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Streicher, Sina - 2022

Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models … unobserved component models and offers frequentist as well as Bayesian estimation techniques. Additional functionalities include … preparation, model specification, and estimation processes using RGAP. …

Persistent link: https://www.econbiz.de/10013256541

Common factors, trends, and cycles in large datasets

Barigozzi, Matteo; Luciani, Matteo - 2017

This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the Expectation Maximisation algorithm. The asymptotic...

Persistent link: https://www.econbiz.de/10011803273

Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters

Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007

In this discussion paper we introduce time-varying parameters in the dynamic Nelson–Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities. The Nelson–Siegel model has been recently reformulated as a dynamic factor model with vector...

Persistent link: https://www.econbiz.de/10011373825

Precision-based sampling with missing observations : a factor model application

Hauber, Philipp; Schumacher, Christian - 2021

easily integrated into Bayesian estimation procedures like the Gibbs sampler. By allowing for incomplete data sets, the …

Persistent link: https://www.econbiz.de/10012510141

Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area

Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - 2016

We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical...

Persistent link: https://www.econbiz.de/10011456728

Bayesian estimation of sparse dynamic factor models with order-independent identification

Kaufmann, Sylvia; Schumacher, Christian - 2013

The analysis of large panel data sets (with N variables) involves methods of dimension reduction and optimal information extraction. Dimension reduction is usually achieved by extracting the common variation in the data into few factors (k, where k N). In the present project, factors are...

Persistent link: https://www.econbiz.de/10010221685

Efficient Estimation of Bayesian VARMAs with Time-Varying Coefficients

Chan, Joshua - 2015

estimation of VARMAs is perceived to be challenging and proposed various ways to simplify it. Nevertheless, VARMAs continue to be …

Persistent link: https://www.econbiz.de/10013021301

Implementing an approximate dynamic factor model to nowcast GDP using sensitivity analysis

Duarte, Pablo; Süssmuth, Bernd - 2018

Dynamic factor models based on Kalman Filter techniques are frequently used to nowcast GDP. This study deals with the selection of indicators for this practice. We propose a two-tiered mechanism which is shown in a case study to produce more accurate nowcasts than a benchmark stochastic process...

Persistent link: https://www.econbiz.de/10011790808

Specification Tests for Time-Varying Parameter Models with Stochastic Volatility

Chan, Joshua - 2015

We propose an easy technique to test for time-variation in coefficients and volatilities. Specifically, by using a noncentered parameterization for state space models, we develop a method to directly calculate the relevant Bayes factor using the Savage-Dickey density ratio — thus avoiding the...

Persistent link: https://www.econbiz.de/10013012326

Dynamic factor models with smooth loadings for analyzing the term structure of interest rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2010

We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a...

Persistent link: https://www.econbiz.de/10011378359