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Testing the rank of the Hankel matrix: a statistical approach
Camba-Méndez, Gonzalo; Kapetanios, George - 2001
The rank of the Hankel matrix, corresponding to a system transfer function, is equal to the order of its minimal state space realization. The computation of the rank of the Hankel matrix is complicated by the fact that its block elements are rarely given exactly but are estimated instead. In...
Persistent link: https://www.econbiz.de/10011604091
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Spectral based methods to identify common trends and common cycles
Camba-Méndez, Gonzalo; Kapetanios, George - 2001
The rank of the spectral density matrix conveys relevant information in a variety of modelling scenarios. Phillips (1986) showed that a necessary condition for cointegration is that the spectral density matrix of the innovation sequence at frequency zero is of a reduced rank. In a recent paper...
Persistent link: https://www.econbiz.de/10011604108
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Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
Camba-Méndez, Gonzalo; Kapetanios, George - 2008
Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...
Persistent link: https://www.econbiz.de/10011604896
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Statistical Tests and Estimators of the Rank of a Matrix and their Applications in Econometric Modelling
Camba-Méndez, Gonzalo; Kapetanios, George - 2021
Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...
Persistent link: https://www.econbiz.de/10013316643
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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia; Kilian, Lutz - 2002
residual-based bootstrap procedures for dynamic regression models treat the regression eroor as i.i.d. These procedures are …-to-implement alternative bootstrap proposals for stationary autoregressive processes with m.d.s. errors subject to possible conditional … heteroskedasticity of unknown form. These proposals are the fixed-design wild bootstrap, the recursive design wild bootstrap and the …
Persistent link: https://www.econbiz.de/10011604242
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Forecasting inflation with thick models and neural networks
McNelis, Paul; McAdam, Peter - 2004
models. They outperform the best performing linear models for “real-time” and “bootstrap” forecasts for service indices for …
Persistent link: https://www.econbiz.de/10011604398
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A system approach for measuring the euro area NAIRU
Fabiani, Silvia; Mestre, Ricardo - 2001
variance of the process. The latter is derived through bootstrap exercises using the models alone or pooled together. The …, the bootstrap exercises point to confidence bands close to 1 per cent around the estimated value. …
Persistent link: https://www.econbiz.de/10011604111
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Does the Greenspan era provide evidence on leadership in the FOMC?
El-Shagi, Makram; Jung, Alexander - 2013
bootstrap analysis exploits information contained in these reaction functions and constructs counterfactual distributions of …
Persistent link: https://www.econbiz.de/10011605624
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Selecting models with judgment
Manganelli, Simone - 2018
A statistical decision rule incorporating judgment does not perform worse than a judgmental decision with a given probability. Under model misspecification, this probability is unknown. The best model is the least misspecified, as it is the one whose probability of underperforming the judgmental...
Persistent link: https://www.econbiz.de/10012142032
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Monetary policy with judgment
Gelain, Paolo; Manganelli, Simone - 2020
Two approaches are considered to incorporate judgment in DSGE models. First, Bayesian estimation indirectly imposes judgment via priors on model parameters, which are then mapped into a judgmental interest rate decision. Standard priors are shown to be associated with highly unrealistic...
Persistent link: https://www.econbiz.de/10012422066