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Book part
Publication date: 8 February 2006

Massimiliano Marcellino

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Nonlinear Time Series Analysis of Business Cycles
Type: Book
ISBN: 978-0-44451-838-5

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Messy Data
Type: Book
ISBN: 978-0-76230-303-8

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Book part
Publication date: 13 December 2013

Claudia Foroni, Eric Ghysels and Massimiliano Marcellino

The development of models for variables sampled at different frequencies has attracted substantial interest in the recent literature. In this article, we discuss classical…

Abstract

The development of models for variables sampled at different frequencies has attracted substantial interest in the recent literature. In this article, we discuss classical and Bayesian methods of estimating mixed-frequency VARs, and use them for forecasting and structural analysis. We also compare mixed-frequency VARs with other approaches to handling mixed-frequency data.

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VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims
Type: Book
ISBN: 978-1-78190-752-8

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Book part
Publication date: 29 February 2008

Anindya Banerjee, Massimiliano Marcellino and Igor Masten

We conduct a detailed simulation study of the forecasting performance of diffusion index-based methods in short samples with structural change. We consider several data…

Abstract

We conduct a detailed simulation study of the forecasting performance of diffusion index-based methods in short samples with structural change. We consider several data generation processes, to mimic different types of structural change, and compare the relative forecasting performance of factor models and more traditional time series methods. We find that changes in the loading structure of the factors into the variables of interest are extremely important in determining the performance of factor models. We complement the analysis with an empirical evaluation of forecasts for the key macroeconomic variables of the Euro area and Slovenia, for which relatively short samples are officially available and structural changes are likely. The results are coherent with the findings of the simulation exercise and confirm the relatively good performance of factor-based forecasts in short samples with structural change.

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Forecasting in the Presence of Structural Breaks and Model Uncertainty
Type: Book
ISBN: 978-1-84950-540-6

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Book part
Publication date: 6 January 2016

Anindya Banerjee, Massimiliano Marcellino and Igor Masten

The Factor-augmented Error-Correction Model (FECM) generalizes the factor-augmented VAR (FAVAR) and the Error-Correction Model (ECM), combining error-correction…

Abstract

The Factor-augmented Error-Correction Model (FECM) generalizes the factor-augmented VAR (FAVAR) and the Error-Correction Model (ECM), combining error-correction, cointegration and dynamic factor models. It uses a larger set of variables compared to the ECM and incorporates the long-run information lacking from the FAVAR because of the latter’s specification in differences. In this paper, we review the specification and estimation of the FECM, and illustrate its use for forecasting and structural analysis by means of empirical applications based on Euro Area and US data.

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Book part
Publication date: 13 December 2013

Abstract

Details

VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims
Type: Book
ISBN: 978-1-78190-752-8

To view the access options for this content please click here
Book part
Publication date: 8 February 2006

Abstract

Details

Nonlinear Time Series Analysis of Business Cycles
Type: Book
ISBN: 978-0-44451-838-5

To view the access options for this content please click here
Book part
Publication date: 1 January 1999

Abstract

Details

Messy Data
Type: Book
ISBN: 978-0-76230-303-8

To view the access options for this content please click here
Book part
Publication date: 29 February 2008

Abstract

Details

Forecasting in the Presence of Structural Breaks and Model Uncertainty
Type: Book
ISBN: 978-1-84950-540-6

To view the access options for this content please click here
Book part
Publication date: 29 February 2008

Abstract

Details

Forecasting in the Presence of Structural Breaks and Model Uncertainty
Type: Book
ISBN: 978-1-84950-540-6

1 – 10 of 13