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Bayesian methods, large-scale asset purchases, quantitative easing, vector autoregressions
Import prices, exchange rates, pass-through, thresholds
one covariate at a time, multiple testing, model selection, high dimensionality, penalized regressions, boosting, Monte Carlo experiments
One covariate at at time, multiple testing, model selection, high dimensionality, penalised regressions, boosting, Monte Carlo experiments
Big Data, Nowcasting, Early Estimates, Econometric Methods
Financial contagion, Dynamic factor model
Unit roots, globally stationary cointegrating processes, nonlinear exponential smooth transition autoregressive error correction models, Monte Carlo simulations, prices and dividends
Persistence, Nonparametric Regression, Nonlinear Models, Real Exchange Rates
Financial contagion, dynamic factor model
Bayesian methods, large-scale asset purchases, quantitative easing, Funding for Lending Scheme, vector autoregressions, auto-regressive distributed lag
Co-Jumps, Jumps, Informed Traders, Liquidity, Option Markets, Scheduled News Announcements
Unit Root, Structural Break
cross section dependence, large panels, principal components, common correlated effects, return equations
macroeconomic forecasting, factor models, forecast combination, principal components, partial least squares, Bayesian ridge regression
ARMA Models
PPP, real exchange rates, half-lives, panel unit root tests
Factor Models, Subspace Methods, State Space Models
cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, capital asset pricing model
cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, Capital Asset Pricing Model
Long Memory, Nonlinearity, Neural Networks, Real Exchange Rates
Panel datasets, Poolability, Sequential testing
tests of rank, spectral density matrix
This is a Wiley Blackwell - Medium Tier paper. Wiley Blackwell - Medium Tier charges $49.00 .
File name: jtsa.pdf Size: 136K
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Tests of rank, spectral density matrix
Self-exciting Threshold Autoregressive Models, Unit Roots, Globally Stationary Processes, Threshold Cointegration, Wald Tests, Monte Carlo Simulations, Real Exchange Rates
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: ectj.pdf Size: 306K
PPP, yen, real exchange rates, nonlinear models, ESTAR models
Nonlinearity, Long Memory, ESTAR Models, SETAR Models
Forecasting, inflation, Bayesian model averaging, Akaike criteria, forecast combining
Macroeconomic Forecasting, Forecast Comparison, Empirical Similarity, Parameter Time Variation, Kernel Estimation
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
empirical similarity, Forecast comparison, Kernel estimation, Macroeconomic forecasting, parameter time variation
cross section dependence, large panels, unit roots, principal components
Text, forecasting, machine learning
factor models, factor strength, measures of pervasiveness, cross-sectional dependence, market factor
Forecasting, forecast combining
Nonlinearity, ARCH, Neural Networks
Long memory, nonlinearity
Factor models, Principal components, Subspace algorithms, Structural
Factor models, principal components, subspace algorithms, structural identification, structural VAR
Core Inflation, Dynamic Factor Models, Forecasting
multiple time series, model specification, tests of rank
Cointegration rank, Nonparametric Analysis
Factor models, Principal components, Subspace algorithms
factor models, principal components, subspace algorithms
File name: jtsa.pdf Size: 279K
VARMA, weak VARMA, weak ARMA, Forecasting, Large datasets, Iterative ordinary least squares (IOLS) estimator, Asymptotic contraction mapping
Pervasive Units, Factor Models, Systemic Risk, Cross-Sectional Dependence
dominant units, factor models, systemic risk, cross-sectional dependence, networks
Bayesian Shrinkage Regression, Dynamic Factor Model, Euro Area, Forecasting, Kalman Filter, Partial Least Squares
Bayesian shrinkage regression, dynamic factor model, euro area, forecasting, Kalman filter, partial least squares
Threshold models, endogeneity, bootstrap
Covariance Matrix, Shrinkage Methods, Portfolio Optimisation
Density Forecasting, Model Combination, Scoring Rules
Stochastic volatility, structural breaks
Tests of Rank, Model Reduction, Hankel Operator, Monte Carlo
Fixed-event forecasts, rational expectations, forecast efficiency
Tests of Rank, Spectral Density Matrix, Canonical Correlations
Stationarity, Random Coefficient Models
large VARs, time-varying parameters, non-parametric estimation, forecasting
monitoring, recent structural change, forecast combination, robust forecasts
Inflation, forecasting, machine learning, state space models, CPI disaggregated data, Shapley values
Bank efficiency, stochastic cost frontier, latent class, panel data
Recent and ongoing structural change, forecast combination, robust forecasts
expected returns, structural breaks, large shocks, state space model, regime-shifts, threshold models
Bayesian Shrinkage Regression, Cross-Sectional Dependence, Cross-Sectional Averages, Euro Area, Forecasting, Genetic Algorithms, Heuristic Optimisation, MC^3, PEEIs, Sequential Testing, Simulated Annealing, Partial Least Squares, Principal Components
Rank, Bootstrap, Monte Carlo, System Identification, Hankel Operator
Heuristic optimisation, Information criteria, Unbalanced datasets, Model Reduction, Forecasting, PEEI
Pair-Wise Correlations, Cross-Sectional Dependence, Cross-Sectional Averages, Weak and Strong Factor Models. CAPM and Fama-French Factors.
