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Time varying three pass regression filter

Marcellino, Massimiliano; Dendramis, Yiannis; … - 2023

Persistent link: https://www.econbiz.de/10014383819

Chapter 8. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics

Stock, J.H.; Watson, M.W. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 415-525). 2016

This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses …

Persistent link: https://www.econbiz.de/10014024278

Dynamic factor models : does the specification matter?

Miranda, Karen; Poncela, Pilar; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 1, pp. 397-428

variables. This paper analyses the empirical consequences on factor estimation, in-sample predictions and out …

Persistent link: https://www.econbiz.de/10013326908

Growth in stress

González-Rivera, Gloria; Maldonado, Javier; Ruiz, Esther - In: International journal of forecasting 35 (2019) 3, pp. 948-966

Persistent link: https://www.econbiz.de/10012305193

Spurious relationships in high-dimensional systems with strong or mild persistence

Gonzalo, Jesús; Pitarakis, Jean-Yves - In: International journal of forecasting 37 (2021) 4, pp. 1480-1497

Persistent link: https://www.econbiz.de/10013274296

The PCDID approach : difference-in-differences when trends are potentially unparallel and stochastic

Chan, Marc K.; Kwok, Simon Sai Man - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1216-1233

Persistent link: https://www.econbiz.de/10013539493

Unified factor model estimation and inference under short and long memory

Ke, Shuyao; Phillips, Peter C. B.; Su, Liangjun - 2022

Persistent link: https://www.econbiz.de/10013464260

Chapter 14. Variable Selection in Predictive Regressions

Ng, Serena - 2013

This chapter reviews methods for selecting empirically relevant predictors from a set of N potentially relevant ones for the purpose of forecasting a scalar time series. First, criterion-based procedures in the conventional case when N is small relative to the sample size, T , are reviewed. Then...

Persistent link: https://www.econbiz.de/10014025234

Variable selection in predictive regressions

Ng, Serena - 2013

Persistent link: https://www.econbiz.de/10011507028

Forecasting with supervised factor models

Umbach, Simon Lineu - In: Empirical economics : a journal of the Institute for … 58 (2020) 1, pp. 169-190

Persistent link: https://www.econbiz.de/10012216370

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