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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
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A Kalman filter approach to Fisher effect : evidence from Nigeria
Asemota, Omorogbe J.; Bala, Dahiru A. - In: CBN journal of applied statistics 2 (2011) 1, pp. 71-91
This paper investigates evidence of a Fisher effect in Nigeria by employing quarterly CPI inflation and Nominal interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time-series properties of the variables. Using Co-integration and...
Persistent link: https://www.econbiz.de/10011477662
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Measuring business cycles with structural breaks and outliers : applications to international data ☆
Perron, Pierre; Wada, Tatsuma - In: Research in economics : an international review of economics 70 (2016) 2, pp. 281-303
Persistent link: https://www.econbiz.de/10011631146
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Is more still better? : revisiting the sixth district coincident indicator
Silos, Pedro; Vilán, Diego - 2009
version of the D6 Factor that improves upon the original model in several ways. While the original D6 based its estimation on … estimation period by a decade. These changes provide the updated model with substantially more information while reducing the … noise in the estimation. -- coincident index ; dynamic factor model …
Persistent link: https://www.econbiz.de/10009419466
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A replication of "a quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)
Lucchetti, Riccardo; Venetis, Ioannis A. - 2020
The authors replicate and extend the Monte Carlo experiment presented in Doz et al. (2012) on alternative (time-domain based) methods for extracting dynamic factors from large datasets; they employ open source software and consider a larger number of replications and a wider set of scenarios....
Persistent link: https://www.econbiz.de/10012173815
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The discretization filter : a simple way to estimate nonlinear state space models
Farmer, Leland E. - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 41-76
Existing methods for estimating nonlinear dynamic models are either highly computationally costly or rely on local approximations which often fail adequately to capture the nonlinear features of interest. I develop a new method, the discretization filter, for approximating the likelihood of...
Persistent link: https://www.econbiz.de/10012432773
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Estimating output gap : a beauty contest approach
Cuerpo, Carlos; Cuevas, Ángel; Quilis, Enrique M. - In: SERIEs : Journal of the Spanish Economic Association 9 (2018) 3, pp. 275-304
Over the last decades, the estimation of the slack in the economy has become an essential piece of analysis for … policymakers, both on the monetary policy and the fiscal policy front. Output gap estimation techniques have flourished accordingly …
Persistent link: https://www.econbiz.de/10011967415
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Testing for a single-factor stochastic volatility in bivariate series
Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61
This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...
Persistent link: https://www.econbiz.de/10011555751
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Goodness-of-fit versus significance : a CAPM selection with dynamic betas applied to the Brazilian stock market
de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-21
In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess the behavior of some selected Brazilian...
Persistent link: https://www.econbiz.de/10011760331
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A comment on the dynamic factor model with dynamic factors
Poncela, Pilar; Ruiz, Esther - 2020
Lucchetti and Veneti (2020), is important for the properties of the estimated factors. Furthermore, estimation of the parameters …
Persistent link: https://www.econbiz.de/10012208913