Narrow search
Showing 1 - 10 of 881,250
Cover Image
Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices
Casoli, Chiara; Lucchetti, Riccardo - 2021
In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …
Persistent link: https://www.econbiz.de/10012596987
Cover Image
Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices
Casoli, Chiara; Lucchetti, Riccardo - In: The econometrics journal 25 (2022) 2, pp. 494-514
Persistent link: https://www.econbiz.de/10013253846
Cover Image
Agnostic output gap estimation and decomposition in large cross-sections
Eckert, Florian; Sarferaz, Samad - 2019
equally in terms of parameter estimation. Based on this feature we show how to extract common trends and cycles from the data …
Persistent link: https://www.econbiz.de/10012137316
Cover Image
Tests of Equal Accuracy for Nested Models with Estimated Factors
Gonçalves, Sílvia - 2019
-augmented regression models are used to forecast. We provide conditions under which the estimation of the factors does not affect the … factor estimation and apply the tests to the case of forecasting excess returns to the S&P 500 Composite Index …
Persistent link: https://www.econbiz.de/10012903921
Cover Image
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
Cover Image
On the use of spectral value decomposition for the construction of composite indices
Farnia, Luca - 2019
High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of the approaches to derive weights from a data set is Principal Component or Factor Analysis that, although conceptually different, they are similar in results when FA is based on...
Persistent link: https://www.econbiz.de/10011999119
Cover Image
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
Cover Image
Common factors, trends, and cycles in large datasets
Barigozzi, Matteo; Luciani, Matteo - 2017
This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the Expectation Maximisation algorithm. The asymptotic...
Persistent link: https://www.econbiz.de/10011803273
Cover Image
Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices
Casoli, Chiara; Lucchetti, Riccardo - 2021
In this article, we propose a cointegration-based Permanent-Transitory decomposition for non-stationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …
Persistent link: https://www.econbiz.de/10012605977
Cover Image
Dimensions of Macroeconomic Uncertainty : A Common Factor Analysis
Henzel, Steffen - 2014
Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which...
Persistent link: https://www.econbiz.de/10013045927