In this paper a martingale approximation is used to derive an asymptotic distribution of simple positive eigenvalues of the sample covariance matrix for a stationary process. The derived distribution can be used to study stability of the common factor representation based on the principal...

We provide a new and superior measure of U.S. GDP, obtained by applying optimal signal-extraction techniques to the (noisy) expenditure-side and income-side estimates. Its properties - particularly as regards serial correlation - differ markedly from those of the standard expenditure-side...

Transition probabilities between four labor market states (full-time employment, part-time employment, unemployment and inactive) for three age groups (the young, mature and old) are calculated using monthly gross flow data for Australia from October 1997 to May 2012. We determine the responses...

The term now-casting is a contraction for now and forecasting and has been used for a long time in meteorology and recently also in economics. In this chapter we survey recent developments in economic now-casting with special focus on those models that formalize key features of how market...