Research Economist
Baoline Chen
Education
Assessing Residual Seasonality in the U.S. National Income and Product Account Aggregates (PDF)
Baoline Chen , Tucker S. McElroy , and Osbert C. Pang
Nowcasting of Advance Estimates of Personal Consumption of Services in the U.S. National Accounts: Individual vs Forecasting Combination Approach (PDF)
Baoline Chen and Kyle K. Hood
Suppose a vector autoregressive moving-average model is estimated for m observed variables of primary interest for an appli-cation and n–m observed secondary variables to aid in the application. An application indicates the variables of primary interest but usually only broadly suggests secondary variables that may or may not be useful. Often, one has many potential sec-ondary variables to choose from but is unsure which ones to include in or exclude from the application. The article proposes a method called weighted-covariance factor decomposition (WCFD), comparable to Stock and Watson’s method here called principle-components factor decomposition (PCFD), for reducing the secondary variables to fewer factors to obtain a parsi-monious estimated model that is more effective in an application. The WCFD method is illustrated in the article by forecasting quarterly observed U.S. real GDP at monthly intervals using monthly observed four coincident and eight leading indicators from the Conference Board (http://www.conference-board.org). The results show that root mean-squared errors of GDP fore-casts of PCFD-factor models are 0.9–11.3% higher than those of WCFD-factor models especially as estimation-forecasting periods pass from the pre-2007 Great Moderation through the 2007–2009 Great Recession to the 2009–2016 Slow Recovery.
Peter Zadrozny and Baoline Chen
wileyonlinelibrary.com, DOI: 10.1111/jtsa.12506
The Statistical Reconciliation of Time Series of Accounts between Two Benchmark…
Baoline Chen , Thomas F. Howells III , Marco Marini , and Tommaso Di Fonzo
Further Model-Based Estimates of U.S. Total Manufacturing Production Capital an…
Baoline Chen and Peter Zadrozny
A Balanced System of U.S. Industry Accounts and Distribution of Aggregate Stati…
Baoline Chen
Estimated U.S. Manufacturing Capital and Productivity Based on an Estimated Dyn…
Baoline Chen and Peter Zadrozny
Book Review on “Benchmarking, Temporal Distribution, and Reconciliation Methods…
Baoline Chen and David F. Findley
Multi-Step Perturbation Solutions on Non-Linear Economic Problems: Illustrated …
Baoline Chen and Peter Zadrozny
An Empirical Comparison of Methods for Temporal Distribution and Interpolation at the National Accounts (PDF)
Baoline Chen
Real-Time State-Space Method for Computing Filtered Estimates of Future Revisio…
Baoline Chen and Peter Zadrozny
An Empirical Review of Methods for Temporal Distribution and Interpolation in t…
Baoline Chen and Stephen H. Andrews
A Balanced System of Industry Accounts for the U.S. and Structural Distribution of Statistical Discrepancy (PDF)
Baoline Chen
Higher Moments in the Perturbation Solution of the Linear-Quadratic Exponential…
Baoline Chen and Peter Zadrozny
Measuring the Services of Property-Casualty Insurance in the NIPAs: Changes in …
Baoline Chen and Dennis J. Fixler
An Anticipative Feedback Solution for Infinite-Horizon Linear-Quadratic Dynamic…
Baoline Chen and Peter Zadrozny
Analytic Derivatives of the Matrix Exponential for Estimation of Linear Continu…
Baoline Chen and Peter Zadrozny
Numerical Solution of an Endogenous Growth Model with Threshold Learning
Baoline Chen
An Extended Yule-Walker Method for Estimating a Vector Autoregressive Model wit…
Baoline Chen and Peter Zadrozny