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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:Monitoring the economy of the Euro area : a comparison of composite coincident indexes Author(s):CARRIERO, Andrea; MARCELLINO, MassimilianoDate: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: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:Markov-switching Mixed-Frequency VAR models Author(s):FORONI, Claudia; GUERIN, Pierre; MARCELLINO, MassimilianoDate:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/9815Abstract:This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample ...
Date:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/9815Abstract:This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample ...
Title:No arbitrage priors, drifting volatilities, and the term structure of interest rates Author(s):CARRIERO, Andrea; CLARK, Todd; MARCELLINO, MassimilianoDate:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/9848Abstract:We propose a method to produce density forecasts of the term structure of government bond yields that accounts for (i) the possible mispeciÖcation of an underlying Gaussian A¢ ne Term Structure Model (GATSM) and (ii) the ...
Date:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/9848Abstract:We propose a method to produce density forecasts of the term structure of government bond yields that accounts for (i) the possible mispeciÖcation of an underlying Gaussian A¢ ne Term Structure Model (GATSM) and (ii) the ...
Title:Mixed frequency structural VARs Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2014Type:Working PaperSeries/Number:Norges Bank Working Paper; 2014/01Abstract:A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse ...
Date:2014Type:Working PaperSeries/Number:Norges Bank Working Paper; 2014/01Abstract:A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse ...
Title:EuroMInd-C : a disaggregate monthly indicator of economic activity for the Euro Author(s):GRASSI, Stefano; PROIETTI, Tommaso; FRALE, Cecilia; MARCELLINO, Massimiliano; MAZZI, GianluigiDate:2013Type:Working PaperSeries/Number:CEIS Tor Vergata Research Paper Series; 2013/287Abstract:The paper deals with the estimation of monthly indicators of economic activity for the Euro area and its largest member countries that possess the following attributes: relevance, representativeness and timeliness. Relevance ...
; MAZZI, GianluigiDate:2013Type:Working PaperSeries/Number:CEIS Tor Vergata Research Paper Series; 2013/287Abstract:The paper deals with the estimation of monthly indicators of economic activity for the Euro area and its largest member countries that possess the following attributes: relevance, representativeness and timeliness. Relevance ...
Title:Have standard VARs remained stable since the crisis? Author(s):AASTVEIT, Knut Are; CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, MassimilianoDate:2014Type:Working PaperSeries/Number:Federal Reserve Bank of Cleveland Working Paper; 2014/11Abstract:Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ...
Date:2014Type:Working PaperSeries/Number:Federal Reserve Bank of Cleveland Working Paper; 2014/11Abstract:Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ...
Title:Have standard VARs remained stable since the crisis? Author(s):AASTVEIT, Knut Are; CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, MassimilianoDate:2014Type:Working PaperSeries/Number:Norges Bank Working Paper; 2014/13Abstract:Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ...
Date:2014Type:Working PaperSeries/Number:Norges Bank Working Paper; 2014/13Abstract:Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ...
Title:Structural FECM : cointegration in large-scale structural FAVAR models Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/9858Abstract:Starting from the dynamic factor model for non-stationary data we derive the factor-augmented error correction model (FECM) and, by generalizing the Granger representation theorem, its moving-average representation. The ...
; MASTEN, IgorDate:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/9858Abstract:Starting from the dynamic factor model for non-stationary data we derive the factor-augmented error correction model (FECM) and, by generalizing the Granger representation theorem, its moving-average representation. The ...