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The aim of this paper is to study the concept of separability in multiple nonstationary time series displaying both common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of several entities such as countries, sectors, firms,...
Persistent link: https://www.econbiz.de/10011409009
A novel class of dimension reduction methods is combined with a stochastic multi-factor panel regression-based state-space model in order to model the dynamics of yield curves whilst incorporating regression factors. This is achieved via Probabilistic Principal Component Analysis (PPCA) in which...
Persistent link: https://www.econbiz.de/10011887659
We introduce the technique of band spectral panel regression (BSPR) to analyze global linkages across sectors and frequency bands. It relies on decomposing time series —allowably measured in mixed observation frequency— into “deviation cycle” dynamics by frequency band. We use it to...
Persistent link: https://www.econbiz.de/10014485646
on the sparse-group LASSO regularization. This type of regularization can take advantage of the mixed frequency time … oracle inequalities for the pooled and fixed effects sparse-group LASSO panel data estimators recognizing that financial and … panel data consisting of heavy-tailed $\tau$-mixing processes which may be of independent interest in other high …
Persistent link: https://www.econbiz.de/10012826088
We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel data. The model exploits both serial and cross-sectional information in the data and can easily cope with time-variation in conditional means and variances, as well as with either...
Persistent link: https://www.econbiz.de/10015373862
The CDS-bond basis quantifies the difference in risk premia between credit default swap (CDS) and bond markets. It is hard to measure at the individual firm level given substantial missing-value problems (30%-100%) in either or both markets, even for highly liquid blue-chip financial firms. We...
Persistent link: https://www.econbiz.de/10015408438
This paper considers inference on fixed effects in a linear regression model estimated from network data. An important special case of our setup is the two-way regression model. This is a workhorse technique in the analysis of matched data sets, such as employer-employee or student-teacher panel...
Persistent link: https://www.econbiz.de/10011992091
This paper considers inference on fixed effects in a linear regression model estimated from network data. An important special case of our setup is the two-way regression model. This is a workhorse technique in the analysis of matched data sets, such as employer-employee or student-teacher panel...
Persistent link: https://www.econbiz.de/10011878167
regularization techniques- the Standard lasso, the Adaptive lasso, the Minimum Schwarz Bayesian information criterion lasso, and the … lasso inferential techniques of double-selection linear regression, partialing-out lasso linear regression, and partialing …-out lasso instrumental variable regression. Policy recommendations are also provided in line with the AfCFTA and the green …
Persistent link: https://www.econbiz.de/10013380603
We study estimation and inference in panel data regression models when the regressors of interest are macro shocks, which speaks to a large empirical literature that targets impulse responses via local projections. Our results hold under general dynamics and are uniformly valid over the degree...
Persistent link: https://www.econbiz.de/10014501208