Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Autor: Drew Creal, Siem Jan Koopman, Andre Lucas, Bernd Schwaab

Publikováno v: Review of Economics and Statistics, 96(5), 898-915. MIT Press Journals
Creal, D, Schwaab, B, Koopman, S J & André, L 2014, ' Observation driven mixed-measurement dynamic factor models with an application to credit risk ', Review of Economics and Statistics, vol. 96, no. 5, pp. 898-915 . https://doi.org/10.1162/REST_a_00393
Creal, D D, Schwaab, B, Koopman, S J & Lucas, A 2014, ' Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk ', Review of Economics and Statistics, vol. 96, no. 5, pp. 898-915 . https://doi.org/10.1162/REST_a_00393

This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of famil

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f6ef1b59ceb8fd9b76335dc6ce354df1
https://hdl.handle.net/1871.1/5a417706-df29-4f7f-ae23-1f310abcd295

State dependence and heterogeneity in health using a bias-corrected fixed-effects estimator

Autor: Carro, Jesús M., Traferri, Alejandra

Publikováno v: e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
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This paper estimates a dynamic ordered probit model of self-assessed health with two fi xed effects: one in the linear index equation and one in the cut points. This robustly controls for heterogeneity in unobserved health status and in reporting beh

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::db890905038660afb033f5bd879faddd
http://hdl.handle.net/10016/20690

Bayesian Forecasting of Federal Funds Target Rate Decisions

Autor: Richard Paap, Sjoerd van den Hauwe, Dick van Dijk

Publikováno v: Journal of Macroeconomics, 37, 19-40. Elsevier

This paper examines which macroeconomic and financial variables are most informative for the federal funds target rate decisions made by the Federal Open Market Committee (FOMC) from a forecasting perspective. The analysis is conducted for the FOMC d

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7b03fb11a780d69dc7a75c74c3b61270
http://papers.tinbergen.nl/11093.pdf

Bayesian Forecasting of Federal Funds Target Rate Decisions

Autor: van den Hauwe, Sjoerd, Paap, Richard, van Dijk, Dick

This paper examines which macroeconomic and financial variables are most informative for the federal funds target rate decisions made by the Federal Open Market Committee (FOMC) from a forecasting perspective. The analysis is conducted for the FOMC d

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::cdb865110542ac67ad522982aba32a57
https://hdl.handle.net/10419/87203

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