Similar Search Results

Forecasting macroeconomic variables using collapsed dynamic factor analysis

Bräuning, Falk; Koopman, Siem Jan - In: International journal of forecasting 30 (2014) 3, pp. 572-584

Persistent link: https://www.econbiz.de/10010513606

Estimating and forecasting Bahrain quarterly GDP growth using simple regression and factor-based methods

Naser, Hanan - In: Empirical economics : a journal of the Institute for … 49 (2015) 2, pp. 449-479

Persistent link: https://www.econbiz.de/10011332866

Using principal component analysis to estimate a high dimensional factor model with high-frequency data

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399

Persistent link: https://www.econbiz.de/10011920525

Detecting big structural breaks in large factor models

Chen, Liang; Dolado, Juan J.; Gonzalo, Jesús - In: Journal of econometrics 180 (2014) 1, pp. 30-48

Persistent link: https://www.econbiz.de/10010379487

Are shadow rate models of the Treasury yield curve structurally stable?

Kim, Don H.; Priebsch, Marcel A. - 2020

Persistent link: https://www.econbiz.de/10012389081

Augmented factor models with applications to validating market risk factors and forecasting bond risk premia

Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294

Persistent link: https://www.econbiz.de/10012619418

Non-linear exchange rate relationships : an automated model selection approach with indicator saturation

Stillwagon, Josh R. - In: The North American journal of economics and finance : a … 37 (2016), pp. 84-109

Persistent link: https://www.econbiz.de/10011672899

Testing a large number of hypotheses in approximate factor models

Amengual, Dante; Repetto, Luca - 2014

Persistent link: https://www.econbiz.de/10011408282

Chapter 8. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics

Stock, J.H.; Watson, M.W. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 415-525). 2016

This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses … application to oil shocks how the same identification strategies can be applied to each type of model. …

Persistent link: https://www.econbiz.de/10014024278

Dynamic factor models : does the specification matter?

Miranda, Karen; Poncela, Pilar; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 1, pp. 397-428

variables. This paper analyses the empirical consequences on factor estimation, in-sample predictions and out …

Persistent link: https://www.econbiz.de/10013326908

1
2
3
4
5
6
7
8
9
10
Next
Last