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Variable Selection and Functional Form Uncertainty in Cross-Country Growth Regressions

Salimans, Tim - 2011

Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function. Most discussions in the literature address these...

Persistent link: https://www.econbiz.de/10010325783

Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility

Cakmakli, Cem; van Dijk, Dick - 2010

This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...

Persistent link: https://www.econbiz.de/10010326025

Bayesian Forecasting of Federal Funds Target Rate Decisions

van den Hauwe, Sjoerd; van Dijk, Dick; Paap, Richard - 2011

This paper examines which macroeconomic and financial variables are most informative for the federal funds target rate decisions made by the Federal Open Market Committee (FOMC) from a forecasting perspective. The analysis is conducted for the FOMC decision during the period January 1990 - June...

Persistent link: https://www.econbiz.de/10010326185

Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation

Callot, Laurent; Kristensen, Johannes Tang - 2015

high dimensional by construction and sparse by assumption, is estimated using the Lasso. We apply this method to the …

Persistent link: https://www.econbiz.de/10011288409

Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels

Koopman, Siem Jan; Schaumburg, Julia; Wiersma, Quint - 2021

We propose a new unified approach to identifying and estimating spatio-temporal dependence structures in large panels. The model accommodates global cross-sectional dependence due to global dynamic factors as well as local cross-sectional dependence, which may arise from local network...

Persistent link: https://www.econbiz.de/10012427194

Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice

Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - 2014

autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong …

Persistent link: https://www.econbiz.de/10010491375

Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy

Callot, Laurent; Kristensen, Johannes Tang - 2014

) and studies the properties of the Lasso and adaptive Lasso as estimators of this model. The parameters of the model are … finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with … of non zero increments grows slower than √T . By simulation experiments we investigate the properties of the Lasso and …

Persistent link: https://www.econbiz.de/10010491376