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Dynamic factor models with common (drifting) stochastic trends

Kaufmann, Sylvia; Strachan, Rodney W. - 2024

It is common to transform data to stationarity, such as by differencing and demeaning, before estimating factor models in macroeconomics. Imposing these transformations, however, limit opportunities to learn about trending behaviour. Trends and deterministic processes can play a central role in...

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Estimation of the stochastic volatility by Markov Chain Monte Carlo

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The semiparametric asymmetric stochastic volatility model with time-varying parameters : the case of US inflation

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Transition variables in the Markov-switching model : some small sample properties

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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables

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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables

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This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data … important determinants of participation, while race is much less important. -- Initial conditions ; missing data ; simulation …

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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables

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Analysis, geometry, and modeling in finance : advanced methods in option pricing

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