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Onatski, Alexei; Ruge-Murcia, Francisco J. - Rimini Centre for Economic Analysis (RCEA) - 2010

We study the workings of the factor analysis of high-dimensional data using articial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allow us to shed some light on the practical...

Persistent link: https://www.econbiz.de/10008751298

On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models

Fiorentini, Gabriele; Sentana, Enrique - Rimini Centre for Economic Analysis (RCEA) - 2007

We rank the efficiency of several likelihood-based parametric and semiparametric estimators of conditional mean and variance parameters in multivariate dynamic models with i.i.d. spherical innovations, and show that Gaussian pseudo maximum likelihood estimators are inefficient except under...

Persistent link: https://www.econbiz.de/10005091076

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

Koop, Gary; Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2009

Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...

Persistent link: https://www.econbiz.de/10008487526

Structural Threshold Regression

Kourtellos, Andros; Stengos, Thanasis; Tan, Chih Ming - Rimini Centre for Economic Analysis (RCEA) - 2011

This paper introduces the structural threshold regression model that allows for an endogeneous threshold variable as well as for endogenous regressors. This model provides a parsimonious way of modeling nonlinearities and has many potential applications in economics and finance. Our framework...

Persistent link: https://www.econbiz.de/10009364171

Model Selection in Equations with Many 'Small' Effects

Castle, Jennifer L.; Doornik, Jurgen A.; Hendry, David F. - Rimini Centre for Economic Analysis (RCEA) - 2012

High dimensional general unrestricted models (GUMs) may include important individual determinants, many small relevant effects, and irrelevant variables. Automatic model selection procedures can handle more candidate variables than observations, allowing substantial dimension reduction from GUMs...

Persistent link: https://www.econbiz.de/10010555885

The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies

Papailias, Fotis; Thomakos, Dimitrios D. - Rimini Centre for Economic Analysis (RCEA) - 2013

-to-medium term forecasting performance are investigated. We show that the BDI has a cyclical pattern which has been stable except for … a period after the 2007 crisis. This pattern has implications for improved forecasting and strategic management on the …

Persistent link: https://www.econbiz.de/10010728023

Spatial Panel Data Forecasting over Different Horizons, Cross-Sectional and Temporal Dimensions

Mayor, Matías; Patuelli, Roberto - Rimini Centre for Economic Analysis (RCEA) - 2013

Empirical assessments of the forecasting power of spatial panel data econometric models are still scarcely available … test different forecasting horizons, in order to investigate the speed of deterioration of forecasting quality. We compare … appears to diminish as the forecasting horizon widens, eventually leading the SF model to being preferred for more distant …

Persistent link: https://www.econbiz.de/10010734921

Optimal Prediction Pools

Geweke, John; Amisano, Gianni - Rimini Centre for Economic Analysis (RCEA) - 2008

A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...

Persistent link: https://www.econbiz.de/10005091090

Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration

Thomakos, Dimitrios D. - Rimini Centre for Economic Analysis (RCEA) - 2008

In this paper I propose a novel optimal linear ølter for smoothing, trend and signal extraction for time series with a unit root. The filter is based on the Singular Spectrum Analysis (SSA) methodology, takes the form of a particular moving average and is di¨erent from other linear filters...

Persistent link: https://www.econbiz.de/10005091110

Large Time-Varying Parameter VARs

Koop, Gary; Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2012

In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …

Persistent link: https://www.econbiz.de/10010540685