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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 … chapter provides a unification of SVARs, FAVARs, and structural DFMs and shows both in theory and through an empirical …

Persistent link: https://www.econbiz.de/10014024278

Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios

Babii, Andrii - 2020

This paper introduces structured machine learning regressions for prediction and nowcasting with panel data consisting … series panel data structures and we find that it empirically outperforms the unstructured machine learning methods. We obtain … oracle inequalities for the pooled and fixed effects sparse-group LASSO panel data estimators recognizing that financial and …

Persistent link: https://www.econbiz.de/10012826088

Interest rates modeling and forecasting : do macroeconomic factors matter?

Kuczera, Adam - 2017

Recent studies documented a sufficient forecasting performance of shadow-rate models in the low yields environment. Moreover, it has been shown that including the macro-variables into the shadow-rate models further improves the results. We build on these findings and evaluate for the U.S....

Persistent link: https://www.econbiz.de/10011659284

Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility

Kleppe, Tore Selland - 2019

We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future contracts on commodities. Our approach builds upon the dynamic 3-factor Nelson-Siegel model and its 4-factor Svensson extension and assumes for the latent level, slope and...

Persistent link: https://www.econbiz.de/10012864217

Factor structural time series models for official statistics with an application to hours worked in Germany

Weigand, Roland; Wanger, Susanne; Zapf, Ines - 2015

factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step …. The methods are applied to the estimation of paid and unpaid overtime work as well as flows on working-time accounts in …

Persistent link: https://www.econbiz.de/10011309972

Exchange Rates and Macroeconomic Fundamentals : Evidence of Instabilities from Time-Varying Factor Loadings

Hillebrand, Eric T.; Guldbæk Mikkelsen, Jakob; Spreng, Lars - 2023

We examine the relationship between exchange rates and macroeconomic fundamentals using a two-step maximum likelihood estimator through which we compute time-varying factor loadings. Factors are obtained as principal components, extracted from vintage macro-datasets that combine FRED-MD and OECD...

Persistent link: https://www.econbiz.de/10014362396

Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model

Delle Monache, Davide - 2020

estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …

Persistent link: https://www.econbiz.de/10012842441

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10011903709

Price dividend ratio and long-run stock returns : a score driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020

estimation of the state vector and of the time-varying parameters. We use this method to study the timevarying relationship …

Persistent link: https://www.econbiz.de/10012156426

A Kalman filter approach to Fisher effect : evidence from Nigeria

Asemota, Omorogbe J.; Bala, Dahiru A. - In: CBN journal of applied statistics 2 (2011) 1, pp. 71-91

This paper investigates evidence of a Fisher effect in Nigeria by employing quarterly CPI inflation and Nominal interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time-series properties of the variables. Using Co-integration and...

Persistent link: https://www.econbiz.de/10011477662