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Bayesian methods, large-scale asset purchases, quantitative easing, vector autoregressions
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File name: ecoj2555.pdf Size: 1578K
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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
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
Financial contagion, dynamic factor model
Big Data, Nowcasting, Early Estimates, Econometric Methods
Persistence, Nonparametric Regression, Nonlinear Models, Real Exchange Rates
Co-Jumps, Jumps, Informed Traders, Liquidity, Option Markets, Scheduled News Announcements
macroeconomic forecasting, factor models, forecast combination, principal components, partial least squares, Bayesian ridge regression
cross section dependence, large panels, principal components, common correlated effects, return equations
Bayesian methods, large-scale asset purchases, quantitative easing, Funding for Lending Scheme, vector autoregressions, auto-regressive distributed lag
Unit Root, Structural Break
ARMA Models
PPP, real exchange rates, half-lives, panel unit root tests
Factor Models, Subspace Methods, State Space Models
Long Memory, Nonlinearity, Neural Networks, Real Exchange Rates
Panel datasets, Poolability, Sequential testing
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
tests of rank, spectral density matrix
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File name: jtsa.pdf Size: 136K
Tests of rank, spectral density matrix
Nonlinearity, Long Memory, ESTAR Models, SETAR Models
PPP, yen, real exchange rates, nonlinear models, ESTAR models
Self-exciting Threshold Autoregressive Models, Unit Roots, Globally Stationary Processes, Threshold Cointegration, Wald Tests, Monte Carlo Simulations, Real Exchange Rates
File name: ectj.pdf Size: 306K
cross section dependence, large panels, unit roots, principal components
Forecasting, inflation, Bayesian model averaging, Akaike criteria, forecast combining
Forecasting, forecast combining
Long memory, nonlinearity
Nonlinearity, ARCH, Neural Networks
Core Inflation, Dynamic Factor Models, Forecasting
Cointegration rank, Nonparametric Analysis
Factor models, Principal components, Subspace algorithms, Structural
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
Factor models, principal components, subspace algorithms, structural identification, structural VAR
Factor models, Principal components, Subspace algorithms
factor models, principal components, subspace algorithms
File name: jtsa.pdf Size: 279K
multiple time series, model specification, tests of rank
Threshold models, endogeneity, bootstrap
VARMA, weak VARMA, weak ARMA, Forecasting, Large datasets, Iterative ordinary least squares (IOLS) estimator, Asymptotic contraction mapping
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
Density Forecasting, Model Combination, Scoring Rules
Tests of Rank, Model Reduction, Hankel Operator, Monte Carlo
Stochastic volatility, structural breaks
Covariance Matrix, Shrinkage Methods, Portfolio Optimisation
Fixed-event forecasts, rational expectations, forecast efficiency
Tests of Rank, Spectral Density Matrix, Canonical Correlations
Pervasive Units, Factor Models, Systemic Risk, Cross-Sectional Dependence
dominant units, factor models, systemic risk, cross-sectional dependence, networks
Stationarity, Random Coefficient Models
monitoring, recent structural change, forecast combination, robust forecasts
Bank efficiency, stochastic cost frontier, latent class, panel data
Recent and ongoing structural change, forecast combination, robust forecasts
Rank, Bootstrap, Monte Carlo, System Identification, Hankel Operator
large VARs, time-varying parameters, non-parametric estimation, forecasting
expected returns, structural breaks, large shocks, state space model, regime-shifts, threshold models
Data uncertainty, measurement error, revisions, real-time data, forecasting
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
Heuristic optimisation, Information criteria, Unbalanced datasets, Model Reduction, Forecasting, PEEI
factor models, information criteria, macroeconomic forecasting
File name: j-0084.pdf Size: 645K
Common cycles and trends, Tests of rank, Cointegration
DSGE, structural change, kernel estimation, time-varying VAR, monetary policy shocks
Macroeconomic Forecasting, Forecast Comparison, Empirical Similarity, Parameter Time Variation, Kernel Estimation
empirical similarity, Forecast comparison, Kernel estimation, Macroeconomic forecasting, parameter time variation
Pair-Wise Correlations, Cross-Sectional Dependence, Cross-Sectional Averages, Weak and Strong Factor Models. CAPM and Fama-French Factors.
Factors, Large Datasets, Forecast Combinations
ARFIMA Models, Impulse Response, Long Memory
non-linear panel data model, cross-sectional dependence, common correlated effects estimator
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
instrumental variable estimation, many instruments, factor models
File name: obes.pdf Size: 1338K
Time variation, great ratios, cointegration
covariance matrix estimation, large dataset, regularization, thresholding, shrinkage, exponential inequalities, minimum variance portfolio
Bayesian Shrinkage Regression, EU, Forecasting, Partial Least Squares, Summary Indicators
File name: jtsa.pdf Size: 199K
Financial Conditions, Forecasting
factor models, factor strength, measures of pervasiveness, cross-sectional dependence, market factor
Business Cycles, Recession
File name: jtsa.pdf Size: 198K
Unit root, structural break
large dimensional regression, sparse matrix, thresholding, shrinkage, model selection
File name: obes.pdf Size: 164K
VARMA, Weak VARMA, Weak ARMA, Forecasting, Rich and Large Datasets, Iterative Ordinary Least Squares (IOLS) Estimator, Asymptotic Contraction Mapping
Wage Phillips curves, state-level data, panel estimation, CCE
Forecast breaks, statistical decision making, central banking
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
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: ectj.pdf Size: 144K
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
File name: ECTJ.pdf Size: 1198K
Autoregressive approximation, Confidence intervals, Impulse response function, Persistence
monitoring, structural change, panel, CUSUM, fluctuation test
Stochastic volatility, Factor models, Principal components
Dynamic factor model, Forecasting, Kalman filter, AR, VAR and BVAR models
