Search Results - subject:"Dynamic Factor Models"

Tracking down the business cycle: A dynamic factor model for Germany 1820-1913

Sarferaz, Samad; Uebele, Martin - 2007

century we show the advantage of dynamic factor models in making efficient use of rare historical time series. …

Persistent link: https://www.econbiz.de/10010263692

Mr. Wicksell and the global economy: What drives real interest rates?

Brzoza-Brzezina, Michal; Crespo Cuaresma, Jesus - 2007

We use a Bayesian dynamic latent factor model to extract world, regional and country factors of real interest rate series for 22 OECD economies. We find that the world factor plays a privileged role in explaining the variance of real rates for most countries in the sample, and accounts for the...

Persistent link: https://www.econbiz.de/10010293383

Opening the black box: structural factor models with large cross-sections

Forni, Mario; Giannone, Domenico; Lippi, Marco; … - 2007

This paper shows how large-dimensional dynamic factor models are suitable for structural analysis. We establish …

Persistent link: https://www.econbiz.de/10011604758

A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP

Banbura, Marta; Rünstler, Gerhard - 2007

We derive forecast weights and uncertainty measures for assessing the role of individual series in a dynamic factor model (DFM) to forecast euro area GDP from monthly indicators. The use of the Kalman filter allows us to deal with publication lags when calculating the above measures. We find...

Persistent link: https://www.econbiz.de/10011604797

Opening the black box: structural factor models with large cross-sections

Forni, Mario; Giannone, Domenico; Lippi, Marco; … - European Central Bank - 2007

This paper shows how large-dimensional dynamic factor models are suitable for structural analysis. We establish …

Persistent link: https://www.econbiz.de/10005530813

Mr. Wicksell and the global economy: What drives real interest rates?

Brzoza-Brzezina, Michal; Cuaresma, Jesus Crespo - Institut für Finanzwissenschaft, Fakultät für … - 2007

Persistent link: https://www.econbiz.de/10005432675

Information, data dimension and factor structure

Jacobs, Jan; Otter, Pieter; Reijer, Ard den - de Nederlandsche Bank - 2007

This paper employs concepts from information theory to choosing the dimension of a data set. We calculate relative measures of information in the data in terms of eigenvalues and derive criteria to determine the `optimal' size of the data set, in particular whether an extra variable adds...

Persistent link: https://www.econbiz.de/10005021835

Tracking Down the Business Cycle: A Dynamic Factor Model For Germany 1820-1913

Sarferaz, Samad; Uebele, Martin - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

century we show the advantage of dynamic factor models in making efficient use of rare historical time series. … century we show the advantage of dynamic factor models in making efficient use of rare historical time series. Keywords …: Business Cycle Chronology; Imperial Germany; Dynamic Factor Models; Industrialization JEL codes: E32, C11, C32, N13 ∗We are …

Persistent link: https://www.econbiz.de/10005677899

A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP

Banbura, Marta; Rünstler, Gerhard - European Central Bank - 2007

Persistent link: https://www.econbiz.de/10005816244

Synchronization between South Africa and the U.S.: A Structural Dynamic Factor Analysis

Kabundi, Alain - Economic Research Southern Africa (ERSA) - 2007

This paper studies the synchronization of economic variables between South Africa and the US. In addition it examines transmission channels through which supply and demand shocks from the US effect economic activity in South Africa. We use a structural dynamic factor model approach, instead of...

Persistent link: https://www.econbiz.de/10008594444