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Dynamic factor models / / edited by Eric Hillebrand, Siem Jan Koopman
| Dynamic factor models / / edited by Eric Hillebrand, Siem Jan Koopman |
| Pubbl/distr/stampa | Wagon Lane, Bingley, [England] : , : Emerald Group Publishing Limited, , 2016 |
| Descrizione fisica | 1 online resource (685 p.) |
| Disciplina | 339 |
| Collana | Advances in Econometrics |
| Soggetto topico |
Macroeconomics
Macroeconomics - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-78560-352-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Dynamic Factor Models; Copyright page; Contents; List of Contributors; Editorial Introduction; Dynamic Factor Models: A Brief Retrospective; Notes; References; Part I: Methodology; An Overview of the Factor-augmented Error-Correction Model; 1. Introduction; 2. Factor-augmented error-correction model; 2.1. Representation of the FECM; 2.2. The FECM Form for Forecasting; 2.3. The FECM Form for Structural Analysis; 3. Data and empirical applications; 4. Forecasting macroeconomic variables; 4.1. Forecasting Results for the Euro Area; 4.2. Forecasting Results for the United States
4.3. Robustness Check to I(1) Idiosyncratic Errors5. Transmission of Monetary Policy Shocks in the FECM; 6. Conclusions; Notes; Acknowledgements; References; Appendix A. Additional Forecasting Results; Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case; 1. Introduction; 2. Mixed-Frequency Estimators; 2.1 Extended Yule-Walker Estimators: The Stock Case; 2.2 Extended Yule-Walker Estimators: The General Case; 2.3 Maximum Likelihood Estimation and the EM Algorithm; 3. Projecting the MF Estimators on the Parameter Space 3.1 Stabilization of the Estimated System Parameters3.2 Positive (Semi)-Definiteness of the Noise Covariance Matrix; 4. Asymptotic Properties of the XYW/GMM Estimators; 5. Simulations; 6. Outlook and Conclusions; Acknowledgments; References; Appendix; Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?; 1. Introduction; 2. A Standard Gaussian Term Structure Model; 2.1. The General Model; 2.2. The CR Model; 2.3. Negative Short-Rate Projections in Standard Models; 3. A Shadow-Rate Model; 3.1. The Option-Based Approach to the Shadow-Rate Model; 3.2. The B-CR Model 3.3. Measuring the Effect of the ZLB3.4. Nonzero Lower Bound for the Short Rate; 4. Comparing Affine and Shadow-Rate Models; 4.1. Analysis of Parameter Estimates; 4.2. In-Sample Fit and Yield Volatility; 4.3. Forecast Performance; 4.3.1. Short-Rate Forecasts; 4.3.2. Yield Forecasts; 4.4. Decomposing 10-Year Yields; 4.5. Assessing Recent Shifts in Near-Term Monetary Policy Expectations; 5. Conclusion; Notes; Acknowledgments; References; Appendix A: How Good is the Option-Based Approximation?; Appendix B: Formula for Policy Expectations in AFNS and B-AFNS Models Appendix C: Analytical Formulas for Averages of Policy Expectations and for Term Premiums in the CR ModelDynamic Factor Models for the Volatility Surface; 1. Introduction; 2. Volatility Surface Data; 2.1. Constructing the Volatility Surface; 2.2. Summary Statistics and Preliminary Analysis; 3. Models for the Volatility Surface; 3.1. General DFM; 3.2. Restricted Economic DFMs; 3.3. Spline-Based DFMs; 4. Main Results; 5. Robustness and Extensions; 5.1. Alternative Surface Construction; 5.2. Higher-Dimensional Models; 5.3. Alternative Factor Dynamics 5.4. Alternative Sample Period and Log-Transformation |
| Record Nr. | UNINA-9910460625803321 |
| Wagon Lane, Bingley, [England] : , : Emerald Group Publishing Limited, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Dynamic factor models [[electronic resource] /] / edited by Eric Hillebrand, Siem Jan Koopman
| Dynamic factor models [[electronic resource] /] / edited by Eric Hillebrand, Siem Jan Koopman |
| Pubbl/distr/stampa | Wagon Lane, Bingley, [England] : , : Emerald Group Publishing Limited, , 2016 |
| Descrizione fisica | 1 online resource (685 p.) |
| Disciplina | 339 |
| Altri autori (Persone) |
HillebrandEric
KoopmanS. J (Siem Jan) |
| Collana | Advances in econometrics |
| Soggetto topico |
Business & Economics - Economics - Macroeconomics
Econometrics Macroeconomics Macroeconomics - Econometric models |
