Search Results - subject:"Factor Models"

Identifying the Independent Sources of Consumption Variation

Barigozzi, Matteo; Moneta, Alessio - Laboratory of Economics and Management (LEM), Scuola … - 2012

By representing a system of budget shares as an approximate factor model we determine its rank, i.e. the number of common functional forms, or factors and we estimate a base of the factor space by means of approximate principal components. We assume that the extracted factors span the same space...

Persistent link: https://www.econbiz.de/10010571326

Can we use seasonally adjusted indicators in dynamic factor models?

Camacho, Maximo; Lovcha, Yuliya; Perez-Quiros, Gabriel - Banco de España - 2012

We examine the short-term performance of two alternative approaches to forecasting using dynamic factor models. The … the latter in all the simulated scenarios. Our results have important implications for the factor models literature …

Persistent link: https://www.econbiz.de/10010678690

Short-term forecasting of the Japanese economy using factor models

Godbout, Claudia; Lombardi, Marco J. - European Central Bank - 2012

While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the … models over different samples, including the recent financial crisis. To do so, we construct factor models to forecast … 1991 to 2010. Overall, we find that factor models perform well at tracking GDP movements and anticipating turning points …

Persistent link: https://www.econbiz.de/10010686833

Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach

Jêdrzejczyk, Adam - Zakład Ekonometrii Stosowanej, Szkoła Główna … - 2012

The purpose of this article is to introduce an original macro code written in SAS 4GL. This macro is used to automate the process of forecasting with dynamic factor analysis. Automation of the process helps to save significant amounts of time and effort for the researcher. It also enables to...

Persistent link: https://www.econbiz.de/10010700705

Spatial autoregressive spillovers vs unobserved common factors models. A panel data analysis of international technology diffusion

Ertur, Cern; Musolesi, Antonio - Centre d'Économie et Sociologie appliquées à … - 2012

This paper provides an econometric examination of geographic R&D spillovers among countries by focusing on the issue of cross-sectional dependence. By applying several unit root tests, we show that when the number of lags of the autoregressive component of augmented Dickey Fuller test-type...

Persistent link: https://www.econbiz.de/10010603756

Implied Basket Correlation Dynamics

Härdle, Wolfgang Karl; Silyakova, Elena - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between assets and thus measures the degree of portfolio diversification. It can be estimated both under the physical measure from return series, and under the risk neutral measure from...

Persistent link: https://www.econbiz.de/10010607150

Heteroskedastic Dynamic Factor Models: A Monte Carlo Study

Suren, Gijsbert; Moura, Guilherme - In: Economics Bulletin 32 (2012) 4, pp. 2884-2898

We propose to estimate heteroskedastic dynamic factor models using the Kalman filter, where the state vector is …

Persistent link: https://www.econbiz.de/10011278767

Sequential variable selection as Bayesian pragmatism in linear factor models

Knight, John L.; Satchell, Stephen; Zhang, Jessica - 2012

Persistent link: https://www.econbiz.de/10009618565

On the importance of sectoral and regional shocks for price setting

Beck, Günter W.; Hubrich, Kirstin; Marcellino, Massimiliano - 2012

We use a novel disaggregate sectoral euro area data set with a regional breakdown to investigate price changes and suggest a new method to extract factors from over-lapping data blocks. This allows us to separately estimate aggregate, sectoral, country-specific and regional components of price...

Persistent link: https://www.econbiz.de/10010394236

A nonlinear panel data model of cross-sectional dependence

Mitchell, James; Kapetanios, George; Shin, Yongcheol - 2012

Persistent link: https://www.econbiz.de/10009545977