Caterina Schiavoni, Franz Palm, Stephan Smeekes, Jan van den Brakel
arXiv 31 Jan 2019 · Econometrics · publishedJournal of the Royal Statistical Society Series A (Statistics in Society) (2020) · 4 citations (OpenAlex)
arXiv:1901.11355 · PDF · DOI · OpenAlex · Extracted main text
In this paper we consider estimation of unobserved components in state space models using a dynamic factor approach to incorporate auxiliary information from high-dimensional data sources. We apply the methodology to unemployment estimation as done by Statistics Netherlands, who uses a multivariate state space model to produce monthly figures for the unemployment using series observed with the labour force survey (LFS). We extend the model by including auxiliary series of Google Trends about job-search and economic uncertainty, and claimant counts, partially observed at higher frequencies. Our factor model allows for nowcasting the variable of interest, providing reliable unemployment estimates in real-time before LFS data become available.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Doz, C., Giannone, D., and Reichlin, L (2011) A Two-step Estimator for Large Approximate Dynamic Factor Models Based on Kalman filtering | 1.000 | 6 | 4 | 100% |
| 2 | Harvey, A. and Chung, C.-H (2000) Estimating the Underlying Change in Unemployment in the UK | 1.000 | 5 | 3 | 100% |
| 3 | Durbin, J. and Koopman, S. J (2012) Time Series Analysis by State Space Methods: Second Edition | 0.956 | 8 | 3 | 88% |
| 4 | van den Brakel, J. A. and Krieg, S (2015) Dealing with Small Sample Sizes, Rotation Group Bias and Discontinuities in a Rotating Panel Design | 0.928 | 4 | 4 | 100% |
| 5 | Bollineni-Balabay, O., van den Brakel, J., and Palm, F (2017) State Space Time Series Modelling of the Dutch Labour Force Survey: Model Selection and Mean Squared Errors Estimation | 0.737 | 3 | 2 | 100% |
| 6 | Pfeffermann, D (1991) Estimation and Seasonal Adjustment of Population Means Using Data from Repeated Surveys | 0.644 | 2 | 2 | 100% |
| 7 | Bailar, B (1975) The Effects of Rotation Group Bias on Estimates from Panel Surveys | 0.644 | 2 | 2 | 100% |
| 8 | Bai, J (2004) Estimating Cross-section Common Stochastic Trends in Nonstationary Panel Data | 0.585 | 3 | 1 | 100% |
| 9 | van den Brakel, J. and Krieg, S (2009) Estimation of the Monthly Unemployment Rate Through Structural Time Series Modelling in a Rotating Panel Design | 0.585 | 3 | 1 | 100% |
| 10 | Bai, J. and Ng, S (2008) Forecasting Economic Time Series Using Targeted Predictors | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 39 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | High-Dimensional Forecasting in the Presence of Unit Roots and Cointegration | 0.405 | 1 | 1 |
| 2 | First–order integer–valued autoregressive processes with Generalized Katz innovations | 0.405 | 1 | 1 |