Search Results - subject:"factor Models"

Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP

Marcellino, Massimiliano; Schumacher, Christian - C.E.P.R. Discussion Papers - 2008

This paper compares different ways to estimate the current state of the economy using factor models that can handle … of the German economy, we compare the performance of different factor models in the presence of the ragged edge: static … compare the performance of the nowcast factor models with the performance of quarterly factor models based on time …

Persistent link: https://www.econbiz.de/10005124208

Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2008

and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the factors estimated …

Persistent link: https://www.econbiz.de/10005136642

Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set

Favero, Carlo A.; Niu, Linlin; Sala, Luca - C.E.P.R. Discussion Papers - 2007

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact on forecasting performance of two crucial modelling choices,...

Persistent link: https://www.econbiz.de/10005497801

Opening the Black Box: Structural Factor Models with Large Cross-Sections

Forni, Mario; Giannone, Domenico; Lippi, Marco; … - Dipartimento di Economia "Marco Biagi", Università … - 2007

This paper shows how large-dimensional dynamic factor models are suitable for structural analysis. We argue that all … identification schemes employed in SVAR analysis can be easily adapted in dynamic factor models. Moreover, the “problem of …

Persistent link: https://www.econbiz.de/10005416785

Risk Premia in Electricity Forward Prices

Diko, Pavel; Lawford, Steve; Limpens, Valerie - In: Studies in Nonlinear Dynamics & Econometrics 10 (2007) 3, pp. 1358-1358

We investigate the presence of significant electricity forward risk premia, using data from three major continental European energy markets - German, Dutch and French. We introduce the risk premium in the framework of a standard electricity spot/forward unobserved factor model, and derive the...

Persistent link: https://www.econbiz.de/10004966177

Forecasting Large Datasets with Reduced Rank Multivariate Models

Carriero, Andrea; Kapetanios, George; Marcellino, … - School of Economics and Finance, Queen Mary - 2007

existing alternatives, namely, factor models, large scale bayesian VARs, and multivariate boosting. Specifically, we focus on …

Persistent link: https://www.econbiz.de/10005106382

Relative Goods’ Prices and Pure Inflation

Reis, Ricardo; Watson, Mark W - C.E.P.R. Discussion Papers - 2007

This paper uses a dynamic factor model for the quarterly changes in consumption goods’ prices to separate them into three components: idiosyncratic relative-price changes, aggregate relative-price changes, and changes in the unit of account. The model identifies a measure of “pure”...

Persistent link: https://www.econbiz.de/10005067604

Real wages and monetary policy transmission in the euro area

McCallum, Andrew; Smets, Frank - Institut für Weltwirtschaft (IfW) - 2007

We use the Factor-Augmented Vector Autoregression (FAVAR) approach of Bernanke, Boivin and Eliasz (2005) to estimate the effects of monetary policy shocks on wages and employment in the euro area. The use of a large data set comprising country, sectoral and euro area-wide data allows us to...

Persistent link: https://www.econbiz.de/10005818845

A structured variational learning approach for switching latent factor models

Saidane, Mohamed; Lavergne, Christian - In: AStA Advances in Statistical Analysis 91 (2007) 3, pp. 245-268

Persistent link: https://www.econbiz.de/10005598066

Infinite Dimensional VARs and Factor Models

Chudik, Alexander; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2007

This paper introduces a novel approach for dealing with the ‘curse of dimensionality’ in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It...

Persistent link: https://www.econbiz.de/10005763451