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Title:Monitoring the economy of the Euro area : a comparison of composite coincident indexes Author(s):CARRIERO, Andrea; MARCELLINO, Massimiliano
Date:2007Type:Working PaperSeries/Number:IGIER Working Paper; 2007/319Abstract:Monitoring the current status of the economy is quite relevant for policy making but also for the decisions of private agents, consumers and firms. Since it is difficult to identify a single variable that provides a good ...
Date:2007Type:Working PaperSeries/Number:IGIER Working Paper; 2007/319Abstract:Monitoring the current status of the economy is quite relevant for policy making but also for the decisions of private agents, consumers and firms. Since it is difficult to identify a single variable that provides a good ...
Title:Factor-MIDAS for now- and forecasting with ragged-edge data : a model comparison for German GDP Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2007Type:Working PaperSeries/Number:IGIER Working Paper; 2007/333Abstract:This paper compares different ways to estimate the current state of the economy using factor models that can handle unbalanced datasets. Due to the different release lags of business cycle indicators, data unbalancedness ...
; SCHUMACHER, ChristianDate:2007Type:Working PaperSeries/Number:IGIER Working Paper; 2007/333Abstract:This paper compares different ways to estimate the current state of the economy using factor models that can handle unbalanced datasets. Due to the different release lags of business cycle indicators, data unbalancedness ...
Title:Factor-augmented error correction models Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:IGIER Working Paper; 2008/335Abstract:This paper brings together several important strands of the econometrics literature: errorcorrection, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...
Date:2008Type:Working PaperSeries/Number:IGIER Working Paper; 2008/335Abstract:This paper brings together several important strands of the econometrics literature: errorcorrection, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...
Title:The banking and distribution sectors in a small open economy DSGE model Author(s):DEÁK, Szabolcs; FONTAGNÉ, Lionel; MAFFEZZOLI, Marco; MARCELLINO, MassimilianoDate:2012Type:Working PaperSeries/Number:Bocconi University; IGIER Working Paper; 2012/454
Date:2012Type:Working PaperSeries/Number:Bocconi University; IGIER Working Paper; 2012/454
Title:Forecasting macroeconomic variables using diffusion indexes in short samples with structural change Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2006Type:Working PaperSeries/Number:IGIER Working Paper; 2006/334Abstract: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 ...
; MASTEN, IgorDate:2006Type:Working PaperSeries/Number:IGIER Working Paper; 2006/334Abstract: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 ...
Title:Sectoral survey-based confidence indicators for Europe Author(s):CARRIERO, Andrea; MARCELLINO, MassimilianoDate:2007Type:Working PaperSeries/Number:IGIER Working Paper; 2007/320Abstract:In this paper we analyze 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 as ...
Date:2007Type:Working PaperSeries/Number:IGIER Working Paper; 2007/320Abstract:In this paper we analyze 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 as ...
Title:A parametric estimation method for dynamic factor models of large dimensions Author(s):MARCELLINO, Massimiliano; KAPETANIOS, GeorgeDate:2006Type:Working PaperSeries/Number:IGIER Working Paper; 2006/305Abstract:The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new parametric methodology ...
; KAPETANIOS, GeorgeDate:2006Type:Working PaperSeries/Number:IGIER Working Paper; 2006/305Abstract:The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new parametric methodology ...