Most macroeconomic data are uncertain - they are estimates rather than perfect measures of underlying economic variables. One symptom of that uncertainty is the propensity of statistical agencies to revise their estimates in the light of new information or methodological advances. This paper...

This paper introduces a new model of structural breaks which assumes that structural breaks are driven by large economic shocks. The model specifies that both the timing and size of breaks are stochastic and it can be used to investigate the impact of large economic shocks on the stability of...

This paper applies a new model of structural breaks developed by Kapetanios and Tzavalis (2004) to investigate if there exist structural changes in the mean reversion parameter of US macroeconomic series. Ignoring such type of breaks may lead to spurious evidence of unit roots in the...

Recent work in the macroeconometric literature considers the problem of summarising efficiently a large set of variables and using this summary for a variety of purposes including forecasting. Work in this field has been carried out in a series of recent papers. This paper provides an...

Identification in the context of multivariate state space modelling involves the specification of the dimension of the state vector. One identification approach requires an estimate of the rank of a Hankel matrix. The most frequently used approaches of rank determination rely on information...

The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new methodology for estimating factors from large datasets based on state space models, discuss its...

Recently, considerable emphasis has been placed on the problems arising out of cross-sectional dependence in panel unit root tests. This paper adopts the factor based cross-sectional dependence paradigm of Bai and Ng (2004) but suggests alternative factor extraction methods. Some theoretical...