Christian Schumacher

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

16

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31

CROSSREF CITATIONS

326

Scholarly Papers (16)

Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Deutsche Bundesbank Discussion Paper Economic Studies Series 1, No. 34/07
Number of pages: 60 Posted: 19 Feb 2008
Massimiliano Giuseppe Marcellino and Christian Schumacher
European University Institute and Deutsche Bundesbank
Downloads 133 (231,268)
Citation 14

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MIDAS, large factor models, nowcasting, mixed-frequency data, missing values

Factor-Midas for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Bundesbank Series 1 Discussion Paper No. 2007,34
Number of pages: 60 Posted: 08 Jun 2016
Massimiliano Giuseppe Marcellino and Christian Schumacher
European University Institute and Deutsche Bundesbank
Downloads 61 (382,742)

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MIDAS, large factor models, nowcasting, mixed-frequency data, missing values

Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

CEPR Discussion Paper No. DP6708
Number of pages: 43 Posted: 10 Jun 2008
Massimiliano Giuseppe Marcellino and Christian Schumacher
European University Institute and Deutsche Bundesbank
Downloads 2 (712,341)
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business cycle, large factor models, MIDAS, missing values, mixed-frequency data, nowcasting

Real-Time Forecasting of GDP Based on a Large Factor Model with Monthly and Quarterly Data

Deutsche Bundesbank Discussion Paper Series 1: Economic Studies No. 33/06
Number of pages: 60 Posted: 28 Feb 2007
Christian Schumacher and Jörg Breitung
Deutsche Bundesbank and University of Bonn
Downloads 173 (185,464)
Citation 10

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Monthly GDP, EM algorithm, principal components, factor models

Real-Time Forecasting of GDP Based on a Large Factor Model with Monthly and Quarterly Data

Bundesbank Series 1 Discussion Paper No. 2006,33
Number of pages: 60 Posted: 08 Jun 2016
Christian Schumacher and Jörg Breitung
Deutsche Bundesbank and University of Bonn
Downloads 17 (596,412)
Citation 5

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monthly GDP, EM algorithm, principal components, factor models

U-Midas: Midas Regressions with Unrestricted Lag Polynomials

Bundesbank Series 1 Discussion Paper No. 2011,35
Number of pages: 56 Posted: 08 Jun 2016
Independent, European University Institute and Deutsche Bundesbank
Downloads 167 (192,279)

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mixed data sampling, distributed lag polynomals, time aggregation, now-casting

U-Midas: Midas Regressions with Unrestricted Lag Polynomials

CEPR Discussion Paper No. DP8828
Number of pages: 38 Posted: 01 Mar 2012
Independent, European University Institute and Deutsche Bundesbank
Downloads 4 (692,884)
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distributed lag polynomals, Mixed data sampling, nowcasting, time aggregation

Estimating Large-Scale Factor Models for Economic Activity In Germany: Do They Outperform Simpler Models?

HWWA Discussion Paper No. 199
Number of pages: 28 Posted: 03 Feb 2003
Christian Schumacher and Christian Dreger
Deutsche Bundesbank and European University Viadrina Frankfurt (Oder)
Downloads 140 (221,966)
Citation 5

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Factor models, Principal components, forecasting accuracy

Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models?

Jahrbücherfür Nationalökonomie und Statistik (Journal of Economics and Statistics), Vol. 224, pp. 732-750, 2004
Posted: 16 Jun 2008
Christian Schumacher and Christian Dreger
Deutsche Bundesbank and European University Viadrina Frankfurt (Oder)

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Factor models, Principal components, forecasting accuracy

Downloads 61 (382,742)

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State space models, NAIRU, filter uncertainty, estimation uncertainty

Measuring Uncertainty of the Euro Area NAIRU: Monte Carlo and Empirical Evidence for Alternative Confidence Intervals in a State Space Framework

Empirical Economics, Vol. 34, pp. 357-379, 2008
Number of pages: 19 Posted: 28 Feb 2007 Last Revised: 17 Jun 2008
Christian Schumacher
Deutsche Bundesbank
Downloads 39 (466,808)

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State space models, NAIRU, filter uncertainty, estimation uncertainty

6.

Assessing the Uncertainty of the German NAIRU in a State Space Framework Using Different MSE Approximations

Number of pages: 36 Posted: 24 May 2005
Christian Schumacher
Deutsche Bundesbank
Downloads 63 (371,503)
Citation 1

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State space models, NAIRU, filter uncertainty, estimation uncertainty

7.

