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Monetary conditions index : new empirical evidence from central and eastern European countries

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Revisiting equity premium puzzles in a data-rich environment

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Chapter 8. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics

Stock, J.H.; Watson, M.W. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 415-525). 2016

This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses … application to oil shocks how the same identification strategies can be applied to each type of model. …

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Predictive performance of mixed-frequency nowcasting and forecasting models (with application to Philippine inflation and GDP growth)

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Shrinking the Term Structure

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estimation with cross-sectional asset pricing. Our factors correspond to the optimal non-parametric basis functions spanning the …

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Dynamic factor models : does the specification matter?

Miranda, Karen; Poncela, Pilar; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 1, pp. 397-428

variables. This paper analyses the empirical consequences on factor estimation, in-sample predictions and out …

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Estimating recruitment elasticity in the multi-stage and bilateral job matching process

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