Search Results - subject:"macroeconomic time series data"

Identification of seasonal effects in impulse responses using score-driven multivariate location models

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - In: Journal of econometric methods 10 (2021) 1, pp. 53-66

Persistent link: https://www.econbiz.de/10012437812

Random Matrix Theory and Macro-Economic Time-Series: An Illustration Using the Evolution of Business Cycle Synchronisation, 1886-2006

Ormerod, Paul - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-26, pp. 1-10

The aim of this paper is to show that random matrix theory (RMT) can be a useful addition to the economist?s tool-kit in the analysis of macro-economic time series data. A great deal of applied economic work relies upon empirical estimates of the correlation matrix. However due to the finite...

Persistent link: https://www.econbiz.de/10010295323

Random Matrix Theory and Macro-Economic Time-Series: An Illustration Using the Evolution of Business Cycle Synchronisation, 1886-2006

Ormerod, Paul - In: Economics - The Open-Access, Open-Assessment E-Journal 2 (2008), pp. 1-10

Persistent link: https://www.econbiz.de/10005082985