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* 6 Results

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    • Publications (6)
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  • Tags: Factor Models
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  1. Publication

    Bayesian Analysis of Static and Dynamic Factor Models: An Ex-Post Approach towards the Rotation Problem

    01.01.2016

    Due to their indeterminacies, static and dynamic factor models require identifying assumptions to guarantee uniqueness of the parameter estimator. The indeterminacy of the parameter estimator with respect to an orthogonal transformation is known as...

  2. Publication

    Real Wages and Monetary Policy Transmission in the Euro Area

    01.06.2007

    We use the Factor-Augmented Vector Autoregression (FAVAR) approach of Bernanke, Boivin and Eliasz (2005) to estimate the effects of monetary policy shocks on wages and employment in the euro area. The use of a large data set comprising country,...

  3. Publication

    Bayesian Analysis of Dynamic Factor Models: An Ex-Post Approach towards the Rotation Problem

    01.02.2014

    Due to their indeterminacies, static and dynamic factor models require identifying assumptions to guarantee uniqueness of the parameter estimates. The indeterminacy of the parameter estimates with respect to orthogonal transformations is known as the...

  4. Publication

    The Directional Identification Problem in Bayesian Factor Analysis: An Ex-Post Approach

    17.10.2012

    Due to their well-known indeterminacies, factor models require identifying assumptions to guarantee unique parameter estimates. For Bayesian estimation, these identifying assumptions are usually implemented by imposing constraints on certain model...

  5. Publication

    Forecasting with Large Datasets: Aggregating Before, During or After the Estimation?

    01.05.2014

    We study the forecasting performance of three alternative large data forecasting approaches. These three approaches handle the dimensionality problem evoked by a large dataset by aggregating its informational content, yet on different levels. We...

  6. Publication

    Forecasting with large datasets: Agregating before, during or after the estimation

    18.09.2018

    We study the forecasting performance of three alternative large data forecasting approaches. These three approaches handle the dimensionality problem ev

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