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Specification Tests for Time-Varying Parameter Models with Stochastic Volatility

Chan, Joshua - 2015

We propose an easy technique to test for time-variation in coefficients and volatilities. Specifically, by using a noncentered parameterization for state space models, we develop a method to directly calculate the relevant Bayes factor using the Savage-Dickey density ratio — thus avoiding the...

Persistent link: https://www.econbiz.de/10013012326

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

Silos, Pedro; Vilán, Diego - 2009

version of the D6 Factor that improves upon the original model in several ways. While the original D6 based its estimation on … estimation period by a decade. These changes provide the updated model with substantially more information while reducing the … noise in the estimation. -- coincident index ; dynamic factor model …

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

Tracking economic activity with alternative high-frequency data

Eckert, Florian; Kronenberg, Philipp; Mikosch, Heiner; … - 2020

Most macroeconomic indicators failed to capture the sharp economic fluctuations during the Corona crisis in a timely manner. Instead, alternative high-frequency data have been used, aiming to monitor the economic situation. However, these data are often only loosely related to the business cycle...

Persistent link: https://www.econbiz.de/10012395297

The Time Varying Structural Approximate Dynamic Factor Model

Zhao, Ziyan; Liu, Qingfeng - 2022

This paper proposes a new time varying structural approximate dynamic factor (TVS-ADF) model by extending the ADF model in state-space form. This new TVS-ADF model considers time varying coefficients and a time varying variance covariance matrix for its innovation terms, through which it can...

Persistent link: https://www.econbiz.de/10013309753

Comovements in Corporate Waves

Colak, Gonul - 2010

, and develop a novel Bayesian estimation method for this model. We find that the percentages of the wave series that are …

Persistent link: https://www.econbiz.de/10013146751

The main business cycle shock(s) : frequency-band estimation of the number of dynamic factors

Avarucci, Marco; Cavicchioli, Maddalena; Forni, Mario; … - 2022

Persistent link: https://www.econbiz.de/10013188777

Dynamic factor models and fractional integration : with an application to US real economic activity

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Econometrics : open access journal 12 (2024) 4, pp. 1-13

This paper makes a twofold contribution. First, it develops the dynamic factor model of by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable information on the degree...

Persistent link: https://www.econbiz.de/10015272692

Nowcasting sales growth of manufacturing companies in India

Sanyal, Anirban; Das, Abhiman - In: Applied economics 50 (2018) 5, pp. 510-526

Persistent link: https://www.econbiz.de/10011847016

Dynamic factor models and fractional integration : with an application to US real economic activity

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2024

This paper makes a twofold contribution, First, it develops the dynamic factor model of Barigozzi et al. (2016) by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable...

Persistent link: https://www.econbiz.de/10015125374

Forecasting with the standardized self-perturbed Kalman filter

Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - 2014

A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of … increases. The proposed estimation method, coupled with dynamic model averaging and selection, is adopted to forecast S & P 500 …

Persistent link: https://www.econbiz.de/10010402289