Search Results - subject:"PRINCIPAL COMPONENTS"

The Global Side of the Investments-Savings Puzzle

Byrne, Joseph P.; Fazio, Giorgio; Fiess, Norbert - Department of Economics, Adam Smith Business School - 2008

33, F32, F41. Key Words: Savings; Investment; Feldstein-Horioka Puzzle; Panel Nonstationarity; Principal Components … we seek to account for common shocks by using a principal components approach based on Bai and Ng (2004) and test for … principal components derived after first differencing the data. The factors are then used to identify whether the potential …

Persistent link: https://www.econbiz.de/10005729925

The Factors of the Capital Structure in Eastern Europe

MICLAUS, Paul Gabriel; LUPU, Radu; UNGUREANU, Stefan - In: Annals of University of Craiova - Economic Sciences Series 1 (2008) 36, pp. 432-443

Farmaceuticals - influence the debt ratios of these companies. We use linear regression and principal components analysis in order to …

Persistent link: https://www.econbiz.de/10005607184

A panel data analysis for the greenhouse effects in fifteen countries of European Union.

Giovanis, Eleftherios - Volkswirtschaftliche Fakultät, … - 2008

This paper examines how some factors affect the greenhouse effect of fifteen countries in European Union with fixed and random effects, while we also investigate the case of the Arch effects presentation. Finally we estimate a neural network model to examine how all the factors affect the...

Persistent link: https://www.econbiz.de/10005616950

On the optimality of academic rankings of regions with RePEc data

Mishra, SK - Volkswirtschaftliche Fakultät, … - 2008

Based on the bibliographical data available with the RePEc (Research Papers in Economics), the Internet Documents in Economics Access Service (IDEAS) publishes every month the up-dated academic rankings of different geographic regions (countries/states in the US). This paper raises the question...

Persistent link: https://www.econbiz.de/10005789442

Dynamic Factors in the Presence of Block Structure

Hallin, Marc; Liska, Roman - European Centre for Advanced Research in Economics and … - 2008

Macroeconometric data often come under the form of large panels of time series, themselves decomposing into smaller but still quite large subpanels or blocks. We show how the dynamic factor analysis method proposed in Forni et al (2000), combined with the identification method of Hallin and...

Persistent link: https://www.econbiz.de/10005827115

On construction of robust composite indices by linear aggregation

Mishra, SK - Volkswirtschaftliche Fakultät, … - 2008

In this paper we construct thirteen different types of composite indices by linear combination of indicator variables (with and without outliers/data corruption). Weights of different indicator variables are obtained by maximization of the sum of squared (and, alternatively, absolute)...

Persistent link: https://www.econbiz.de/10005835441

Dynamic Factors in the Presence of Block Structure

Hallin, Marc; Liska, Roman - Department of Economics, European University Institute - 2008

Persistent link: https://www.econbiz.de/10005697744

Likelihood-based Analysis for Dynamic Factor Models

Jungbacker, Borus; Koopman, Siem Jan - Tinbergen Institute - 2008

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

Persistent link: https://www.econbiz.de/10005137376

Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore

Chow, Hwee Kwan; Choy, Keen Meng - Division of Economics, Nanyang Technological University - 2008

We apply multivariate statistical methods to a large dataset of Singapore’s macroeconomic variables and global economic indicators with the objective of forecasting business cycles in a small open economy. The empirical results suggest that three common factors are present in the time series...

Persistent link: https://www.econbiz.de/10005227627

Forecasting economic activity for Estonia : The application of dynamic principal component analyses

Schulz, Christian - Eesti Pank - 2008

large-scale static principal components model used by Stock and Watson (2002), respectively. It also clearly outperforms the …

Persistent link: https://www.econbiz.de/10005157585