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Back to the present : learning about the euro area through a now-casting model

Cascaldi-Garcia, Danilo; Ferreira, Thiago R. T.; … - In: International journal of forecasting 40 (2024) 2, pp. 661-686

Persistent link: https://www.econbiz.de/10014547195

Hillebrand, Eric (contributor); Koopman, S. J. (contributor) - 2016

specification, estimation, and application of DFMs. Examples include further developments in DFM for mixed-frequency data settings … factor augmented error correction models, and in many other related aspects. A number of contributions propose new estimation …

Persistent link: https://www.econbiz.de/10012050328

Common dynamic factors in driving commodity prices : implications of a generalized dynamic factor model

Kagraoka, Yusho - In: Economic modelling 52 (2016), pp. 609-617

Persistent link: https://www.econbiz.de/10011642937

Is there really a global business cycle? : a dynamic factor model with stochastic factor selection

Berger, Tino; Pozzi, Lorenzo - 2016

We investigate the presence of international business cycles in macroeconomic aggregates (output, consumption, investment) using a panel of 60 countries over the period 1961 - 2014. The paper presents a Bayesian stochastic factor selection approach for dynamic factor models with predetermined...

Persistent link: https://www.econbiz.de/10011556201

Estimating a dynamic factor model in EViews using the Kalman filter and smoother

Solberger, Martin; Spånberg, Erik - In: Computational economics 55 (2020) 3, pp. 875-900

Persistent link: https://www.econbiz.de/10012223681

Dynamic factor models

Doz, Catherine; Fuleky, Peter - 2019

Persistent link: https://www.econbiz.de/10012234624

Dynamic factor models

Doz, Catherine; Fuleky, Peter - In: Macroeconomic forecasting in the era of big data : …, (pp. 27-64). 2020

Persistent link: https://www.econbiz.de/10012159692

Dynamic modeling of high-dimensional correlation matrices in finance

Golosnoy, Vasyl; Herwartz, Helmut - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-22

Persistent link: https://www.econbiz.de/10009672608

Bayesian estimation of sparse dynamic factor models with order-independent identification

Kaufmann, Sylvia; Schumacher, Christian - 2013

The analysis of large panel data sets (with N variables) involves methods of dimension reduction and optimal information extraction. Dimension reduction is usually achieved by extracting the common variation in the data into few factors (k, where k N). In the present project, factors are...

Persistent link: https://www.econbiz.de/10010221685

Dynamic factor models

Breitung, Jörg; Eickmeier, Sandra - In: Modern econometric analysis : surveys on recent …, (pp. 25-40). 2006

Persistent link: https://www.econbiz.de/10003375817