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Measuring foreign impact : leading index construction using hierarchical dynamic factor model

Reklaite, Agne - In: Baltic journal of economics 16 (2016) 1, pp. 21-32

In this paper a new method of constructing the leading economic index is presented. Its main advantage is the ability …

Persistent link: https://www.econbiz.de/10011890861

Forecasting the Malmquist Productivity Index

Daskovska, Alexandra; Van Bellegem, Sébastien; Simar, … - 2008

The Malmquist Productivity Index (MPI) suggests a convenient way of measuring the productivity change of a given unit …. However, this approach hides a potentially valuable information given by the evolution of productivity over time. In this … productivityt index of 17 OCDE countries, constructed from their GDP, labor and capital stock …

Persistent link: https://www.econbiz.de/10014217663

Temperature anomalies, long memory, and aggregation

Vera-Valdés, J. Eduardo - In: Econometrics : open access journal 9 (2021) 1/9, pp. 1-22

Econometric studies for global heating have typically used regional or global temperature averages to study its long memory properties. One typical explanation behind the long memory properties of temperature averages is cross-sectional aggregation. Nonetheless, formal analysis regarding the...

Persistent link: https://www.econbiz.de/10012483296

Building daily economic sentiment indicators

Rey del Castillo, Pilar - 2022

The availability of copious amounts of data produced by the increasing datification of our society is nowadays deemed an opportunity to produce timely and convenient statistical information. This paper shows the building of economic sentiment indexes from the texts of the most read economic...

Persistent link: https://www.econbiz.de/10013453734

Banking crises and crisis dating : theory and evidence

Boyd, John H.; De Nicolò, Gianni; Loukoianova, Elena - 2009

Persistent link: https://www.econbiz.de/10003883760

Chapter 9 Approximate Nonlinear Forecasting Methods

White, Halbert - 2006

We review key aspects of forecasting using nonlinear models. Because economic models are typically misspecified, the resulting forecasts provide only an approximation to the best possible forecast. Although it is in principle possible to obtain superior approximations to the optimal forecast...

Persistent link: https://www.econbiz.de/10014023697

25 years of IIF time series forecasting : a selective review

Gooijer, Jan G. de; Hyndman, Rob J. - 2005

We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers_new published in these...

Persistent link: https://www.econbiz.de/10011346491

Baynesian Leading Indicators : Measuring and Predicting Economic Conditions

Otrok, Chris; Whiteman, Charles H. - 1998

This paper designs and implements a Baynesian dynamic latent factor model for a vector of data describing the Iowa economy. Posterior distributions of parameters and the latentfactor are analyzed by Markov Chain Monte Carlo methods, and coincident and leading indicators are given by posterior...

Persistent link: https://www.econbiz.de/10014103328

News-Based Sentiment Indicators

Huang, Chengyu - 2020

We construct sentiment indices for 20 countries from 1980 to 2019. Relying on computational text analysis, we capture specific language like 'fear', 'risk', 'hedging', 'opinion', and, 'crisis', as well as 'positive' and 'negative' sentiments, in news articles from the Financial Times. We assess...

Persistent link: https://www.econbiz.de/10012843513

Estimation and forecasting of industrial production index

Ejaz, Muhammad; Iqbal, Javed - 2019

Persistent link: https://www.econbiz.de/10012385043