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This paper presents a dynamic factor model in which the extracted factors and shocks are given a clear economic interpretation. The economic interpretation of the factors is obtained by means of a set of over-identifying loading restrictions, while the structural shocks are estimated following...
Persistent link: https://www.econbiz.de/10013154051
This paper presents a dynamic factor model in which the extracted factors and shocks are given a clear economic interpretation. The economic interpretation of the factors is obtained by means of a set of over-identifying loading restrictions, while the structural shocks are estimated following...
Persistent link: https://www.econbiz.de/10013155955
In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...
Persistent link: https://www.econbiz.de/10013213151
Persistent link: https://www.econbiz.de/10001969733
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-d.In this work we consider two identification procedures: the first one follows the classical estimation for SETAR models, the …
Persistent link: https://www.econbiz.de/10013111893
We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...
Persistent link: https://www.econbiz.de/10008797745
estimation properties of the method and test its predictive power on S&P 500 option data, comparing it as well with other recent …
Persistent link: https://www.econbiz.de/10013108080
We derive and empirically apply an input-oriented distance function based on the stochastic ray production function suggested by L¨othgren (1997, 2000). We show that the derived ray-based input distance function is suitable for modeling production technologies based on logarithmic functional...
Persistent link: https://www.econbiz.de/10013253645
Persistent link: https://www.econbiz.de/10000335724