high-dimensional filtering; real-time estimation; coincident indicator; leading indicator; parameter shrinkage; business cycles; dynamic factor model

Forecasting and signal extraction with regularised multivariate direct filter approach

JEL codes: 
C13, C32, E32, E37
Version Date: 
Dec 2012

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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