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Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices
Submitter, FEEM RPS; Casoli, Chiara; Lucchetti, Riccardo - 2021
In this article, we propose a cointegration-based Permanent-Transitory decomposition for non-stationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …
Persistent link: https://www.econbiz.de/10013219376
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Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices
Casoli, Chiara; Lucchetti, Riccardo - In: The econometrics journal 25 (2022) 2, pp. 494-514
Persistent link: https://www.econbiz.de/10013253846
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Remittances in Mexico and their unobserved components
Corona, Francisco; Orraca, Pedro - In: Journal of international trade & economic development : … 28 (2019) 8, pp. 1047-1066
Persistent link: https://www.econbiz.de/10012203679
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Global financial cycles since 1880
Potjagailo, Galina; Wolters, Maik H. - 2019
We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and...
Persistent link: https://www.econbiz.de/10011987786
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Global financial cycles since 1880
Potjagailo, Galina; Wolters, Maik H. - 2019
The authors analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, they analyze the dynamics of co-movement and compare recent...
Persistent link: https://www.econbiz.de/10011992406
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The evolution of commodity trios prices and causality equation : in structural break perspective
Pala, Aynur - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 2, pp. 335-340
Persistent link: https://www.econbiz.de/10014496302
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Common factors, trends, and cycles in large datasets
Barigozzi, Matteo; Luciani, Matteo - 2017
This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the Expectation Maximisation algorithm. The asymptotic...
Persistent link: https://www.econbiz.de/10011803273
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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data
Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015
The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic variables without a priori assumptions concerning causality and generate forecasts without additional assumptions regarding regressors. With application of tendency survey data...
Persistent link: https://www.econbiz.de/10010512536
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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data
Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015
The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...
Persistent link: https://www.econbiz.de/10011349021
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
estimation of static factor models and factor augmented autoregressions using a set of 190 quarterly observations of 144 US …
Persistent link: https://www.econbiz.de/10010532582