Showing 1 - 10 of 2,380
This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...
Persistent link: https://www.econbiz.de/10009674269
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based...
Persistent link: https://www.econbiz.de/10010373684
This paper compares two single-equation approaches from the recent nowcast literature: Mixed-data sampling (MIDAS) regressions and bridge equations. Both approach are used to nowcast a low-frequency variable such as quarterly GDP growth by higher-frequency business cycle indicators. Three...
Persistent link: https://www.econbiz.de/10010432327
In the last decade, stress tests have become indispensable in bank risk management which has led to significantly increased requirements for stress tests for banks and regulators. Although the complexity of stress testing frameworks has been enhanced considerably over the course of the last few...
Persistent link: https://www.econbiz.de/10011419593
In recent years, survey-based measures of expectations and disagreement have received increasing attention in economic research. Many forecast surveys ask their participants for fixed-event forecasts. Since fixed-event forecasts have seasonal properties, researchers often use an ad-hoc approach...
Persistent link: https://www.econbiz.de/10011518264
Since the influential paper of Stock and Watson (2002), the dynamic factor model (DFM) has been widely used for forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor model is modified by using the mixed data sampling...
Persistent link: https://www.econbiz.de/10011566828
Persistent link: https://www.econbiz.de/10012821448
using a lab-in-the-field experiment. We find that those groups that observe each other show lower within group standard …
Persistent link: https://www.econbiz.de/10011434386
-of-sales expenditures. We are particularly interested in the effect of a behavioural experiment, eliciting respondents’ risk preferences, on … their recording behaviour. In the experiment, run shortly before the consumers start to fill in the diary, the consumers … literature on incentives. For participants who roll the die, the experiment can be seen as a tool to randomly assign an incentive …
Persistent link: https://www.econbiz.de/10011404296
deviation (in beliefs, utility, or perceived prices) is within e of expected utility theory. The number e can then be used as a … distance to the theory. We apply our methodology to three recent large-scale experiments. Many subjects in those experiments …
Persistent link: https://www.econbiz.de/10011904269