| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3420 |
| DP3420 Foreign Competition and Wage Inequality | |
| Peter Neary | |
| 发表日期 | 2002-06-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is based on the generalized dynamic factor model proposed in Forni, Hallin, Lippi, and Reichlin (2000), and takes advantage of the information on the dynamic covariance structure of the whole panel. We first use our previous method to obtain an estimation for the covariance matrices of common and idiosyncratic components. The generalized eigenvectors of this couple of matrices are then used to derive a consistent estimate of the optimal forecast, which is constructed as a linear combination of present and past observations only (one-sided filter). This two-step approach solves the end-of-sample problems caused by two-sided filtering (as in our previous work), while retaining the advantages of an estimator based on dynamic information. Both simulation results and an empirical illustration on the forecast of the Euro area industrial production and inflation, based on a panel of 447 monthly time series show very encouraging results. |
| 主题 | International Macroeconomics |
| 关键词 | Dynamic factor models Principal components Time series Large cross-sections Panel data Forecasting |
| URL | https://cepr.org/publications/dp3420 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532439 |
| 推荐引用方式 GB/T 7714 | Peter Neary. DP3420 Foreign Competition and Wage Inequality. 2002. |
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