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Estimating the Rank of the Spectral Density Matrix

Camba-Mendez, Gonzalo; Kapetanios, George - In: Journal of Time Series Analysis 26 (2005) 1, pp. 37-48

The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive definite matrix estimate...

Persistent link: https://www.econbiz.de/10005260712

An automatic leading indicator of economic activity: Forecasting GDP growth for European countries

Camba-Mendez, Gonzalo; Kapetanios, George; Smith, Richard J. - In: The econometrics journal 4 (2001) 1, pp. S56

Persistent link: https://www.econbiz.de/10007486737

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Mendez, Gonzalo; Kapetanios, George - In: Journal of forecasting 24 (2005) 7, pp. 491-504

Persistent link: https://www.econbiz.de/10006874403

Filtered least squares and measurement error

Blake, Andrew P.; Camba-Mendez, Gonzalo - In: Economics letters 59 (1998) 2, pp. 163-168

Persistent link: https://www.econbiz.de/10006789278

Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling

Camba-Mendez, Gonzalo; Kapetanios, George - In: Econometric reviews 28 (2009) 6, pp. 581

Persistent link: https://www.econbiz.de/10008251766

Tests of Rank in Reduced Rank Regression Models

Camba-Mendez, Gonzalo; Kapetanios, George; Smith, Richard J. - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 1, pp. 145-155

Persistent link: https://www.econbiz.de/10008215775

Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank The opinions expressed in this paper are those of the authors a...

Cabrero, Alberto; Camba-Mendez, Gonzalo; Hirsch, Astrid; … - In: Journal of forecasting 28 (2009) 3, pp. 194-217

Persistent link: https://www.econbiz.de/10008227515

Conditional forecasts on SVAR models using the Kalman filter

Camba-Mendez, Gonzalo - In: Economics letters 115 (2012) 3, pp. 376-379

Persistent link: https://www.econbiz.de/10009967232

Assessment criteria for output gap estimates

Camba-Mendez, Gonzalo; Rodriguez-Palenzuela, Diego - In: Economic modelling 20 (2003) 3, pp. 529-562

Persistent link: https://www.econbiz.de/10006257925

Short-term monitoring of fiscal policy discipline

Camba-Mendez, Gonzalo; Lamo, Ana - In: Journal of applied econometrics 19 (2004) 2, pp. 247-266

Persistent link: https://www.econbiz.de/10006964449