| ISBN | 1-78560-352-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Dynamic Factor Models; Copyright page; Contents; List of Contributors; Editorial Introduction; Dynamic Factor Models: A Brief Retrospective; Notes; References; Part I: Methodology; An Overview of the Factor-augmented Error-Correction Model; 1. Introduction; 2. Factor-augmented error-correction model; 2.1. Representation of the FECM; 2.2. The FECM Form for Forecasting; 2.3. The FECM Form for Structural Analysis; 3. Data and empirical applications; 4. Forecasting macroeconomic variables; 4.1. Forecasting Results for the Euro Area; 4.2. Forecasting Results for the United States
4.3. Robustness Check to I(1) Idiosyncratic Errors5. Transmission of Monetary Policy Shocks in the FECM; 6. Conclusions; Notes; Acknowledgements; References; Appendix A. Additional Forecasting Results; Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case; 1. Introduction; 2. Mixed-Frequency Estimators; 2.1 Extended Yule-Walker Estimators: The Stock Case; 2.2 Extended Yule-Walker Estimators: The General Case; 2.3 Maximum Likelihood Estimation and the EM Algorithm; 3. Projecting the MF Estimators on the Parameter Space 3.1 Stabilization of the Estimated System Parameters3.2 Positive (Semi)-Definiteness of the Noise Covariance Matrix; 4. Asymptotic Properties of the XYW/GMM Estimators; 5. Simulations; 6. Outlook and Conclusions; Acknowledgments; References; Appendix; Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?; 1. Introduction; 2. A Standard Gaussian Term Structure Model; 2.1. The General Model; 2.2. The CR Model; 2.3. Negative Short-Rate Projections in Standard Models; 3. A Shadow-Rate Model; 3.1. The Option-Based Approach to the Shadow-Rate Model; 3.2. The B-CR Model 3.3. Measuring the Effect of the ZLB3.4. Nonzero Lower Bound for the Short Rate; 4. Comparing Affine and Shadow-Rate Models; 4.1. Analysis of Parameter Estimates; 4.2. In-Sample Fit and Yield Volatility; 4.3. Forecast Performance; 4.3.1. Short-Rate Forecasts; 4.3.2. Yield Forecasts; 4.4. Decomposing 10-Year Yields; 4.5. Assessing Recent Shifts in Near-Term Monetary Policy Expectations; 5. Conclusion; Notes; Acknowledgments; References; Appendix A: How Good is the Option-Based Approximation?; Appendix B: Formula for Policy Expectations in AFNS and B-AFNS Models Appendix C: Analytical Formulas for Averages of Policy Expectations and for Term Premiums in the CR ModelDynamic Factor Models for the Volatility Surface; 1. Introduction; 2. Volatility Surface Data; 2.1. Constructing the Volatility Surface; 2.2. Summary Statistics and Preliminary Analysis; 3. Models for the Volatility Surface; 3.1. General DFM; 3.2. Restricted Economic DFMs; 3.3. Spline-Based DFMs; 4. Main Results; 5. Robustness and Extensions; 5.1. Alternative Surface Construction; 5.2. Higher-Dimensional Models; 5.3. Alternative Factor Dynamics 5.4. Alternative Sample Period and Log-Transformation |
| Record Nr. | UNINA-9910797938203321 |
| Wagon Lane, Bingley, [England] : , : Emerald Group Publishing Limited, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Dynamic factor models / / edited by Eric Hillebrand, Siem Jan Koopman
| Dynamic factor models / / edited by Eric Hillebrand, Siem Jan Koopman |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Wagon Lane, Bingley, [England] : , : Emerald Group Publishing Limited, , 2016 |
| Descrizione fisica | 1 online resource (685 p.) |
| Disciplina | 339 |
| Altri autori (Persone) |
HillebrandEric
KoopmanS. J (Siem Jan) |
| Collana | Advances in econometrics |
| Soggetto topico |
Business & Economics - Economics - Macroeconomics
Econometrics Macroeconomics Macroeconomics - Econometric models |
| ISBN | 1-78560-352-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Dynamic Factor Models; Copyright page; Contents; List of Contributors; Editorial Introduction; Dynamic Factor Models: A Brief Retrospective; Notes; References; Part I: Methodology; An Overview of the Factor-augmented Error-Correction Model; 1. Introduction; 2. Factor-augmented error-correction model; 2.1. Representation of the FECM; 2.2. The FECM Form for Forecasting; 2.3. The FECM Form for Structural Analysis; 3. Data and empirical applications; 4. Forecasting macroeconomic variables; 4.1. Forecasting Results for the Euro Area; 4.2. Forecasting Results for the United States
