Narrow search
Showing 1 - 10 of 6,667
Cover Image
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning; Chen, Jia; Linton, Oliver - 2021
Persistent link: https://www.econbiz.de/10013259517
Cover Image
Macroeconomic now- and forecasting based on the factor error correction model using targeted mixed frequency indicators
Kurz-Kim, Jeong-Ryeol - 2016
Since the influential paper of Stock and Watson (2002), the dynamic factor model (DFM) has been widely used for forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor model is modified by using the mixed data sampling...
Persistent link: https://www.econbiz.de/10011566828
Cover Image
Modeling multivariate time series with fractional integration in macroeconomics and finance
Weigand, Roland - 2018
Persistent link: https://www.econbiz.de/10012197752
Cover Image
Forecasting consumer price index inflation in India : vector error correction mechanism vs. dynamic factor model approach for non-stationary time series
Bhattacharya, Rudrani; Kapoor, Mrigankshi - 2020
Persistent link: https://www.econbiz.de/10012542444
Cover Image
Dynamic factor models, cointegration, and error correction mechanisms
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - 2016
of a Vector Error Correction Mechanism with c error terms. This result is the basis for consistent estimation of Non …
Persistent link: https://www.econbiz.de/10011499818
Cover Image
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
Barigozzi, Matteo - 2016
estimation of Non-Stationary Dynamic Factor Models. The relationship between cointegration of the factors and cointegration of …
Persistent link: https://www.econbiz.de/10013006677
Cover Image
Large-dimensional dynamic factor models : estimation of impulse–response functions with I(1) cointegrated factors
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - In: Journal of econometrics 221 (2021) 2, pp. 455-482
Persistent link: https://www.econbiz.de/10012619245
Cover Image
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
Barigozzi, Matteo - 2016
of a Vector Error Correction Mechanism with c error terms. This result is the basis for consistent estimation of Non …
Persistent link: https://www.econbiz.de/10013210379
Cover Image
A parametric factor model of the term structure of mortality
Haldrup, Niels; Rosenskjold, Carsten P. T. - In: Econometrics : open access journal 7 (2019) 1/9, pp. 1-22
when the factors have unit roots. We suggest two estimation procedures similar to the estimation of the dynamic Nelson …
Persistent link: https://www.econbiz.de/10012025646
Cover Image
Estimation of a dynamic multi-level factor model with possible long-range dependence
Ergemen, Yunus Emre; Rodríguez-Caballero, Carlos Vladimir - In: International journal of forecasting 39 (2023) 1, pp. 405-430
Persistent link: https://www.econbiz.de/10014462789