Title:A Discrete-Choice Econometrician's Tale of Monetary Policy Identification and Predictability
Author(s):SIRCHENKO, AndreiDate:2012Type of Publication:ThesisSeries/Report no.:EUI PhD thesesAbstract:This thesis studies the econometric identification and predictability of monetary policy. It addresses the discrete and collective nature of policy decisions, and the use of the real-time versus currently available revised ...
Title:Dynamic factor models in estimation and forecasting
Author(s):BYSTROV, VictorDate:2008Type of Publication:ThesisSeries/Report no.:EUI PhD thesesAbstract:This thesis addresses the issue of the relative performance of dynamic factor models in finite samples in the presence of structural breaks. It extends an existing literature by considering new data sets and evaluating ...
Title:Dynamic Factor Models in Macro-finance
Author(s):SCHERRER, DavidDate:2011Type of Publication:ThesisSeries/Report no.:EUI PhD thesesAbstract:Macroeconomic concepts such as inflation and real economic activity are not directly observed. Researchers often use factor models in order to measure these unobserved concepts. The underlying view is that a small number ...
Title:Econometric Models for Mixed-Frequency Data
Author(s):FORONI, ClaudiaDate:2012Type of Publication:ThesisSeries/Report no.:EUI PhD thesesAbstract:This thesis addresses different issues related to the use of mixed-frequency data. In the first chapter, I review, discuss and compare the main approaches proposed so far in the literature to deal with mixed-frequency data, ...