Search Results - subject:"Dynamic factor"

New rank-based tests and estimators for common primitive shocks

Carlini, Federico; Rubin, Mirco; Vallarino, Pierluigi - 2025 - This version: February 28, 2025

We propose a new rank-based test for the number of common primitive shocks, q, in large panel data. After estimating a VAR(1) model on r static factors extracted by principal component analysis, we estimate the number of common primitive shocks by testing the rank of the VAR residuals'...

Persistent link: https://www.econbiz.de/10015329825

New rank-based tests and estimators for common primitive shocks

Carlini, Federico; Rubin, Mirco; Vallarino, Pierluigi - 2025

Persistent link: https://www.econbiz.de/10015361272

Tracking economic activity with alternative high-frequency data

Eckert, Florian; Kronenberg, Philipp; Mikosch, Heiner; … - 2025

Persistent link: https://www.econbiz.de/10015372760

Data-sparse price indexes by spatio-temporal regularization and PCA : an application to the Australian housing market

Sijp, Willem P.; Panagiotelis, Anastasios; Francke, Marc K. - 2025

Persistent link: https://www.econbiz.de/10015338055

Component-based dynamic factor nowcast model

O'Keeffe, Hannah; Petrova, Katerina - 2025

In this paper, we propose a component-based dynamic factor model for nowcasting GDP growth. We combine ideas from …-components of GDP, with a dynamic factor (DF) model, which is suitable for dimension reduction as well as parsimonious real …-time monitoring of the economy. The advantages of the new model are twofold: (i) in contrast to existing dynamic factor models, it …

Persistent link: https://www.econbiz.de/10015396074

Global macro-financial cycles and spillovers

Ha, Jongrim; Kose, M. Ayhan; Otrok, Christopher M.; … - 2025

Persistent link: https://www.econbiz.de/10015406583

Improving score-driven density forecasts with an application to implied volatility surface dynamics

Zou, Xia; Lin, Yicong; Lucas, André - 2025

Point forecasts of score-driven models have been shown to behave at par with those of state-space models under a variety of circumstances. We show, however, that density rather than point forecasts of plain-vanilla score-driven models substantially underperform their state-space counterparts in...

Persistent link: https://www.econbiz.de/10015408437

Simultaneous nowcasting of Netherlands' macroeconomic trends and seasonal patterns based on Fourier analysis

Pijpers, Frank P.; Harlaar, Lucas; Brakel, Jan A. van den; … - 2025

Persistent link: https://www.econbiz.de/10015408522

Underlying Composite Inflation (UCI) : a novel indicator to track inflation developments

Aprigliano, Valentina; Corsello, Francesco - 2025

Persistent link: https://www.econbiz.de/10015408818

A high-frequency digital economy index: Text analysis and factor analysis based on big data

Xu, Yonghong; Su, Bingjie; Pan, Wenjie; Zhou, Peng - 2024

We propose a high-frequency digital economy index by combining official white papers and big data. It aims to resolve the discrepancy between the new economic reality and old economic indicators used by decision-makers and policymakers. We have demonstrated a significant effect due to keyword...

Persistent link: https://www.econbiz.de/10015193980