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Observation-driven hierarchical density models for missing data imputation
Khanna, Yonas; Lucas, André - 2025
We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel data. The model exploits both serial and cross-sectional information in the data and can easily cope with time-variation in conditional means and variances, as well as with either...
Persistent link: https://www.econbiz.de/10015373862
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An order-invariant score-driven dynamic factor model
Artemova, Mariia - 2023
exploit a maximum likelihood estimation on the Stiefel manifolds, which ensure that the identification constraint is satisfied … numerically, hence allowing a joint estimation of the static and time-varying parameters. Furthermore, the asymptotic properties …
Persistent link: https://www.econbiz.de/10014390430
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A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016
This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which …
Persistent link: https://www.econbiz.de/10011479769
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New rank-based tests and estimators for common primitive shocks
Carlini, Federico; Rubin, Mirco; Vallarino, Pierluigi - 2025 - This version: February 28, 2025
-to-implement estimator of the common primitive shocks. We illustrate our testing and estimation procedures with applications to panels of …
Persistent link: https://www.econbiz.de/10015329825
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Dynamic factor models with clustered loadings : forecasting education flows using unemployment data
Blasques, Francisco; Hoogerkamp, Meindert Heres; … - 2020
period than our detailed education data panel, we propose a twostep estimation procedure. First, we consider a score …
Persistent link: https://www.econbiz.de/10012315409
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
estimation of static factor models and factor augmented autoregressions using a set of 190 quarterly observations of 144 US …
Persistent link: https://www.econbiz.de/10010532582
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Joint modelling and estimation of global and local cross-sectional dependence in large panels
Koopman, Siem Jan; Schaumburg, Julia; Wiersma, Quint - 2021
-sectional dependence, which may arise from local network structures. Model selection, filtering of the dynamic factors, and estimation are …
Persistent link: https://www.econbiz.de/10012421000
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A multilevel factor model for economic activity with observation-driven dynamic factors
Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan - 2023
interdependence structures across multiple sectors. The estimation procedure is based on a multistep least squares method which is …
Persistent link: https://www.econbiz.de/10014249846
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Slow expectation-maximization convergence in low-noise dynamic factor models
Opschoor, Daan; Dijk, Dick van - 2023
This paper addresses the poor performance of the Expectation-Maximization (EM) algorithm in the estimation of low … estimation accuracy. Modestly increasing the noise level also accelerates convergence. A nowcasting exercise of euro area GDP …
Persistent link: https://www.econbiz.de/10014249849
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Improving score-driven density forecasts with an application to implied volatility surface dynamics
Zou, Xia; Lin, Yicong; Lucas, André - 2025
-Gaussian features to fit the data even better without complicating parameter estimation. We illustrate our findings using a factor model …
Persistent link: https://www.econbiz.de/10015408437