Search Results - subject:"PRINCIPAL COMPONENTS"

Modeling the FIBOR/EURIBOR swap term structure: An empirical approach

Blaskowitz, Oliver J.; Herwartz, Helmut; Cadenas … - 2005

(VAR) models. In advance, a principal components analysis (PCA) is adopted to reduce the dimensionality of the term …

Persistent link: https://www.econbiz.de/10010271835

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George; Pesaran, Mohammad Hashem - 2005

factors by cross section averages of the observed variables as suggested by Pesaran (2004), and the other uses principal … components following the work of Stock and Watson (2002). The paper develops the principal component method and provides small …

Persistent link: https://www.econbiz.de/10010276160

Forecasting German GDP using alternative factor models based on large datasets

Schumacher, Christian - 2005

dynamic principal components obtained using frequency domain methods. The third model is based on subspace algorithm for state …

Persistent link: https://www.econbiz.de/10010295769

Dynamic factor models

Breitung, Jörg; Eickmeier, Sandra - 2005

Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an...

Persistent link: https://www.econbiz.de/10010295783

Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach

Blaskowitz, Oliver J.; Herwartz, Helmut; de Cadenas … - 2005

(VAR) models. In advance, a principal components analysis (PCA) is adopted to reduce the dimensionality of the term …

Persistent link: https://www.econbiz.de/10010296240

Level-Slope-Curvature - Fact or Artefact?

Lord, Roger; Pelsser, Antoon - 2005

The first three factors resulting from a principal components analysis of term structure data are in the literature …

Persistent link: https://www.econbiz.de/10010325482

Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns

Kapetanios, George; Pesaran, M Hashem - 2005

factors by cross section averages of the observed variables as suggested by Pesaran (2004) , and the other uses principal … components following the work of Stock and Watson (2002) . The paper develops the principal component method and provides small …

Persistent link: https://www.econbiz.de/10009442009

Alternative approaches to estimation and inference in large multifactor panels: Small sample results with an application to modelling of asset returns

Kapetanios, George; Pesaran, M. Hashem - 2005

Persistent link: https://www.econbiz.de/10010284201

Measuring the quality of life across countries: A sensitivity analysis of well-being indices

Rahman, Tauhidur; Mittelhammer, Ron C.; Wandscheider, Philip - 2005

-being, feeling part of one’s community, personal safety, and the quality of environment. On the basis of Borda rule and the principal … components approach, we search for factor-indices that may function as QOL indices across countries. Comparing and analysing well …

Persistent link: https://www.econbiz.de/10010284660

Is there long-run convergence of regional house prices in the UK?

Holmes, Mark J.; Grimes, Arthur - Motu: Economic & Public Policy Research - 2005

exhibit long-run constancy relative to each other. We propose the application of a new test that combines principal components …

Persistent link: https://www.econbiz.de/10005384968