For many economic time-series variables that are observed regularly and frequently, for example weekly, the underlying activity is not distributed uniformly across the year. For the aim of predicting annual data, one may consider temporal aggregation into larger subannual units based on an...

In regression analysis there is typically a large collection of competing models available from which we want to select an appropriate one. This paper is concerned with asymptotic properties of procedures for selecting linear models, which are based on certain data-dependent criteria such as...

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...

We show that a simple and intuitive three-parameter equation fits remarkably well the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during the times of recession and recovery. We then argue that it can be used to detect shocks and discuss its...

We show that a simple and intuitive three-parameter equation fits remarkably well the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during times of recession and recovery. We then argue that this equation is the response function of the economy...

Leading indicators are typical constructs used in macroeconomics to guide decision making in several areas of economic activity, including policy formation and long term investment. Researchers often evaluate and select leading indicators on a seemingly ad hoc basis involving OLS regression,...

We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...

Information and technology revolution has brought a radical change in the way data are collected. The data collected is of no use unless some useful information is derived from it. Therefore, it is essential to think of some predictive analysis for analyzing data and to get meaningful...

Missing value arises in almost all serious statistical analyses and creates numerous problems in processing data in databases. In real world applications, information may be missing due to instrumental errors, optional fields and non-response to some questions in surveys, data entry errors, etc....