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Mönch, Emanuel; Ng, Serena; Potter, Simon M. - 2011

This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...

Persistent link: https://www.econbiz.de/10014199839

Dynamic hierarchical factor models

Mönch, Emanuel; Ng, Serena; Potter, Simon M. - 2009

Persistent link: https://www.econbiz.de/10003948200

Does Hamilton’s OLS Regression Provide a “Better Alternative” to the Hodrick-Prescott Filter? A New Zealand Business Cycle Perspective

Hall, Viv B. - 2020

Within a New Zealand business cycle context, we assess whether Hamilton's (H84) OLS regression methodology produces stylised business cycle facts which are materially different from HP1600 measures, and whether using the H84 predictor and other forecast extensions improves the HP filter's...

Persistent link: https://www.econbiz.de/10012828197

OLS Bias in a Nonstationary Autoregression

Abadir, Karim M. - 2012

An analytical formula is derived to approximate the finite sample bias of the ordinary least-squares (OLS) estimator of … the autoregressive parameter when the underlying process has a unit root. It is found that the bias is expressible in … asymptotic bias. More importantly, the formula proves analytically that the bias declines at a rate which is slower than the …

Persistent link: https://www.econbiz.de/10013112026

The Mega-Space Distributed Lag Model

Ruiz Estrada, Mario Arturo - 2010

This research paper is interested to propose an alternative distributed lag model from a multi-dimensional perspective. It is entitled "The Mega-space Distributed Lag Model". The main objective of the Mega-space Distributed Lag Model is to study different micro and macroeconomic scenarios...

Persistent link: https://www.econbiz.de/10014214692

A conversation with Søren Johansen

Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16

This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30 October 2018 in Copenhagen. It explores Søren Johansen’s research, and discusses inter alia the following issues:...

Persistent link: https://www.econbiz.de/10013355167

A conversation with Katarina Juselius

Jusélius, Katarina (interviewee); … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-21

This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30-31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and discusses inter alia the following issues:...

Persistent link: https://www.econbiz.de/10013355175

Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models

Qu, Zhongjun; Tkachenko, Denis - In: Quantitative economics : QE ; journal of the … 3 (2012) 1, pp. 95-132

This paper considers issues related to identification, inference, and computation in linearized dynamic stochastic general equilibrium (DSGE) models. We first provide a necessary and sufficient condition for the local identification of the structural parameters based on the (first and) second...

Persistent link: https://www.econbiz.de/10011756473

Testing for Reverse Causation and Omitted Variable Bias in Regressions

Marvell, Thomas B. - 2020

text book theory predicts. Coefficients and/or t-ratios expand to extremely unrealistic levels as collinearity increases. I … or missing variable bias), an important and intractable problem in many disciplines. The test is simple: one selects a …

Persistent link: https://www.econbiz.de/10012848483

Testing for Reverse Causation and Omitted Variable Bias in Regressions

Marvell, Thomas B. - 2022

Textbook theory predicts that t-ratios decline towards zero in regressions when there is collinearity between two … regressors. This paper shows that this often does not occur if the regression suffers from simultaneity or omitted variable bias … test for the presence of simultaneity or omitted variable bias, important and intractable problems in many disciplines. The …

Persistent link: https://www.econbiz.de/10013308808