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DP16183 Heterogeneity and Aggregate Fluctuations 智库出版物
2021
作者:  Minsu Chang;  Xiaohong Chen;  Frank Schorfheide
收藏  |  浏览/下载：3/0  |  提交时间：2022/09/22
Bayesian model selection  Econometric model evaluation  Earnings distribution  Functional vector autoregressions  Heterogeneous agent models  State-space model  Technology shocks  
DP14107 Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model 智库出版物
2019
作者:  Davide Delle Monache;  Ivan Petrella;  Fabrizio Venditti
收藏  |  浏览/下载：2/0  |  提交时间：2022/09/22
State space models  Time-varying parameters  Score-driven models  Equity premium  Present-value models  
DP11599 Adaptive state space models with applications to the business cycle and financial stress 智库出版物
2016
作者:  Ivan Petrella;  Fabrizio Venditti;  Davide Delle Monache
收藏  |  浏览/下载：0/0  |  提交时间：2022/09/22
State space models  Time-varying parameters  Score-driven models  Business cycle  Financial stress  
DP10419 Forecasting Inflation using Survey Expectations and Target Inflation: Evidence for Brazil and Turkey 智库出版物
2015
作者:  Sumru G. Altug;  Cem Çakmaklı
收藏  |  浏览/下载：3/0  |  提交时间：2022/09/22
Inflation forecasting  Inflation targeting  State space models  Survey-based expectation  Term structure of inflation expectations  
DP9112 Now-casting and the real-time data flow 智库出版物
2012
作者:  Lucrezia Reichlin;  Domenico Giannone;  Michele Modugno;  Marta Banbura
收藏  |  浏览/下载：0/0  |  提交时间：2022/09/22
Dynamic factor model  High-dimensional data  Macroeconomic forecasting  Macroeconomic news  Mixed-frequency  Real-time data  State-space models  
DP6990 Optimally Combining Censored and Uncensored Datasets 智库出版物
2008
作者:  Paul J. Devereux;  Gautam Tripathi
收藏  |  浏览/下载：0/0  |  提交时间：2022/09/22
Chain-linking  Dynamic factor models  Euro area gdp  Kalman filter and smoother  Multivariate state space models  Temporal disaggregation