Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 12 of 12 for “"Dynamic Factor Model"”.
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Nowcasting GDP using dynamic factor model: A Bayesian approach
… (such as quarterly GDP figure) is disseminated. Dynamic factor models (DFMs) are widely used in econometrics to bridge series with different frequencies and achieve a reduction in dimensionality. However, most of the research using DFMs often assumes the number of factors is known. In this …
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Labor Market Dynamics in West Virginia and the Appalachian Region
… of three manuscripts analyzing labor market dynamics in West Virginia and the Appalachian Region. The first manuscript examines the dynamic effects of national, regional, and local labor market shocks on labor force participation rates in Appalachia. A dynamic factor model with time-varying …
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Three Essays on Macroeconomic and Econometric Analysis of Business Cycle
… using either the coincident composite index model or the dynamic factor model. This paper suggests a modified principal components regression method: using the Chicago Federal Reserve Bank National Activity Index (CFNAI) and local economic indicators, local and national factors are extracted …
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Nowcasting Brazilian GDP: a performance assessment of dynamic factor models
This work compares dynamic factor model’s forecasts for Brazilian GDP. Our approach takes into account mixed frequencies and can handle missing data. We implement three models: the first is based on the Principal Components Analysis methodology; the second employs a two-step estimation method with …
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Three essays on regional business cycle analysis
… that regional economies are exposed to a common factor that affects its sub-units. In the first essay, it is found that in multi-level structure regional economy, spillovers from neighboring regions are insignificant or small compared to common factor. Adapting the conclusions from the first …
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Corporate Default Predictions and Methods for Uncertainty Quantifications
… Specifically, we propose a competing risks model to incorporate exits of companies due to default and other reasons. Because of the stochastic and dynamic nature of the corporate risks, we incorporate both company-level and market-level covariate processes into the event intensities. We …
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Essays on Commodity Price Shocks, Bank Risk and Market Volatility Forecasting
… main chapters. Chapter 2 develops a structural dynamic factor model that estimates the effects of commodity price shocks on the Canadian macroeconomy, bank lending and bank risk. Unlike most literature treating commodity price changes as exogenous, I identify global structural shocks driving …
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Essays on Human Capital Development
… of life course. Human capital development is a dynamic and multifaceted process that affects a wide range of outcomes over the life span. Understanding the dynamic features of this process and identifying its key determinants are crucial for informing policies aimed at enhancing human capital …
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Cointegration tests with smooth breaks and co-movements of international reserves
… methodology can accommodate various types of models with an unknown number and form of gradual structural changes. An empirical example of real oil prices, oil production, and real economic activity using the new test shows that these variables are cointegrated, while a conventional ADL test …
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ESSAYS ON THE MACROECONOMIC IMPACTS OF ENERGY AND COMMODITY MARKETS
… and the world oil market. I use a set of factor augmented vector autoregressions to identify and compare the impact of unanticipated changes in U.S. energy efficiency and U.S. oil supply over the period 1980Q1–2019Q4. The identification strategy relies on the fact that positive shocks in …
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MACROECONOMIC ASPECTS OF COMMODITY PRICE DYNAMICS
… policy and other macroeconomic shocks on the dynamics of agricultural commodity prices. The major contributions of this study are twofold. First, unlike other studies that use indexes, this study analyzes the commodities individually, affording the inclusion of commodity-specific fundamentals …
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Essays in Public Economics and Health Economics
… to be robust to changes in year-to-year income dynamics than previous estimates. To identify these effects, we exploit variation in marginal and total tax rates around the 2009 reforms which occurs independently of an individual’s position in the income distribution as a result of joint …