www.econbiz.de/10001222481

Testing for symmetry in weakly dependent time series

Hartigan, Luke - 2016

Persistent link: https://www.econbiz.de/10011783170

Statistical testing of business-cycle theories

Tinbergen, Jan - 1968 - Reprint [der Ausg.] Genf, 1939

Persistent link: https://www.econbiz.de/10000049341

Heterogeneous switching in FAVAR models

Guérin, Pierre; Leiva-León, Danilo - In: Essays in honour of Fabio Canova, (pp. 65-98). 2022

) where the loadings are subject to idiosyncratic regime-switching dynamics. Our Bayesian estimation method alleviates … computational challenges and makes the estimation of high-dimensional FAVAR with heterogeneous regime-switching straightforward to … implement. The authors perform extensive simulation experiments to study the finite sample performance of our estimation method …

Persistent link: https://www.econbiz.de/10013443910

Common factors, trends, and cycles in large datasets

Barigozzi, Matteo; Luciani, Matteo - 2017

This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the Expectation Maximisation algorithm. The asymptotic...

Persistent link: https://www.econbiz.de/10011803273