substantially underperform their state-space counterparts in a factor model context. We uncover the origins of this phenomenon and … show how a simple adjustment of the measurement density of the score-driven model can put score-driven and state …-Gaussian features to fit the data even better without complicating parameter estimation. We illustrate our findings using a factor model …

We analyse the accuracy of an econometric model for nowcasting GDP growth in a true real-time setting. The analysis is … of the statistical authority. The nowcasts are produced by a large Bayesian vector autoregressive model. We find the … model fares well against other statistical models, and the results suggest that its performance has been more robust to …

. Bayesian estimation over the period 2007Q2-2017Q2 of a dynamic stochastic general equilibrium model allowed us to reveal a …

. Using the Nelson-Siegel model, we examine the influence of the factors of the yield curve, the level, the slope and the …, incorporating FX deposits and CDS rates significantly improves the performance of the model, allowing the capture of key drivers of …

. This paper provides an assessment, combining econometric estimations from a structural gravity model with general …