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A spectral EM algorithm for dynamic factor models

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - C.E.P.R. Discussion Papers - 2015

We introduce a frequency domain version of the EM algorithm for general dynamic factor models. We consider both AR and ARMA processes, for which we develop iterative indirect inference procedures analogous to the algorithms in Hannan (1969). Although our proposed procedure allows researchers to...

Persistent link: https://www.econbiz.de/10011168903

Fast ML estimation of dynamic bifactor models: an application to European inflation

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - C.E.P.R. Discussion Papers - 2015

We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi and Sentana (2014) to bifactor models with pervasive global factors complemented by regional ones. We exploit the sparsity of the loading matrices so that researchers can estimate those models by maximum...

Persistent link: https://www.econbiz.de/10011186627

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

International Business Cycle Spillovers

Yilmaz, Kamil - C.E.P.R. Discussion Papers - 2010

This paper studies business cycle interdependence among the industrialized countries since 1958. Using the spillover index methodology recently proposed by Diebold and Yilmaz (2009) and based on the generalized VAR framework, I develop an alternative measure of comovement of macroeconomic...

Persistent link: https://www.econbiz.de/10011083760

Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series

Ghysels, Eric; Miller, J. Isaac - C.E.P.R. Discussion Papers - 2013

We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. We … the size distortion of the tests. We test stock prices and dividends for cointegration as an empirical demonstration. …

Persistent link: https://www.econbiz.de/10011084358

Applied Cointegration Analysis in the Mirror of Macroeconomic Theory

Söderlind, Paul; Vredin, Anders - C.E.P.R. Discussion Papers - 1995

Applied cointegration analysis has much to gain from strong links with economic theory. For example, the current … important information about the economic structure can be found in the short-run dynamics, which most cointegration studies …

Persistent link: https://www.econbiz.de/10005661938

The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and their Long-Run Equilibrium

Chong, Yanping; Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2010

Frictionless, perfectly competitive traded-goods markets justify thinking of purchasing power parity (PPP) as the main driver of exchange rates in the long-run. But differences in the traded/non-traded sectors of economies tend to be persistent and affect movements in local price levels in ways...

Persistent link: https://www.econbiz.de/10008550320

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 … the standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration … cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural …

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

Forecasting with Factor-augmented Error Correction Models

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

-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it …

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

The European Business Cycle

Artis, Michael J; Krolzig, Hans-Martin; Toro, Juan - C.E.P.R. Discussion Papers - 1999

This paper deals with the existence and identification of a common European Growth Cycle. It has recently been argued that the formation of a monetary union creates in itself a tendency for business cycle symmetry to emerge. If this holds for the European monetary Union and the quasi-union of...

Persistent link: https://www.econbiz.de/10005114243