Author: Sandra EickmeierPublisher:
ISBN:
Category :
Languages : en
Pages : 55
Book Description
Classical Time-varying FAVAR Models
Author: Sandra EickmeierClassical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis
Author: Sandra EickmeierPublisher:
ISBN:
Category :
Languages : en
Pages : 68
Book Description
We 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.
Handbook of Macroeconomics
Author: John B. TaylorPublisher: Elsevier
ISBN: 0444594787
Category : Business & Economics
Languages : en
Pages : 1376
Book Description
Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on 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
Macroeconomic Forecasting in the Era of Big Data
Author: Peter FulekyPublisher: Springer Nature
ISBN: 3030311503
Category : Business & Economics
Languages : en
Pages : 716
Book Description
This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Essays in Honour of Fabio Canova
Author: Juan J. DoladoPublisher: Emerald Group Publishing
ISBN: 1803828315
Category : Business & Economics
Languages : en
Pages : 203
Book Description
Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.
Dynamic Factor Models
Author: Siem Jan KoopmanPublisher: Emerald Group Publishing
ISBN: 1785603523
Category : Business & Economics
Languages : en
Pages : 685
Book Description
This 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.
Monthly Report
Author: Deutsche BundesbankPublisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 624
Book Description
Dynamic Factor Models
Author: Jörg BreitungPublisher:
ISBN: 9783865580979
Category :
Languages : en
Pages : 29
Book Description
The Oxford Handbook of Economic Forecasting
Author: Michael P. ClementsPublisher: OUP USA
ISBN: 0195398645
Category : Business & Economics
Languages : en
Pages : 732
Book Description
Greater 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.
The Oxford Handbook of Bayesian Econometrics
Author: John GewekePublisher: Oxford University Press
ISBN: 0191618268
Category : Business & Economics
Languages : en
Pages : 576
Book Description
Bayesian econometric methods have enjoyed an increase in popularity in recent years. Econometricians, empirical economists, and policymakers are increasingly making use of Bayesian methods. This handbook is a single source for researchers and policymakers wanting to learn about Bayesian methods in specialized fields, and for graduate students seeking to make the final step from textbook learning to the research frontier. It contains contributions by leading Bayesians on the latest developments in their specific fields of expertise. The volume provides broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing. It reviews the state of the art in Bayesian econometric methodology, with chapters on posterior simulation and Markov chain Monte Carlo methods, Bayesian nonparametric techniques, and the specialized tools used by Bayesian time series econometricians such as state space models and particle filtering. It also includes chapters on Bayesian principles and methodology.