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A spectral EM algorithm for dynamic factor models

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - C.E.P.R. Discussion Papers - 2015

We introduce a frequency domain version of the EM algorithm for general dynamic factor models. We consider both AR and ARMA processes, for which we develop iterative indirect inference procedures analogous to the algorithms in Hannan (1969). Although our proposed procedure allows researchers to...

Persistent link: https://www.econbiz.de/10011168903

Fast ML estimation of dynamic bifactor models: an application to European inflation

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - C.E.P.R. Discussion Papers - 2015

We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi and Sentana (2014) to bifactor models with pervasive global factors complemented by regional ones. We exploit the sparsity of the loading matrices so that researchers can estimate those models by maximum...

Persistent link: https://www.econbiz.de/10011186627

Structural FECM: Cointegration in large-scale structural FAVAR models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2014

Starting from the dynamic factor model for non-stationary data we derive the factor-augmented error correction model (FECM) and, by generalizing the Granger representation theorem, its moving-average representation. The latter is used for the identification of structural shocks and their...

Persistent link: https://www.econbiz.de/10011083358

Forecasting with Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010

-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it …

Persistent link: https://www.econbiz.de/10008468646

Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2008

This paper brings together several important strands of the econometrics literature: error-correction, cointegration … the standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration … cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural …

Persistent link: https://www.econbiz.de/10005136642

Following the Trend: Tracking GDP when Long-Run Growth is Uncertain

Antolin-Diaz, Juan; Drechsel, Thomas; Petrella, Ivan - C.E.P.R. Discussion Papers - 2014

Using a dynamic factor model that allows for changes in both the long- run growth rate of output and the volatility of business cycles, we document a significant decline in long-run output growth in the United States. Our evidence supports the view that this slowdown started prior to the Great...

Persistent link: https://www.econbiz.de/10011145426

Business Cycle Synchronization Since 1880

Artis, Michael J; Chouliarakis, George; Harischandra, PKG - C.E.P.R. Discussion Papers - 2011

This paper studies the international business cycle behaviour across 25 advanced and emerging market economies for which 125 years of annual GDP data are available. The picture that emerges is more fragmented than the one drawn by studies that focused on a narrower set of advanced market...

Persistent link: https://www.econbiz.de/10009003371

Relative Goods’ Prices and Pure Inflation

Reis, Ricardo; Watson, Mark W - C.E.P.R. Discussion Papers - 2007

This paper uses a dynamic factor model for the quarterly changes in consumption goods’ prices to separate them into three components: idiosyncratic relative-price changes, aggregate relative-price changes, and changes in the unit of account. The model identifies a measure of “pure”...

Persistent link: https://www.econbiz.de/10005067604

International Business Cycle Spillovers

Yilmaz, Kamil - C.E.P.R. Discussion Papers - 2010

This paper studies business cycle interdependence among the industrialized countries since 1958. Using the spillover index methodology recently proposed by Diebold and Yilmaz (2009) and based on the generalized VAR framework, I develop an alternative measure of comovement of macroeconomic...

Persistent link: https://www.econbiz.de/10011083760

Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series

Ghysels, Eric; Miller, J. Isaac - C.E.P.R. Discussion Papers - 2013

We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. We … the size distortion of the tests. We test stock prices and dividends for cointegration as an empirical demonstration. …

Persistent link: https://www.econbiz.de/10011084358

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