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The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002

This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …

Persistent link: https://www.econbiz.de/10005661541

Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002

index and to evaluate the role of financial variables in forecasting. We considered two models which allow forecasting based … univariate methods for forecasting inflation at one, three, six, and twelve months and industrial production at one and three … months. We find that financial variables do help forecasting inflation, but do not help forecasting industrial production. …

Persistent link: https://www.econbiz.de/10005789173

Forecasting with Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010

latter's specification in differences. In this paper we examine the forecasting performance of the FECM by means of an … generally offers a higher forecasting precision and in general marks a very useful step forward for forecasting with large …

Persistent link: https://www.econbiz.de/10008468646

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

A New Core Inflation Indicator for New Zealand

Giannone, Domenico; Matheson, Troy - C.E.P.R. Discussion Papers - 2007

This paper introduces a new indicator of core inflation for New Zealand, estimated using a dynamic factor model and disaggregate consumer price data. Using disaggregate consumer price data we can directly compare the predictive performance of our core indicator with a wide range of other ‘core...

Persistent link: https://www.econbiz.de/10005656226

The Generalized Dynamic Factor Model: Identification and Estimation

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1999

This paper analyzes identification conditions, and proposes an estimator, for a dynamic factor model where the idiosyncratic components are allowed to be mutually non-orthogonal. This model, which we call the generalized dynamic factor model, is novel to the literature, and generalizes the...

Persistent link: https://www.econbiz.de/10005667125

Reference Cycles: The NBER Methodology Revisited

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2000

This paper proposes a new way to compute a coincident and a leading index of economic activity. The method provides a unified approach for the selection of the coincident and the leading variables, for averaging them into coincident and leading indexes and for the identification of turning...

Persistent link: https://www.econbiz.de/10005136502

Structural FECM: Cointegration in large-scale structural FAVAR models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2014

Starting from the dynamic factor model for non-stationary data we derive the factor-augmented error correction model (FECM) and, by generalizing the Granger representation theorem, its moving-average representation. The latter is used for the identification of structural shocks and their...

Persistent link: https://www.econbiz.de/10011083358

Following the Trend: Tracking GDP when Long-Run Growth is Uncertain

Antolin-Diaz, Juan; Drechsel, Thomas; Petrella, Ivan - C.E.P.R. Discussion Papers - 2014

Using a dynamic factor model that allows for changes in both the long- run growth rate of output and the volatility of business cycles, we document a significant decline in long-run output growth in the United States. Our evidence supports the view that this slowdown started prior to the Great...

Persistent link: https://www.econbiz.de/10011145426

Factor-augmented Error Correction Models

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

This paper brings together several important strands of the econometrics literature: error-correction, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the factors estimated from a large set of variables in levels are jointly...

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