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Displaying results 1 to 3 of 3.

  1. A new approach to nomcasting Indian gross value addes
    Author: Bhadury, Soumya; Beyer, Robert; Pohit, Sanjib
    Published: June 2018
    Publisher:  National Council of Applied Economic Research, New Delhi

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / National Council of Applied Economic Research ; WP 115
    Subjects: Nowcasting; India; Gross Value Added; Evening-hour Luminosity; Nightlightdata; Dynamic Factor Analysis; EM Algorithm
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  2. Common factors, trends, and cycles in large datasets
    Author: Barigozzi, Matteo; Luciani, Matteo
    Published: November 6, 2017
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    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... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 412 (2017,111)
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    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 properties of the estimator are discussed. Then, we show how to separate trends and cycles in the factors by mean of eigenanalysis of the estimated non-stationary factors. Finally, we employ our methodology on a panel of US quarterly macroeconomic indicators to estimate aggregate real output, or Gross Domestic Output, and the output gap

     
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Finance and economics discussion series ; 2017, 111
    FEDS Working Paper ; No. 2017-111
    Subjects: EM Algorithm; Gross Domestic Output; Kalman Smoother; Non-stationary Approximate Dynamic Factor Model; Output Gap; Quasi Maximum Likelihood; Trend-Cycle Decomposition
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  3. Time-varying mixture copula models with copula selection
    Author: Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, Guannan
    Published: [2021]
    Publisher:  University of Kansas, Department of Economics, Lawrence, Kansas

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    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 526
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers series in theoretical and applied economics ; 2021, 05
    Subjects: Copula Selection; EM Algorithm; Mixture Copula; SCAD; Time-VaryingDistribution
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen