We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...

Using a dynamic factor model with stochastic volatility, we examine the synchronization of temperature and precipitation changes across countries and regions. By doing so, we analyze the implications for the medium-term economic outlook and vulnerability to climate risks. Our findings reveal...

We evaluate the performance of the penalized vector autoregression (VAR), diffusion index (DI), and regression tree-based ensemble learning models to forecast Singapore's macroeconomy using high-dimensional data. Our dataset consists of 220 monthly time series that capture the economy of...

This paper investigates whether a common factor, which can be interpreted as a shadow carbon price, can be extracted from price series in 13 major national and subnational emission trading systems (ETSs). For this purpose, we estimate a dynamic factor model accounting for information...

In economics, Principal Components, its generalized version that takes into account heteroscedasticity, and Kalman lter and smoothing procedures are among the most popular procedures for factor extraction in the context of Dynamic Factor Models. This paper analyses the consequences on point and...

Polynomial factor models (henceforth, PFM) represent a new class of factor models for high-dimensional panel data. We develop several econometric theories for factor models of latent factor interactions. Unlike approximate factor models (AFM), which are based on linear combinations of observed...

In the current accelerated process of global warming, forest conservation is becoming more difficult to address in developing countries, where woodlands are often fueling the illegal economy. In Colombia, the issue of narcodeforestation is of great concern, because of the ramification of...