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Feeding large econometric models by a mixed approach of classical decomposition of series and dynamic factor analysis : application to Wharton-UAM model

Moral Carcedo, Julián; Pérez Garcia, Julian - In: Estudios de economía aplicada : revista promovida por … 33 (2015) 2, pp. 487-512

Persistent link: https://www.econbiz.de/10011595390

Recent Econometric Techniques for Macroeconomic and Financial Data

Dufrénot, Gilles (ed.); Matsuki, Takashi (ed.) - 2021 - 1st ed. 2021.

Introduction (Gilles Dufrénot and Takashi Matsuki, eds) -- Part I. Macroeconometrics and international finance -- Chapter 1. Quantile and copula spectrum: a new approach to investigate cyclical dependence in economic time series (Gilles Dufrénot, Takashi Matsuki and Kimiko Sugimoto) -- Chapter...

Persistent link: https://www.econbiz.de/10012399943

Recent econometric techniques for macroeconomic and financial data

Dufrénot, Gilles (ed.); Matsuki, Takashi (ed.) - 2021

The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and...