Showing 51 - 60 of 1,316
Persistent link: https://www.econbiz.de/10003921317
Persistent link: https://www.econbiz.de/10003921322
Persistent link: https://www.econbiz.de/10003921327
Persistent link: https://www.econbiz.de/10009764422
This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of...
Persistent link: https://www.econbiz.de/10010358963
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10010361374
Persistent link: https://www.econbiz.de/10003671175
This paper considers the problem of forecasting real and financial macroeconomic variables across a large number of countries in the global economy. To this end, a global vector autoregressive (GVAR) model previously estimated over the 1979:Q1–2003:Q4 period by Dees, de Mauro, Pesaran, and...
Persistent link: https://www.econbiz.de/10003781456
Persistent link: https://www.econbiz.de/10003630712
Persistent link: https://www.econbiz.de/10003604648