Search Results - subject:"dynamic factor model"

A new look at variation in employment growth in Canada: The role of industry, provincial, national and external factors

Campolieti, Michele; Gefang, Deborah; Koop, Gary - In: Journal of Economic Dynamics and Control 41 (2014) C, pp. 257-275

We examine fluctuations in employment growth using Canadian data from 1976 to 2010. We consider a wide range of models and examine the sensitivity of our findings to modelling assumptions. The results from our most preferred model, which we selected using the Bayesian Information Criteria,...

Persistent link: https://www.econbiz.de/10010779388

The effectiveness of monetary policy transmission under capital inflows: Evidence from Asia

Jain-Chandra, Sonali; Unsal, D. Filiz - In: Borsa Istanbul Review 14 (2014) 2, pp. 96-103

paper is to assess whether this is true for emerging Asia’s economies. Using a dynamic factor model and a structural vector …

Persistent link: https://www.econbiz.de/10010787789

Financial stress and economic activity in Germany

Roye, Björn - In: Empirica 41 (2014) 1, pp. 101-126

The financial crisis and the European sovereign debt crisis have shown that financial stress may be an important driver for economic activity. In this paper, I derive a financial stress index for Germany, using a dynamic approximate factor model that summarizes a stress component of various...

Persistent link: https://www.econbiz.de/10010990119

Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach

Triacca, Umberto; Focker, Fulvia - In: Decisions in Economics and Finance 37 (2014) 2, pp. 235-254

generalized dynamic factor model. The performance of the new proxy is examined using simulated data. This is found to perform …

Persistent link: https://www.econbiz.de/10010993492

A new index of financial conditions

Koop, Gary; Korobilis, Dimitris - In: European Economic Review 71 (2014) C, pp. 101-116

We use factor augmented vector autoregressive models with time-varying coefficients and stochastic volatility to construct a financial conditions index that can accurately track expectations about growth in key US macroeconomic variables. Time-variation in the models׳ parameters allows for the...

Persistent link: https://www.econbiz.de/10011048625

Forecasting macroeconomic time series: LASSO-based approaches and their forecast combinations with dynamic factor models

Li, Jiahan; Chen, Weiye - In: International Journal of Forecasting 30 (2014) 4, pp. 996-1015

a large number of predictors. So far, the dynamic factor model and its variants have been the most successful models for … interpretability of the models. Third, once forecasts from a LASSO-based approach are combined with those from a dynamic factor model … by forecast combination techniques, the combined forecasts are significantly better than either dynamic factor model …

Persistent link: https://www.econbiz.de/10011051419

Forecasting macroeconomic variables using collapsed dynamic factor analysis

Bräuning, Falk; Koopman, Siem Jan - In: International Journal of Forecasting 30 (2014) 3, pp. 572-584

forecasting purposes. Given a dynamic factor model as the data generation process, we provide Monte Carlo evidence of the finite …

Persistent link: https://www.econbiz.de/10011051422

Revisions in official data and forecasting

Raponi, Valentina; Frale, Cecilia - In: Statistical Methods and Applications 23 (2014) 3, pp. 451-472

embedding the revision process in a dynamic factor model helps to reduce the forecast error in the short term. Copyright …

Persistent link: https://www.econbiz.de/10010949822

Grain Market Integration in the Baltic Sea Region in the 19th Century

Andersson, Fredrik N. G.; Ljungberg, Jonas - Nationalekonomiska Institutionen, Ekonomihögskolan - 2014

method for measuring market integration by combining a dynamic factor model with wavelet analysis. A gradual yardstick is …

Persistent link: https://www.econbiz.de/10010742092

Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach

Jin, Xisong; Nadal De Simone, Francisco de A. - In: Journal of Financial Stability 14 (2014) C, pp. 81-101

dynamic factor model (GDFM) supplemented by a dynamic t-copula. The framework models banks’ default dependence explicitly and …

Persistent link: https://www.econbiz.de/10011076939