This paper forecasts earnings per share four- and eight- quarters ahead for 30 Dow firms using out-of-sample combination forecast methods. We show that many financial/economic variables, such as price-earnings ratio, dividend yield and Treasury bill rate, fail to predict out-of-sample EPS...

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

Credit risk ratings have become an important input in the process of improving transparency of public finances in local governments and also in the evaluation of credit quality of state and municipal governments in Mexico. Although rating agencies have recently been subjected to heavy criticism,...

As an application of the hedonic approach, this paper provides empirical evidence showing why the Japanese CPI has failed to account for quality changes in automobiles. The paper find first that, between 1990-94, quality-adjusted price index for automobiles declined 0.3% annually, while the...

En los últimos años existe un creciente interés por la elaboración de rankings de calidad de las universidades. Además, la creación del Espacio Europeo de Educación Superior ha incrementado la relevancia de la evaluación de la calidad científica. Sin embargo, la falta de transparencia...

In this paper we re-examine the long standing and puzzling correlation between national savings and investment in industrial countries. We apply an econometric methodology that allows us to separate idiosyncratic correlation at the country level from correlation at the global level. In a major...

This paper presents a revised version of the DIW Economic Barometer, the business cycle index of the German Institute for Economic Research (DIW Berlin). As in earlier versions, we put forward a factor model on a monthly frequency to filter the latent state of the aggregate economy. In the new...

Durante 1995-2007 España siguió un modelo económico basado en el sector de la construcción que generó fuerte crecimiento y acelerada reducción del paro. Tras el estallido de la burbuja inmobiliaria en 2008, la caída de este sector propició un aumento vertiginoso del desempleo. Con el...

This paper tackles the prediction of the probability and severity of US recessions. We employ parsimonious Probit models to estimate the probability of a recession h periods ahead, for h varying between 1 and 8 quarters. A novel goodness-of-fit measure derived from the Kullback-Leibler...

This paper indicates special aspects of using vector auto-regression models to forecast rates of basic macroeconomic indicators in short term. In particular, traditional vector auto-regression model, Bayesian vector auto-regression model and factor augmented vector auto-regression model are...