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 … Germany, which enter the statistics on hours worked in the national accounts. …

We study the forecasting performance of three alternative large scale approaches using a dataset for Germany that … vector autoregression and model averaging techniques, where aggregation takes place before, during and after the estimation …

for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent …

for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent …

model framework uses a novel covariance matrix specification. Model estimation and real-time filtering of the latent …

of conditional information, and reviews an arbitrage pricing theory for large dimensional factor models in this framework …