Title:Forecasting Exchange Rates with a Large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2009Citation:
- International Journal of Forecasting, 2009, 25, 2, 400-417
Type:ArticleAbstract: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 ...
Title:Path Forecast Evaluation Author(s):JORDÀ, Òscar; MARCELLINO, MassimilianoDate:2010Citation:
- Journal of Applied Econometrics, 2010, 25, 4, 635-662
Type:ArticleAbstract:A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given confidence level requires construction of simultaneous ...
Title:A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions Author(s):KAPETANIOS, George; MARCELLINO, MassimilianoDate:2009-01-01Citation:
- Journal of Time Series Analysis, 2009, 30, 2, 208-238
Type:ArticleAbstract: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 ...
Title:Factor-MIDAS for nowcasting and forecasting with ragged-edge data : a model comparison for German GDP Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2010Citation:
- Oxford Bulletin of Economics and Statistics, 2010, 72, 4, 518-550
Type:ArticleAbstract:In this article, we merge two strands from the recent econometric literature. First, factor models based on large sets of macroeconomic variables for forecasting, which have generally proven useful for forecasting. However, ...
Title:Factor-GMM Estimation with Large Sets of Possibly Weak Instruments Author(s):KAPETANIOS, George; MARCELLINO, MassimilianoDate:2010-01-01Citation:
- Computational Statistics and Data Analysis, 2010, 54, 11, 2655-2675
Type:ArticleAbstract: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 ...
Title:Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments Author(s):KAPETANIOS, George; MARCELLINO, MassimilianoDate:2010Citation:
- Economics Letters, 2010, 108, 1, 36-39
Type:ArticleAbstract: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 ...
Title:Encompassing Author(s):HENDRY, David F.; MARCELLINO, Massimiliano; MIZON, Grayham E.; BONTEMPS, Christophe; FLORENS, Jean-Pierre; RICHARD, Jean-Francois; LU, Maozu; MIZON, Grayham E.; MONFARDINI, Chiara; ERMINI, Luigi; SPANOS, Aris; READE, J. James; COOK, Steve; MARCELLINO, Massimiliano; ROSSI, Barbara; ERICSSON, Neil R.; DOORNIK, Jurgen A.; HANSEN, HenrikDate:2008Citation:
- Oxford bulletin of economics and statistics, 2008, 70, Supp., 711-935
Title:Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2011Citation:
- Journal of Applied Econometrics, 2011, 26, 5, 736-761
Type:ArticleAbstract: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 ...
Title:MIDAS vs. Mixed-Frequency VAR: Nowcasting GDP in the Euro Area Author(s):KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2011Citation:
- International Journal of Forecasting, 2011, 27, 2, 529-542
Type:ArticleAbstract:This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification in the presence of mixed-frequency data, e.g. monthly and quarterly series. MIDAS leads to parsimonious ...
Title:Sectoral Survey-based Confidence Indicators for Europe Author(s):CARRIERO, Andrea; MARCELLINO, MassimilianoDate:2011Citation:
- Oxford Bulletin of Economics and Statistics, 2011, 73, 2, 175–206
Type:ArticleAbstract:We analyse a novel dataset of Business and Consumer Surveys, using dynamic factor techniques, to produce composite coincident indices (CCIs) at the sectoral level for the European countries and for Europe. Surveys are ...