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Shock identification of macroeconomic forecasts based on daily panels

Fischer, Andreas M.; Amstad, Marlene - 2005

This paper proposes a new procedure for shock identification of macroeconomic forecasts based on factor analysis. Our identification scheme for information shocks relies on data reduction techniques for daily panels and the recognition that macroeconomic releases exhibit a high level of...

Persistent link: https://www.econbiz.de/10011397264

Prediction in a spatial nested error components panel data model

Baltagi, Badi H.; Pirotte, Alain - In: International journal of forecasting 30 (2014) 3, pp. 407-414

Persistent link: https://www.econbiz.de/10010511584

Stress-testing US bank holding companies : a dynamic panel quantile regression approach

Covas, Francisco B.; Rump, Ben; Zakrajšek, Egon - In: International journal of forecasting 30 (2014) 3, pp. 691-713

Persistent link: https://www.econbiz.de/10010515589

Functional kriging prediction of pollution series : the geostatistical alternative for spatially-fixed data

Montero, José-María; Fernández-Avilés, Gema - In: Estudios de economía aplicada : revista promovida por … 33 (2015) 1, pp. 145-173

Persistent link: https://www.econbiz.de/10010515787

What drives commodity prices?

Chen, Shu-Ling; Jackson, John D.; Kim, Hyeongwoo; … - In: American journal of agricultural economics 96 (2014) 5, pp. 1455-1468

Persistent link: https://www.econbiz.de/10011279858

Export competitiveness of textile commodities : a panel data approach

Arora, Tarun - 2015

income export elasticities. The export elasticities are estimated using dynamic panel data approach for each country …

Persistent link: https://www.econbiz.de/10011374068

Equilibrium real effective exchange rates and real exchange rate misalignments : time series vs. panel estimates

Hossfeld, Oliver - 2010

panel cointegration techniques to derive fully countryspecific measures of misalignment and measures based on panel …-of-sample performance prior to comparing it to two final panel specifications. Robustness of the results is supported by recently introduced … cross-sectionally augmented panel unit root tests by Pesaran (2007) and bootstrapped error correction-based panel …

Persistent link: https://www.econbiz.de/10011374380

Forecasting cross-sections of frailty-correlated default

Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2008

using dynamic factors from a large panel of selected macroeconomic and financial data as well as common unobserved risk …

Persistent link: https://www.econbiz.de/10011374412

A model of West African millet prices in rural markets

Higgins, Nathaniel - In: Food policy : economics planning and politics of food … 52 (2015), pp. 33-43

Persistent link: https://www.econbiz.de/10011379180

From consumer panels to big data : an overview on marketing data development

Van Auken, Stuart - In: Journal of marketing analytics : JMA 3 (2015) 1, pp. 38-45

Persistent link: https://www.econbiz.de/10011380451