Dynamic factor models /
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| Edition: | First edition. |
|---|---|
| Imprint: | United Kingdom : Emerald Group Publishing Limited, 2016. |
| Description: | 1 online resource |
| Language: | English |
| Series: | Advances in econometrics ; vol. 35 Advances in econometrics ; vol. 35. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/11306661 |
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| 245 | 0 | 0 | |a Dynamic factor models / |c edited by Eric Hillebrand, Siem Jan Koopman. |
| 250 | |a First edition. | ||
| 264 | 1 | |a United Kingdom : |b Emerald Group Publishing Limited, |c 2016. | |
| 300 | |a 1 online resource | ||
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| 490 | 1 | |a Advances in econometrics ; |v vol. 35 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Vendor-supplied metadata. | |
| 505 | 0 | |a 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. | |
| 505 | 8 | |a 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. | |
| 505 | 8 | |a 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. | |
| 505 | 8 | |a 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. | |
| 505 | 8 | |a 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. | |
| 520 | |a This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications. | ||
| 650 | 0 | |a Macroeconomics. |0 http://id.loc.gov/authorities/subjects/sh85079443 | |
| 650 | 0 | |a Macroeconomics |x Econometric models. |0 http://id.loc.gov/authorities/subjects/sh2008107159 | |
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| 650 | 7 | |a Macroeconomics |x Econometric models. |2 fast |0 (OCoLC)fst01005225 | |
| 655 | 0 | |a Electronic books. | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Hillebrand, Eric, |e editor. | |
| 700 | 1 | |a Koopman, S. J. |q (Siem Jan), |e editor. |0 http://id.loc.gov/authorities/names/n00008824 | |
| 776 | 0 | 8 | |i Print version: |a Hillebrand, Eric. |t Dynamic Factor Models. |d Bradford, West Yorkshire : Emerald Group Publishing Limited, ©2016 |z 9781785603532 |
| 830 | 0 | |a Advances in econometrics ; |v vol. 35. |0 http://id.loc.gov/authorities/names/no98010995 | |
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