Midas Versus Mixed-Frequency VAR: Nowcasting GDP in the Euro Area

Bundesbank Series 1 Discussion Paper No. 2009,07
Number of pages: 36 Posted: 08 Jun 2016
German Institute for Economic Research (DIW Berlin), European University Institute and Deutsche Bundesbank
Downloads 54 (400,268)

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nowcasting, mixed-frequency data, mixed-frequency VAR, MIDAS

Reconsidering the Role of Monetary Indicators for Euro Area Inflation from a Bayesian Perspective Using Group Inclusion Probabilities

Deutsche Bundesbank Economic Studies Discussion Paper No. 09/07
Number of pages: 40 Posted: 29 Jun 2007
Michael Scharnagl and Christian Schumacher
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 38 (471,288)
Citation 6

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inflation forecasting, monetary indicators, Bayesian Model Averaging, inclusion probability

Reconsidering the Role of Monetary Indicators for Euro Area Inflation from a Bayesian Perspective Using Group Inclusion Probabilities

Bundesbank Series 1 Discussion Paper No. 2007,09
Number of pages: 40 Posted: 08 Jun 2016
Michael Scharnagl and Christian Schumacher
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 6 (677,440)

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inflation forecasting, monetary indicators, Bayesian Model Averaging, inclusion probability

9.

Midas and Bridge Equations

Bundesbank Discussion Paper No. 26/2014
Number of pages: 37 Posted: 21 Jun 2016
Christian Schumacher
Deutsche Bundesbank
Downloads 39 (456,904)
Citation 1

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mixed-data sampling (MIDAS), bridge equations, GDP nowcasting

10.

Finding Relevant Variables in Sparse Bayesian Factor Models: Economic Applications and Simulation Results

Bundesbank Discussion Paper No. 29/2012
Number of pages: 64 Posted: 21 Jun 2016
Sylvia Kaufmann and Christian Schumacher
Oesterreichische Nationalbank - Economic Studies Division and Deutsche Bundesbank
Downloads 29 (503,628)

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factor models, variable selection, sparse priors

Pooling Versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP

Bundesbank Series 1 Discussion Paper No. 2009,03
Number of pages: 56 Posted: 08 Jun 2016
German Institute for Economic Research (DIW Berlin), European University Institute and Deutsche Bundesbank
Downloads 20 (575,413)

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casting, forecast combination, forecast pooling, model selection, mixed - frequency data, factor models, MIDAS

Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP

CEPR Discussion Paper No. DP7197
Number of pages: 41 Posted: 11 Mar 2009
German Institute for Economic Research (DIW Berlin), European University Institute and Deutsche Bundesbank
Downloads 4 (692,884)
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factor models, forecast combination, forecast pooling, MIDAS, mixed-frequency data, model selection, nowcasting

Forecasting German GDP Using Alternative Factor Models Based on Large Datasets

Bundesbank Series 1 Discussion Paper No. 2005,24
Number of pages: 52 Posted: 08 Jun 2016
Christian Schumacher
Deutsche Bundesbank
Downloads 22 (561,840)
Citation 2

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Factor models, static and dynamic factors, principal components, forecasting accuracy

Forecasting German GDP Using Alternative Factor Models Based on Large Datasets

Journal of Forecasting, Vol. 26, pp. 271-302, 2007
Posted: 06 Sep 2007 Last Revised: 14 Jun 2008
Christian Schumacher
Deutsche Bundesbank

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factor models, static and dynamic factors, principal components, forecasting accuracy

13.

Factor Forecasting Using International Targeted Predictors: The Case of German GDP

Bundesbank Series 1 Discussion Paper No. 2009,10
Number of pages: 48 Posted: 08 Jun 2016
Christian Schumacher
Deutsche Bundesbank
Downloads 9 (628,433)
Citation 1

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forecasting, factor models, international data, variable selection

14.

A Flexible State-Space Model with Lagged States and Lagged Dependent Variables: Simulation Smoothing

Deutsche Bundesbank Discussion Paper No. 15/2019
Number of pages: 25 Posted: 15 Apr 2019
Philipp Hauber, Christian Schumacher and jiachun zhang
affiliation not provided to SSRN, Deutsche Bundesbank and affiliation not provided to SSRN
Downloads 5 (656,148)

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state-space model, missing observations, Kalman filter and smoother, simulation smoothing, factor model

15.

Midas Vs. Mixed-Frequency VAR: Nowcasting GDP in the Euro Area

CEPR Discussion Paper No. DP7445
Number of pages: 25 Posted: 07 Oct 2009
German Institute for Economic Research (DIW Berlin), European University Institute and Deutsche Bundesbank
Downloads 4 (663,210)
Citation 5
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euro area growth, MIDAS, mixed-frequency data, mixed-frequency VAR, nowcasting

16.

Factor Midas for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Oxford Bulletin of Economics and Statistics, Vol. 72, Issue 4, pp. 518-550, August 2010
Number of pages: 33 Posted: 21 Jun 2010
Massimiliano Giuseppe Marcellino and Christian Schumacher
European University Institute and Deutsche Bundesbank
Downloads 2 (680,412)
Citation 2
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