This paper discusses the forecasting performance of alternative factor models based on a large panel of quarterly time series for the german economy. One model extracts factors by static principals components analysis, the other is based on dynamic principal components obtained using frequency...

Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. To account for temporal instabilities in this relationship, this paper discusses an extension to MIDAS with time-varying parameters, which...

This paper discusses the forecasting performance of alternative factor models based on a large panel of quarterly time series for the german economy. One model extracts factors by static principals components analysis, the other is based on dynamic principal components obtained using frequency...

Im Rahmen moderner geldpolitischer Strategien spielt das Konzept des Produktionspotenzials eine wichtige Rolle. Es repräsentiert die nachhaltigen Produktionsmöglichkeiten einer Volkswirtschaft, die ohne Gefahren für die Preisstabilität realisiert werden können. Für eine empirische...