Search Results - subject:"PRINCIPAL COMPONENTS"

Chubrik, Alexander; Denisova, Irina; Dubrovskiy, Vladimir; … - CASE-Center for Social and Economic Research - 2007

Principal Components Method (PCM). The results are further presented in the form of ranks of countries analyzed reflecting their …

Persistent link: https://www.econbiz.de/10008632983

New Eurocoin: Tracking Economic Growth in Real Time

Altissimo, Filippo; Cristadoro, Riccardo; Forni, Mario; … - Banca d'Italia - 2007

updated each month and with a very short delay. Our method is based on generalized principal components that are designed to …

Persistent link: https://www.econbiz.de/10005113534

The effects of economic variables in the UK stock market

Leone, Vitor - 2006

market using principal components analysis (PCA) and thegeneral-to-specific (Gets) approach to econometric modelling.A multi … riskstructure of stock returns for different sub-samples. Indications of a possible influence offirm size are found in principal … components when different stock sorting criteria are used,but more definite conclusions require simultaneous sorting by market …

Persistent link: https://www.econbiz.de/10009461291

Hedging Basket Options by Using a Subset of Underlying Assets

Su, Xia - 2006

solve these problems, Principal Components Analysis is used to figure out the subset of dominant assets through a careful …

Persistent link: https://www.econbiz.de/10010263171

On the appropriateness of inappropriate VaR models

Härdle, Wolfgang Karl; Hlávka, Zdeněk; Stahl, Gerhard - 2006

simple mappings: the mapping on the market index, the principal components model and the model with equally correlated risk …

Persistent link: https://www.econbiz.de/10010274278

Panels with nonstationary multifactor error structures

Kapetanios, George; Pesaran, Mohammad Hashem; Yamagata, … - 2006

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference for stationary panel regressions with multifactor error...

Persistent link: https://www.econbiz.de/10010276247

Global Factors, Unemployment Adjustment and the Natural Rate

Smith, Ron P.; Gylfi, Zoega - 2006

OECD unemployment rates show long swings which dominate shorter business cycle components and these long swings show a range of common patterns. Using a panel of 21 OECD countries 1960-2002, we estimate the common factor that drives unemployment by the first principal component. This factor has...

Persistent link: https://www.econbiz.de/10010276738

Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?

De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - 2006

This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...

Persistent link: https://www.econbiz.de/10010295821

Real-time forecasting of GDP based on a large factor model with monthly and quarterly data

Schumacher, Christian; Breitung, Jörg - 2006

sample, the factors are estimated by applying an EM algorithm combined with a principal components estimator. We discuss the …

Persistent link: https://www.econbiz.de/10010295822

Non-economic well-being achievement in Pacific Asia

McGillivray, Mark - 2006

It is well known that income per capita and most widely reported non-economic well-being achievement measures are highly correlated among countries. Yet many countries exhibit higher achievement in the latter than predicted by the former. The reverse is true for many other countries. This paper...

Persistent link: https://www.econbiz.de/10009483925