Data uncertainty, measurement error, revisions, real-time data, forecasting
DSGE, structural change, kernel estimation, time-varying VAR, monetary policy shocks
factor models, information criteria, macroeconomic forecasting
File name: j-0084.pdf Size: 645K
Common cycles and trends, Tests of rank, Cointegration
Factors, Large Datasets, Forecast Combinations
Time variation, great ratios, cointegration
ARFIMA Models, Impulse Response, Long Memory
Forecasting, financial conditions index, targeted data reduction, multivariate partial least squares, credit shocks
Forecasting, Financial conditions index, Targeted data reduction, Multivariate partial least squares, Credit shocks
non-linear panel data model, cross-sectional dependence, common correlated effects estimator
instrumental variable estimation, many instruments, factor models
large dimensional regression, sparse matrix, thresholding, shrinkage, model selection
File name: obes.pdf Size: 1338K
Bayesian Shrinkage Regression, EU, Forecasting, Partial Least Squares, Summary Indicators
Financial Conditions, Forecasting
File name: jtsa.pdf Size: 199K
Panel Data Models, Cross-sectional Error Dependence, Unobserved Heterogeneous Factors, Factor Correlated Loadings
Multi-dimensional Panel Data Models, Cross-sectional Error Dependence, Unobserved Heterogeneous Global and Local Factors, Multilateral Resistance, The Gravity Model of Bilateral Export Flows
Business Cycles, Recession
Wage Phillips curves, state-level data, panel estimation, CCE
File name: jtsa.pdf Size: 198K
Unit root, structural break
VARMA, Weak VARMA, Weak ARMA, Forecasting, Rich and Large Datasets, Iterative Ordinary Least Squares (IOLS) Estimator, Asymptotic Contraction Mapping
File name: obes.pdf Size: 164K
Forecast breaks, statistical decision making, central banking
Big Data, Nowcasting, Sparse Regressions, Factor Models
Bayesian VAR, Exchange Rates, Forecasting
Bayesian methods, Forecasting, Term Structure
DSGE models, Factor models, GMM, Instrumental variables, Principal components, weak instruments
File name: obes.pdf Size: 695K
File name: JTSA.pdf Size: 0K
Time varying estimation, random coefficient models
File name: j-6419.pdf Size: 233K
Inflation equations, Persistence, Price stickiness
Bayesian VARs, factor models, forecasting, reduced rank
Asymmetric information, co-jump, limit order book market, liquidity, option market, news announcement
Bayesian VARs, factor models, forecasting, large datasets, Multivariate Autoregressive Index models, Reduced Rank Regressions, structural analysis
factor model, identification-robust inference, IV regression, new Keynesian model, principle components, weak instruments
monitoring, structural change, panel, CUSUM, fluctuation test
Stochastic volatility, Factor models, Principal components
Dynamic factor model, Forecasting, Kalman filter, AR, VAR and BVAR models
