The flow of foreign direct investment (FDI) has the effect of shifting trade patterns, especially those of developing countries. With FDI flow growth, vertical intra-industry trade increases as those production-fragmentation-led investments mature. This relation is readily apparent in the...

We develop a dynamic factor model for panel data with a short time dimension (i.e. n15). Unlike most of the work in the DFM literature where one common factor is estimated for a group of cross sectional units, our interest lies in the estimation of a latent variable for each cross sectional unit...

In this paper we model the dynamics of 100 years long monthly price series of eight non-ferrous and precious metals. Applying the state space framework we impose and identify two common factors related to non-ferrous and precious metals, respectively, which exhibit quite distinct autoregressive...

This article discusses Windle and Carvalho's (2014) state-space model for observations and latent variables in the space of positive symmetric matrices. The present discussion focuses on the model specification and on the contribution to the positive-value time series literature. I apply the...

A review of the general state-space modeling framework. The discussion focuses heavily on the three prediction problems of forecasting, filtering, and smoothing within the state- space context. Numerous examples are provided detailing special cases of the state-space model and its use in solving...

The demand forecasting is essential for all production and non-production systems. However, nowadays there are only few researches on this area. Most of researches somehow benefited from simulation in the conditions of demand uncertainty. But this paper presents an iterative method to find most...

The paper deals with the estimation of monthly indicators of economic activity for the Euro area and its largest member countries that possess the following attributes: relevance, representativeness and timeliness. Relevance is obtained by referring our monthly indicators to gross domestic...

This dissertation consists of three essays that have a common focus on the econometrics of survey expectations data. Such data play a crucial role in economics. First, as most decisions depend on expectations, these data facilitate a better understanding of economic dynamics. Second, survey data...