Wednesday, September 27, 2023

Principal Component Analysis for Nonstationary Series

Authors and guest post by Eren Ocakverdi

This blog piece intends to introduce a new add-in (i.e. HXPRINCOMP) that implements the procedure developed by Hamilton and Xi (2022).

Monday, September 11, 2023

Nowcasting US GDP During Covid-19 using Factor Augmented MIDAS

The COVID-19 pandemic sent waves through the global economy, triggering a macroeconomic shock and caused unprecedented challenges for economists trying to predict the current state of economies. In the quest for a more timely and accurate assessment of economic conditions during the COVID-19 era, economists and researchers turned to innovative solutions, and one of the most promising techniques emerged: MIDAS (Mixed-Data Sampling) estimation.