We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...

What is subjective well-being influenced by? Since the Report by the Commission on the Measurement of Economic Performance and Social Progress by Stiglitz, Sen and Fitoussi a huge number of studies has raised this question - with partly different findings. In addition, international...

Many macroeconometric models depict situations where the shares of the major demand aggregates in output are stable over time. The joint dynamic behavior of the considered demand aggregate and output may thus be approximated by a cointegrated vector autoregression. However, the shares of many...

National accounts data are always revised. Not only recent data, but also figures dating many years back can be revised substantially. This means that there is a danger that an important part of the central bank's information set is flawed for a long period of time. In this paper we present a...

Der Aufschwung in Deutschland präsentiert sich nach wie vor in einer sehr robusten Verfassung. Neben einem günstigen weltwirtschaftlichen Umfeld trägt dazu die Stärkung der Binnennachfrage bei, die im Prognosezeitraum zur alleinigen Säule des weiteren Wachstums wird. Die aktuellen Probleme...