The paper attempts to determine regional unemployment rates for NUTS 2 regions based on data available on a regular basis from Eurostat and ILO. In the first part it is shown how the evolution of regional unemployment rates is determined by national unemployment rates by industry and the...

This tutorial shows how to use the jubilee package in R to forecast the 10-year and 20-year growth trajectory of S&P 500 Index. R programs are provided to run the regressions, make predictions, and plot the charts. Additionally, in order to capture the short-horizon volatility (less than 10...

In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002). Some recent research has begun to examine MGARCH...

This paper considers estimating the slope parameters and forecasting in potentially heterogeneous panel data regressions with a long time dimension. We propose a novel optimal pooling averaging estimator that makes an explicit trade-off between efficiency gains from pooling and bias due to...

We investigate the accuracy of ex ante assessments of vulnerability to income poverty using cross-sectional data and panel data. We use long-term panel data from Germany and apply different regression models, based on household covariates and previous-year equivalence income, to classify a...

We investigate the accuracy of ex ante assessments of vulnerability to poverty using cross-sectional data and panel data. We use long-term panel data from Germany and apply different regression models, based on household covariates and previous-year equivalence income, to classify a household as...

We investigate the accuracy of ex ante assessments of vulnerability to income poverty using cross-sectional data and panel data. We use long-term panel data from Germany and apply different regression models, based on household covariates and previous-year equivalence income, to classify a...

Since the influential paper of Stock and Watson (2002), the dynamic factor model (DFM) has been widely used for forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor model is modified by using the mixed data sampling...

This paper promotes the use of panel data in nowcasting. We shift the existing focus of the literature, which has almost exclusively used time series models to nowcast national aggregate variables like gross domestic product (GDP). We propose a mixed-frequency panel VAR model and a...