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 20 of 24 for “"Dynamic factor"”.
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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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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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Adjustment costs and dynamic factor demands : investment and employment under uncertainty
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1988.
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Dynamic factor analysis with dependent Gaussian processes for high-dimensional biomarker trajectories
… expression trajectories via Bayesian sparse factor analysis in Chapter 2. Our proposal is the first attempt to relax the classical assumption of independent factors for longitudinal data and has demonstrated a superior performance in recovering the shape of pathway expression trajectories, …
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Three Essays in Finance
Dynamic factor models for forecasting stock return covariance matrix. Factor models are quite popular for forecasting covariances as they reduce the impact of the idiosyncratic return component on forecasts based on the full sample covariance matrix. I examine empirically whether introducing factor …
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Kinematic Chain Monoids for Real-Time Kinodynamic Trajectory Optimization in Legged Robots
Dynamics Factor Graph (DFG) is a graphical framework to solve dynamics problems and kinodynamic motion planning problems with full consideration of whole-body dynam- ics and contacts. In this thesis I will present DFG and explain the different variables and constraints being used in legged robot …
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Essays on Carry Trade and Exchange Rate Forecasting
… Taylor rule fundamentals in a Markov switching dynamic factor augmented regression framework and compares the performance statistics with the benchmark model of a random walk. I make simulations with the Japanese Yen, Swiss Franc and US Dollar as funding currencies against six target currencies. …
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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
… 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 by applying …
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Unsupervised learning of vocal tract sensory-motor synergies
… approach to learning sensory-motor synergies via dynamic factor analysis for control of a simulated vocal tract is presented here. This framework is shown to mirror the articulatory phonology model of speech production and evidence is provided that articulatory gestures arise from learning an …
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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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Murky waters: discerning among sources of natural variation under high uncertainty and at multiple scales
… across three flow-source classes of rivers using dynamic factor analysis. The most probable estimate of allochthony across consumer taxa was 41% in small-montane lakes. For large-montane and alpine lakes, allochthony was just 4 and 3%, respectively. These results corroborate previous findings that …
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Bayesian Analysis of Latent Threshold Dynamic Models
… non-zero values when supported by the data. This dynamic sparsity modeling technique is implemented in broad classes of multivariate time series models with application tovarious time series data. The analyses demonstrate the utility of the latent threshold idea in reducing estimation uncertainty …
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Corporate Default Predictions and Methods for Uncertainty Quantifications
… 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 propose a parsimonious Markovian time series model and a dynamic factor model (DFM) to efficiently capture …
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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 Bayesian Macroeconometrics
… to incorporate volatility proxy information into dynamic factor models with stochastic volatility. We study the density prediction performance on U.S. bond yields of including realized volatility into a dynamic Nelson-Siegel (DNS) model with stochastic volatility. The results clearly indicate that …
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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
… breaks in time-series. We note that a common-factor-restriction (CFR) is imposed in the Engle-Granger (EG) test. The restriction implies the identical long-run and short-run dynamics in the relationship among the variables of interest. This chapter develops a new Engle-Granger (FEG2) …
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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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The impacts of rural-to-urban labor migration on the rural environment in Chongqing municipality, southwest China: Mediating roles of rural household livelihoods and community development
… have turned research focus toward the more dynamic factor of population processes – migration. The mediating factor approach to population and environment provides a basic theoretical model for understanding the complex relationship between migration and the environment. Thus far, few …
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