Dynamic Factor Model
A dynamic factor model for the Mexican economy: are common trends useful when predicting economic activity?
... a factor representation, where the common factors are the common trends of the macroeconomic ...non-stationary dynamic factor model using principal components (PC) as suggested by Bai (J ...
35
Nowcasting Slovak GDP by a Small Dynamic Factor Model
... Our paper is the first to estimate a first-generation small DFM on Slovak data. Unlike some of the related studies, we use historical versions of the GDP series in our out-of-sample forecast evaluation. This makes the ...
22
A functional dynamic factor model
... Outside of the call volume setting, another application of the FDFM model is in reference to yield curve forecasting from Diebold and Li (2006) and Bowsher and Meeks (2008). Specifically, given a time series of ...
183
A dynamic factor model of the coincident indicators for the US transportation sector
... Kim-Nelson model, we used priors from the estimated Stock-Watson ...(1989) model specification for the aggregate economy, personal consumption expenditure and employment in transportation appear to be ...
13
Regime-Dependent Effects on Stock Market Return Dynamics: Evidence from SAARC Countries
... switching dynamic factor model detected regime shifts in the stock market returns as a result of currency returns and other macroeconomic factors and found evidence of two distinct regimes with low ...
22
Nowcasting Household Consumption and Investment in Indonesia
... the Dynamic Factor Model and data for the period from ...best model was chosen based on pseudo out-of-sample testing of the data from 2015 to predict household consumption and investment in ...
30
Applied Dynamic Factor Modeling In Finance
... the model does equate with increased power to test the restrictions implied by the existence of unspanned ...unrestricted dynamic factor model wherein the null hypothesis supposes only that ...
116
Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models
... the model parameters, means that strong but arbitrary identifying restrictions have to be imposed in the model, since economic theory cannot provide us with theoretical rela- tionships when we replace ...
42
Analyzing and Forecasting Movements of the Philippine Economy using the Dynamic Factor Models (DFM)
... A Dynamic Factor Model (DFM) applied to the entire 31 variables, denoted by DFM31VAR (2) A DFM applied to the nine series used in the LEIS (DFM9VAR) and (3) A DFM applied to set of variables selected ...
17
Forecasting Inflation in Tunisia into instability: Using Dynamic Factors Model a two step based on Kalman filtering
... the dynamic factor model (DFM). The use of this model for the modeling of inflation in Tunisia can improves the quality of short-term forecasts of this ...
40
PubMedCentral-PMC5615583.pdf
... spatiotemporal model that accounts for different sources of speciated pollutants and their association with oral cleft birth ...Our factor model has advantages over other pollutant models because it ...
16
An Empirical Analysis of Fluctuations in Economic Efficiency in European Countries
... Bayesian dynamic factor model to see if there exists a common or global component that drives the monetary policy shocks of the countries in ...
44
Chinese Divisia monetary index and GDP nowcasting
... a dynamic factor model, incorporating as indicators the Divisia monetary aggregate indexes, Divisia M1 and M2 along with additional information from a large panel of other relevant time series ...the ...
36
A Joint Dynamic Bi Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles
... econometric model of the joint dynamic relationship between the yield curve and the economy to predict business ...multivariate dynamic factor model takes into account not only the ...
47
Essays on empirical macroeconomics
... the model has the same advantages as the judgmental forecast in terms of the ability to adapt to new information, but it avoids the serious drawbacks of the subjective exercise mentioned ...a dynamic ...
109
A Flexible State Space Model and its Applications
... a dynamic factor model with missing ...The model switches to a more parsimonious representation at random dates controlled by hidden Markov-switching ...a dynamic mixture model ...
28
Investment Value Evaluation of Hi Tech Industry: Based on Multi Factor Dynamic Model
... DCF model or PE model, traditional valuation methods which don’t take the characteristics of hi-tech industry into ...constructs dynamic multi-factor model which makes high-tech indus- ...
9
Co-movements in Real Effective Exchange Rates : Evidence From the Dynamic Hierarchical Factor Model
... The abovementioned model is estimated using the Markov Chain Monte Carlo (MCMC) method. We follow the assumption about the prior distribution used in Moench et al. (2011); for example, the prior distribution of ...
25
Public Subsidy on Education and Welfare in Small OECD Countries: A Theoretical and Empirical Reconciliation
... This section empirically examines the effect of a change in public spending on education (ps_edu) on the economic growth (growth) for those 21 small open OECD countries as stated in the introduction section. Here ...
10
The Effect of Vehicle Velocity on The Dynamic Amplification Factor For A Simply Supported
... Various behaviours like bending, shear, axial & deflection are presented for RCC T Beam bridges considering 2-D FEM using SAP software. FEM models are prepared for six different span lengths keeping the same material ...
7