Classical Time-varying FAVAR Models
Author: Sandra Eickmeier
Publisher:
Published: 2011
Total Pages: 55
ISBN-13: 9783865586933
DOWNLOAD EBOOKRead and Download eBook Full
Author: Sandra Eickmeier
Publisher:
Published: 2011
Total Pages: 55
ISBN-13: 9783865586933
DOWNLOAD EBOOKAuthor: Sandra Eickmeier
Publisher:
Published: 2016
Total Pages: 68
ISBN-13:
DOWNLOAD EBOOKWe propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of US variables from 1972 to 2007, the results indicate some changes in the factor dynamics, and more marked variation in the factors' shock volatility and their loading parameters. Forecasts from the time-varying FAVAR are more accurate than those from a constant parameter FAVAR for most variables and horizons when computed insample, for some variables in pseudo real time, mostly financial indicators. Finally, we use the time-varying FAVAR to assess how monetary transmission to the economy has changed. We find substantial time variation in the volatility of monetary policy shocks, and we observe that the reaction of GDP, the GDP deflator, inflation expectations and long-term interest rates to an equally-sized monetary policy shock has decreased since the early-1980s.
Author: Siem Jan Koopman
Publisher: Emerald Group Publishing
Published: 2016-01-08
Total Pages: 685
ISBN-13: 1785603523
DOWNLOAD EBOOKThis volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Author: Sandra Eickmeier
Publisher:
Published: 2011
Total Pages: 50
ISBN-13:
DOWNLOAD EBOOKAuthor: Sandra Eickmeier
Publisher:
Published: 2011
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKAuthor: Jushan Bai
Publisher: Now Publishers Inc
Published: 2008
Total Pages: 90
ISBN-13: 1601981449
DOWNLOAD EBOOKLarge Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. Large Dimensional Factor Analysis discusses how to determine the number of factors, how to conduct inference when estimated factors are used in regressions, how to assess the adequacy pf observed variables as proxies for latent factors, how to exploit the estimated factors to test unit root tests and common trends, and how to estimate panel cointegration models.
Author: Eric Ghysels
Publisher: Oxford University Press
Published: 2018-03-23
Total Pages: 617
ISBN-13: 0190622032
DOWNLOAD EBOOKEconomic forecasting is a key ingredient of decision making both in the public and in the private sector. Because economic outcomes are the result of a vast, complex, dynamic and stochastic system, forecasting is very difficult and forecast errors are unavoidable. Because forecast precision and reliability can be enhanced by the use of proper econometric models and methods, this innovative book provides an overview of both theory and applications. Undergraduate and graduate students learning basic and advanced forecasting techniques will be able to build from strong foundations, and researchers in public and private institutions will have access to the most recent tools and insights. Readers will gain from the frequent examples that enhance understanding of how to apply techniques, first by using stylized settings and then by real data applications--focusing on macroeconomic and financial topics. This is first and foremost a book aimed at applying time series methods to solve real-world forecasting problems. Applied Economic Forecasting using Time Series Methods starts with a brief review of basic regression analysis with a focus on specific regression topics relevant for forecasting, such as model specification errors, dynamic models and their predictive properties as well as forecast evaluation and combination. Several chapters cover univariate time series models, vector autoregressive models, cointegration and error correction models, and Bayesian methods for estimating vector autoregressive models. A collection of special topics chapters study Threshold and Smooth Transition Autoregressive (TAR and STAR) models, Markov switching regime models, state space models and the Kalman filter, mixed frequency data models, nowcasting, forecasting using large datasets and, finally, volatility models. There are plenty of practical applications in the book and both EViews and R code are available online at authors' website.
Author: John B. Taylor
Publisher: Elsevier
Published: 2016-11-12
Total Pages: 2744
ISBN-13: 0444594884
DOWNLOAD EBOOKHandbook of Macroeconomics Volumes 2A and 2B surveys major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues, including fiscal, monetary, and regulatory policies to deal with crises, unemployment, and economic growth. As this volume shows, macroeconomics has undergone a profound change since the publication of the last volume, due in no small part to the questions thrust into the spotlight by the worldwide financial crisis of 2008. With contributions from the world’s leading macroeconomists, its reevaluation of macroeconomic scholarship and assessment of its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade Builds upon Volume 1 by using its section headings to illustrate just how far macroeconomic thought has evolved
Author: Michael P. Clements
Publisher: OUP USA
Published: 2011-07-08
Total Pages: 732
ISBN-13: 0195398645
DOWNLOAD EBOOKGreater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Author: Juan J. Dolado
Publisher: Emerald Group Publishing
Published: 2022-09-21
Total Pages: 188
ISBN-13: 1803828331
DOWNLOAD EBOOKBoth parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.