| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4679 |
| DP4679 Indeterminacy in a Finance Constrained Unionized Economy | |
| Leonor Modesto; Teresa Lloyd-Braga | |
| 发表日期 | 2004-10-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly estimated. We model these large datasets with a factor model, and develop an interpolation method that exploits the estimated factors as an efficient summary of all the available information. The method is compared with existing standard approaches from a theoretical point of view, by means of Monte Carlo simulations, and also when applied to actual macroeconomic series. The results indicate that our method is more robust to model misspecification, although traditional multivariate methods also work well while univariate approaches are systematically outperformed. When interpolated series are subsequently used in econometric analyses, biases can emerge, depending on the type of interpolation but again be reduced with multivariate approaches, including factor-based ones. |
| 主题 | International Macroeconomics |
| 关键词 | Interpolation Factor model Kalman filter Spline |
| URL | https://cepr.org/publications/dp4679 |
| 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/533600 |
| 推荐引用方式 GB/T 7714 | Leonor Modesto,Teresa Lloyd-Braga. DP4679 Indeterminacy in a Finance Constrained Unionized Economy. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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