Similar Search Results

Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model : an application to the German business cycle

Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - 2017

for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent …

Persistent link: https://www.econbiz.de/10011646914

Robust real-time estimates of the German output gap based on a multivariate trend-cycle decomposition

Berger, Tino; Ochsner, Christian - 2022

The German economy is an important economic driver in the Euro-area in terms of gross domestic product, labour force and international integration. We provide a state of the art estimate of the German output gap between 1995 and 2022 and present a nowcasting scheme that accurately predicts the...

Persistent link: https://www.econbiz.de/10013370512

Tracking the German business cycle

Berger, Tino; Ochsner, Christian - 2022

present a nowcasting scheme that accurately predicts the Germany output gap up to three months prior to a gross domestic …

Persistent link: https://www.econbiz.de/10013174037

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic … chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in … sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …

Persistent link: https://www.econbiz.de/10014024953

Economic indicators for automobile claim frequencies

Boj, Eva; Castañer, Anna; Claramunt, Maria Mercè; … - In: Estudios de economía 46 (2019) 2, pp. 245-271

This article examines the relationship between observed claim frequencies in the automobile insurance line and the evolution of selected economic magnitudes. From a variety of economic variables, we aim to identify the main factors affec - ting claim frequencies, while controlling for other...

Persistent link: https://www.econbiz.de/10012268143

Persistence and seasonality in the US industrial production index

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2023

This paper uses a seasonal long-memory model to capture the behaviour of the US Industrial Production Index (IPI) over the period 1919Q1-2022Q4. This series is found to display a large value of the periodogram at the zero, long-run frequency, and to exhibit an order of integration around 1. When...

Persistent link: https://www.econbiz.de/10014427486

Forecast errors and the macroeconomy : a non-linear relationship?

Fritsche, Ulrich; Döpke, Jörg - 2006 - This version: February 2006

institutions in Germany and argue that violations of the rationality hypothesis are due to relatively few large forecast errors …

Persistent link: https://www.econbiz.de/10010426366

Forecasting revisions of German industrial production

Bührig, Pascal; Wohlrabe, Klaus - In: Applied economics letters 23 (2016) 13/15, pp. 1062-1064

Persistent link: https://www.econbiz.de/10011629571

What predicts U.S. recessions?

Liu, Weiling; Mönch, Emanuel - 2014

We reassess the predictability of U.S. recessions at horizons from three months to two years ahead for a large number of previously proposed leading-indicator variables. We employ an efficient probit estimator for partially missing data and assess relative model performance based on the receiver...

Persistent link: https://www.econbiz.de/10010404520

Dissecting the financial cycle with dynamic factor models

Menden, Christian; Proano, Christian - 2017

The analysis of the financial cycle and its interaction with the macroeconomy has become a central issue for the design of macroprudential policy since the 2007-08 financial crisis. This paper proposes the construction of financial cycle measures for the US based on a large data set of...

Persistent link: https://www.econbiz.de/10011663432