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Title:Forecasting large datasets with reduced rank multivariate models Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano
Date:2007Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2007/617Abstract: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 with the ...
Date:2007Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2007/617Abstract: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 with the ...
Title:A comparison of methods for the construction of composite coincident and leading indexes for the UK Author(s):CARRIERO, Andrea; MARCELLINO, MassimilianoDate:2007Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2007/590Abstract:In this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of ...
Date:2007Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2007/590Abstract:In this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of ...
Title:Forecasting exchange rates with a large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/634Abstract: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 ...
Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/634Abstract: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 ...
Title:A shrinkage instrumental variable estimator for large datasets Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/626Abstract:This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious ...
Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/626Abstract:This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious ...
Title:Forecasting with dynamic models using shrinkage-based estimation Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/635Abstract:The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests ...
Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/635Abstract:The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests ...
Title:Cross-sectional averaging and instrumental variable estimation with many weak instruments Author(s):KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/627Abstract:Instrumental variable estimation is central to econometric analysis and has justifiably been receiving considerable and consistent attention in the literature in the past. Recent developments have focused on cases where ...
Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/627Abstract:Instrumental variable estimation is central to econometric analysis and has justifiably been receiving considerable and consistent attention in the literature in the past. Recent developments have focused on cases where ...
Title:Path forecast evaluation Author(s):JORDÀ, Òscar; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:University of California; Department of Economics; Working Papers; 2008/85Abstract: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 conÖdence level requires construction of simultaneous ...
Date:2008Type:Working PaperSeries/Number:University of California; Department of Economics; Working Papers; 2008/85Abstract: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 conÖdence level requires construction of simultaneous ...
Title:Factor-GMM estimation with large sets of possibly weak instruments Author(s):KAPETANIOS, George; MARCELLINO, MassimilianoDate:2006Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2006/577Abstract:This paper analyses the use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity. We consider cases where the unobserved factors are the optimal instruments but also cases ...
Date:2006Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2006/577Abstract:This paper analyses the use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity. We consider cases where the unobserved factors are the optimal instruments but also cases ...