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Policy and business cycle shocks : a structural factor model representation of the US economy

Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21

find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock …

Persistent link: https://www.econbiz.de/10012626760

Detecting granular time series in large panels

Brownlees, Christian; Mesters, Geert - In: Journal of econometrics 220 (2021) 2, pp. 544-561

Persistent link: https://www.econbiz.de/10012618565

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

Dynamic factor models (DFMs), which assume the existence of a small number of unobserved underlying factors common to a large number of variables, are very popular among empirical macroeconomists. Factors can be extracted using either nonparametric principal components or parametric Kalman...

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

Is more still better? : revisiting the sixth district coincident indicator

Silos, Pedro; Vilán, Diego - 2009

Assessing the state of an economy is not an easy task and generally involves interpreting myriad and sometimes contradictory indicators. In 2007 the authors unveiled a dynamic common factor model, dubbed the D6 Factor, for the economy of the Sixth Federal Reserve District. This model combined...

Persistent link: https://www.econbiz.de/10009419466

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

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

This study examines the statistical properties required to model the dynamics of both the returns and volatility series of the daily stock market returns in six Gulf Cooperation Council countries, namely Bahrain, Oman, Kuwait, Qatar, Saudi Arabia, and the United Arab Emirates, under different...

Persistent link: https://www.econbiz.de/10013272684

Financial big data solutions for state space panel regression in interest rate dynamics

Toczydlowska, Dorota; Peters, Gareth - In: Econometrics : open access journal 6 (2018) 3, pp. 1-45

A novel class of dimension reduction methods is combined with a stochastic multi-factor panel regression-based state …

Persistent link: https://www.econbiz.de/10011887659

The persistence of suicides in G20 countries between 1990 and 2017 : an SPSM approach to three generations of unit root tests

Anyikwa, Izunna; Hamman, Nicolene; Phiri, Andrew - In: Comparative economic research : Central and Eastern Europe 24 (2021) 2, pp. 153-173

global suicide rates. In applying the sequential panel selection method (SPSM) to three generations of unit root testing …

Persistent link: https://www.econbiz.de/10012666866

Do DJIA firms reflect stationary debt ratios?

Lin, Feng-Li - In: Economies : open access journal 8 (2020) 4/76, pp. 1-19

order and trade-off theory are fairly contradictory. Using opposing theoretical contexts, the Sequential Panel Selection … Method apparently categorizes which and how many series are stationary processes in the panel. This method was used to test … exist in 10 of the 25 studied firms, supporting the trade-off theory. Moreover, the 10 firms utilizing trade-off theory are …

Persistent link: https://www.econbiz.de/10012296319

Disentangling permanent and transitory monetary shocks with a nonlinear taylor rule

Lafuente, Juan Angel; Monfort, Mercedes; Pérez, Rafaela; … - In: Economics : the open-access, open-assessment journal 15 (2021) 1, pp. 150-162

This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, and Moran (2008) [Are inflation expectations rational? Journal of Monetary Economics , 55 , 406-422]. To...

Persistent link: https://www.econbiz.de/10012887149