4.3. Robustness Check to I(1) Idiosyncratic Errors5. Transmission of Monetary Policy Shocks in the FECM; 6. Conclusions; Notes; Acknowledgements; References; Appendix A. Additional Forecasting Results; Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case; 1. Introduction; 2. Mixed-Frequency Estimators; 2.1 Extended Yule-Walker Estimators: The Stock Case; 2.2 Extended Yule-Walker Estimators: The General Case; 2.3 Maximum Likelihood Estimation and the EM Algorithm; 3. Projecting the MF Estimators on the Parameter Space 3.1 Stabilization of the Estimated System Parameters3.2 Positive (Semi)-Definiteness of the Noise Covariance Matrix; 4. Asymptotic Properties of the XYW/GMM Estimators; 5. Simulations; 6. Outlook and Conclusions; Acknowledgments; References; Appendix; Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?; 1. Introduction; 2. A Standard Gaussian Term Structure Model; 2.1. The General Model; 2.2. The CR Model; 2.3. Negative Short-Rate Projections in Standard Models; 3. A Shadow-Rate Model; 3.1. The Option-Based Approach to the Shadow-Rate Model; 3.2. The B-CR Model 3.3. Measuring the Effect of the ZLB3.4. Nonzero Lower Bound for the Short Rate; 4. Comparing Affine and Shadow-Rate Models; 4.1. Analysis of Parameter Estimates; 4.2. In-Sample Fit and Yield Volatility; 4.3. Forecast Performance; 4.3.1. Short-Rate Forecasts; 4.3.2. Yield Forecasts; 4.4. Decomposing 10-Year Yields; 4.5. Assessing Recent Shifts in Near-Term Monetary Policy Expectations; 5. Conclusion; Notes; Acknowledgments; References; Appendix A: How Good is the Option-Based Approximation?; Appendix B: Formula for Policy Expectations in AFNS and B-AFNS Models Appendix C: Analytical Formulas for Averages of Policy Expectations and for Term Premiums in the CR ModelDynamic Factor Models for the Volatility Surface; 1. Introduction; 2. Volatility Surface Data; 2.1. Constructing the Volatility Surface; 2.2. Summary Statistics and Preliminary Analysis; 3. Models for the Volatility Surface; 3.1. General DFM; 3.2. Restricted Economic DFMs; 3.3. Spline-Based DFMs; 4. Main Results; 5. Robustness and Extensions; 5.1. Alternative Surface Construction; 5.2. Higher-Dimensional Models; 5.3. Alternative Factor Dynamics 5.4. Alternative Sample Period and Log-Transformation |
| Record Nr. | UNINA-9910826114903321 |
| Wagon Lane, Bingley, [England] : , : Emerald Group Publishing Limited, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Spatial econometrics : qualitative and limited dependent variables / / edited by Badi H. Baltagi, James P. Lesage, R. Kelley Pace
| Spatial econometrics : qualitative and limited dependent variables / / edited by Badi H. Baltagi, James P. Lesage, R. Kelley Pace |
| Pubbl/distr/stampa | Bingley, England : , : Emerald Group Publishing Limited, , 2017 |
| Descrizione fisica | 1 online resource (403 pages) |
| Disciplina | 338.6042 |
| Collana | Advances in econometrics |
| Soggetto topico |
Business & Economics - Economics - Macroeconomics
Econometrics Spatial analysis (Statistics) |
| ISBN | 1-78560-985-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | und |
| Nota di contenuto | Prelims -- Part I: introduction -- Part II: discrete dependent variables maximum likelihood -- Part III: discrete dependent variables bayesian -- Part IV: continuous dependent variables maximum likelihood -- Part V: continuous dependent variables bayesian. |
| Record Nr. | UNINA-9910794744703321 |
| Bingley, England : , : Emerald Group Publishing Limited, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Spatial econometrics : qualitative and limited dependent variables / / edited by Badi H. Baltagi, James P. Lesage, R. Kelley Pace
| Spatial econometrics : qualitative and limited dependent variables / / edited by Badi H. Baltagi, James P. Lesage, R. Kelley Pace |
| Pubbl/distr/stampa | Bingley, England : , : Emerald Group Publishing Limited, , 2017 |
| Descrizione fisica | 1 online resource (403 pages) |
| Disciplina | 338.6042 |
| Collana | Advances in econometrics |
| Soggetto topico |
Business & Economics - Economics - Macroeconomics
Econometrics Spatial analysis (Statistics) |
| ISBN | 1-78560-985-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | und |
| Nota di contenuto | Prelims -- Part I: introduction -- Part II: discrete dependent variables maximum likelihood -- Part III: discrete dependent variables bayesian -- Part IV: continuous dependent variables maximum likelihood -- Part V: continuous dependent variables bayesian. |
| Record Nr. | UNINA-9910806273703321 |
| Bingley, England : , : Emerald Group Publishing Limited, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||