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Business cycle dynamics after the Great Recession : an extended Markov-Switching Dynamic Factor Model

Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020

Persistent link: https://www.econbiz.de/10012244551

Feeding large econometric models by a mixed approach of classical decomposition of series and dynamic factor analysis : application to Wharton-UAM model

Moral Carcedo, Julián; Pérez Garcia, Julian - In: Estudios de economía aplicada : revista promovida por … 33 (2015) 2, pp. 487-512

Persistent link: https://www.econbiz.de/10011595390

A dynamic factor model of the yield curve components as a predictor of the economy

Chauvet, Marcelle; Senyuz, Zeynep - In: International journal of forecasting 32 (2016) 2, pp. 324-343

Persistent link: https://www.econbiz.de/10011596830

Improving the robustness of Markov-Switching dynamic factor models with time-varying volatility

Aumond, Romain; Royer, Julien - 2024

Persistent link: https://www.econbiz.de/10014486414

Macroeconometric forecasting using a cluster of dynamic factor models

Glocker, Christian; Kaniovski, Serguei - In: Empirical economics : a quarterly journal of the … 63 (2022) 1, pp. 43-91

Persistent link: https://www.econbiz.de/10013440263

Can we use seasonally adjusted variables in dynamic factor models?

Camacho, Maximo; Lovcha, Yuliya; Pérez-Quirós, Gabriel - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 3, pp. 377-391

Persistent link: https://www.econbiz.de/10011339427

Slow expectation-maximization convergence in low-noise dynamic factor models

Opschoor, Daan; Dijk, Dick van - 2023

This paper addresses the poor performance of the Expectation-Maximization (EM) algorithm in the estimation of low … estimation accuracy. Modestly increasing the noise level also accelerates convergence. A nowcasting exercise of euro area GDP …

Persistent link: https://www.econbiz.de/10014249849

Robustness and the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting

Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - In: International journal of forecasting 37 (2021) 4, pp. 1520-1534

Persistent link: https://www.econbiz.de/10013274311

Dynamic factor model with infinite dimensional factor space : forecasting

Forni, Mario; Giovannelli, Alessandro; Lippi, Marco; … - 2016

Persistent link: https://www.econbiz.de/10011482273

Dynamic factor model with infinite dimensional factor space: forecasting

Forni, Mario; Giovannelli, Alessandro; Lippi, Marco; … - 2016

Persistent link: https://www.econbiz.de/10011672373

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