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This paper aims at providing a primer on the use of big data in macroeconomic nowcasting and early estimation. We discuss: (i) a typology of big data characteristics relevant for macroeconomic nowcasting and early estimates, (ii) methods for features extraction from unstructured big data to...
Persistent link: https://www.econbiz.de/10012915621
In this paper we examine feed-forward neural networks using genetic algorithms in the training process instead of error backpropagation algorithm. Additionally real encoding is preferred to binary encoding as it is more appropriate to find the optimum weights. We use learning and momentum rates...
Persistent link: https://www.econbiz.de/10013138757
The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including bridge equations, Mixed Data Sampling (MIDAS) models, mixed frequency...
Persistent link: https://www.econbiz.de/10013063873
We consider treatment effect estimation via a difference-in-difference approach for data with local spatial interaction such that the outcome of observed units depends on their own treatment as well as on the treatment status of proximate neighbors. We show that under standard assumptions...
Persistent link: https://www.econbiz.de/10011301196
Measurable aspects of the economic convergence of EU countries form the main topic of this paper. For this purpose, statistical and econometric methods are presented and applied for revealing characteristic elements of such a process. A first group of methods refers mainly to aspects such as:...
Persistent link: https://www.econbiz.de/10010529083
We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. The new method, denoted as Markov-switching three-pass...
Persistent link: https://www.econbiz.de/10011637435
We consider treatment effect estimation via a difference-in-difference approach for data with local spatial interaction such that the outcome of observed units depends on their own treatment as well as on the treatment status of proximate neighbors. We show that under standard assumptions...
Persistent link: https://www.econbiz.de/10013018481
forecasts, in which case quantile aggregation seems preferable overall; (ii) the choice of the combination weights is important … density forecasts from time series and econometric models for Italian GDP …
Persistent link: https://www.econbiz.de/10013030198
A longstanding finding in the forecasting literature is that averaging forecasts from different models often improves … upon forecasts based on a single model, with equal weight averaging working particularly well. This paper analyzes the …
Persistent link: https://www.econbiz.de/10009734344
Among the many troublesome econometric relationships, the demand for money has proved especially recalcitrant, as evidenced by a long history of tinkering with basic specifications, always in response to some recent perceived forecast failure. The shortcomings of this approach and an alternative...
Persistent link: https://www.econbiz.de/10013403846