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Spectral factor models
Bandi, Federico M.; Chaudhuri, Shomesh E.; Lo, Andrew W.; … - In: Journal of financial economics 142 (2021) 1, pp. 214-238
Persistent link: https://www.econbiz.de/10012650703
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Real-time forecasting in a data-rich environment
Liebermann, Joe͏̈lle - 2012
Persistent link: https://www.econbiz.de/10010219898
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Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model : an application to the German business cycle
Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - In: International journal of forecasting 36 (2020) 3, pp. 829-850
Persistent link: https://www.econbiz.de/10012496873
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Global vs sectoral factors and the impact of the financialization in commodity price changes
Poncela, Pilar; Senra, Eva; Sierra, Lya Paola - In: Open economies review 31 (2020) 4, pp. 859-879
Persistent link: https://www.econbiz.de/10012302148
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Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model : an application to the German business cycle
Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - 2017
We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show...
Persistent link: https://www.econbiz.de/10011646914
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Factor models for non-stationary series : estimates of monthly U.S. GDP
Hengge, Martina; Leonard, Seton - 2017
-Gaussian (Kalman) filter. Crucially, consistent estimation does not require differencing the data despite it being cointegrated of …
Persistent link: https://www.econbiz.de/10011669132
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Identification and estimation of a large factor model with structural instability
Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - 2016
Persistent link: https://www.econbiz.de/10011687505
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Forecasting inflation in Tunisia during instability using dynamic factors model : a two-step based procedure based on Kalman filter
Ammouri, Bilel; Toumi, Hassen; Issaoui, Fakhri; … - In: International journal of computational economics and … 9 (2019) 1/2, pp. 49-83
Persistent link: https://www.econbiz.de/10012021571
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Forecasting the production side of GDP
Bäurle, Gregor; Steiner, Elizabeth; Züllig, Gabriel - 2018
Persistent link: https://www.econbiz.de/10011948339
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Forecasting with large datasets : compressing information before, during or after the estimation?
Pirschel, Inske; Wolters, Maik H. - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 573-596
Persistent link: https://www.econbiz.de/10011949851