Browsing Department of Economics (ECO) by Author "KAPETANIOS, George"

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Browsing Department of Economics (ECO) by Author "KAPETANIOS, George"

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    Title: Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Article Abstract: The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
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    Title: Factor-GMM Estimation with Large Sets of Possibly Weak Instruments  Author(s): KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2010-01-01 Type of Publication: Article Abstract: The use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity is analysed. In particular, the focus is on situations where many weak instruments exist and/or the factor ...
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    Title: Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments  Author(s): KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2010 Type of Publication: Article Abstract: The present paper suggests a new way to carry out IV estimation with many instruments. Our suggestion is to cross-sectionally average the instruments and use these averages as instruments. We provide a theoretical and Monte ...
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    Title: Forecasting Government Bond Yields with Large Bayesian VARs  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector ...
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    Title: A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions  Author(s): KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2009-01-01 Type of Publication: Article Abstract: The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, because of the increased availability of large data sets. In this article we propose a new parametric ...
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    Title: Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
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    Title: Forecasting Exchange Rates with a Large Bayesian VAR  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2009 Type of Publication: Article Abstract: Models based on economic theory have serious problems forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
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    Title: Forecasting Exchange Rates with a Large Bayesian VAR  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...