C13

Estimation

Forecasting and signal extraction with regularised multivariate direct filter approach

JEL codes: 
C13, C32, E32, E37
Version Date: 
Dec 2012
Author/s: 
Abstract: 

The paper studies regularised direct filter approach as a tool for high-dimensional filtering and real-time signal extraction. It is shown that the regularised filter is able to process high-dimensional data sets by controlling for effective degrees of freedom and that it is computationally fast.

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A New Real-Time Indicator for the Euro Area GDP

JEL codes: 
C13, C32, E32, E37
Version Date: 
Jul 2012
Author/s: 
Abstract: 

The paper proposes a new real-time unrevised indicator tracking medium-to-long-term component in the quarterly growth of the euro area GDP. The new indicator is based on recently developed real-time filtration methodology, the multivariate direct filter approach, applied to selected business and consumer survey and share price data.

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Currency Union, Free Trade Areas, and Business Cycle Synchronization

JEL codes: 
C12, C13, C14, C15, C32, E32, F15
Version Date: 
Mar 2010
Author/s: 
Abstract: 

Since the 1970s the characteristics of international business cycles have changed and deeper economic integration has modified the features of cross-country comovement. We formally test for correlation shifts in measures of real economic activity and economic/financial integration.

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Currency Union, Free-Trade Areas, and Business Cycle Synchronization

JEL codes: 
C12, C13, C14, C15, C32, E32, F15
Version Date: 
Mar 2011
Author/s: 
Abstract: 

Since the 1970s the characteristics of international business cycles have changed and deeper economic integration has modified the features of cross-country comovement. We formally test for correlation shifts in measures of real economic activity and economic/financial integration.

Report file: 
PDF icon Download the paper (737.37 KB)