Search Results - subject:"factor Models"

Business Survey Data: Do They Help in Forecasting the Macro Economy?

Hansson, Jesper; Jansson, Per; Löf, Mårten - Konjunkturinstitutet, Government of Sweden - 2003

In this paper we examine whether data from business tendency surveys are useful for forecasting the macro economy in the short run. Our analyses primarily concern the growth rates of real GDP but we also evaluate forecasts of other variables such as unemployment, price and wage inflation,...

Persistent link: https://www.econbiz.de/10005651552

Estimating Distributions of Treatment Effects with an Application to the Returns to Schooling and Measurement of the Effects of Uncertainty on College Choice

Carneiro, Pedro; Hansen, Karsten T.; Heckman, James J. - Institute for the Study of Labor (IZA) - 2003

This paper uses factor models to identify and estimate distributions of counterfactuals. We extend LISREL frameworks to …

Persistent link: https://www.econbiz.de/10005703331

Opening the Black Box: Structural Factor Models versus Structural VARs

Forni, Mario; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2003

In this Paper we study identification in dynamic factor models and argue that factor models are better suited than VARs … to provide a structural representation of the macroeconomy. Factor models distinguish measurement errors and other … the other hand, with factor models we can handle much larger information sets - including virtually all existing …

Persistent link: https://www.econbiz.de/10005123887

Factor based leading indicators for euro area business cycle: A comparative assessment

Angelini; Henry; Mestre - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005345656

Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data

Ng, Serena; Boivin, Jean - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005345719

Multilevel logistic regression for polytomous data and rankings

Skrondal, Anders; Rabe-Hesketh, Sophia - In: Psychometrika 68 (2003) 2, pp. 267-287

Persistent link: https://www.econbiz.de/10005184162

Estimating distributions of treatment effects with an application to the returns to schooling and measurement of the effects of uncertainty on college choice

Carneiro, Pedro; Hansen, Karsten; Heckman, James - Institutet för Arbetsmarknads- och Utbildningspolitisk … - 2003

This paper uses factor models to identify and estimate distributions of counterfactuals. We extend LISREL frameworks to …

Persistent link: https://www.econbiz.de/10005190966

Business Survey Data: Do They Help in Forecasting the Macro Economy?

Hansson, Jesper; Jansson, Per; Löf, Mårten - Sveriges Riksbank - 2003

Persistent link: https://www.econbiz.de/10005207176

Likelihood-based estimation of latent generalised ARCH

Shephard, Neil; Sentana, Enrique - Department of Economics, Oxford University - 2003

GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation...

Persistent link: https://www.econbiz.de/10010661356

VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models

Giannone, Domenico; Reichlin, Lucrezia; Sala, Luca - C.E.P.R. Discussion Papers - 2002

Equilibrium business cycle models have typically less shocks than variables. As pointed out by Altug, 1989, and Sargent, 1989, if variables are measured with error, this characteristic implies that the model solution for measured variables has a factor structure. This Paper compares estimation...

Persistent link: https://www.econbiz.de/10005504708