Alexei Onatski
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Onatski, A. & Wang, C., 2020.
"Spurious Factor Analysis,"
Cambridge Working Papers in Economics
2003, Faculty of Economics, University of Cambridge.
- Alexei Onatski & Chen Wang, 2021. "Spurious Factor Analysis," Econometrica, Econometric Society, vol. 89(2), pages 591-614, March.
Mentioned in:
- Spurious Factor Analysis
by Francis Diebold in No Hesitations on 2020-07-14 17:50:00
RePEc Biblio mentions
As found on the RePEc Biblio, the curated bibliography of Economics:- Onatski, Alexei, 2012.
"Asymptotics of the principal components estimator of large factor models with weakly influential factors,"
Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.
Mentioned in:
- Alexei Onatski & Francisco Ruge‐Murcia, 2013.
"Factor Analysis Of A Large Dsge Model,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(6), pages 903-928, September.
- ONATSKI, Alexei & RUGE-MURCIA, Francisco J., 2010. "Factor Analysis of a Large DSGE Model," Cahiers de recherche 17-2010, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Alexei Onatski & Francisco J. Ruge-Murcia, 2010. "Factor Analysis of a Large DSGE Model," Working Paper series 50_10, Rimini Centre for Economic Analysis.
- ONATSKI, Alexei & RUGE-MURCIA, Francisco J., 2010. "Factor Analysis of a Large DSGE Model," Cahiers de recherche 2010-08, Universite de Montreal, Departement de sciences economiques.
Mentioned in:
Wikipedia or ReplicationWiki mentions
(Only mentions on Wikipedia that link back to a page on a RePEc service)- Alexei Onatski & Noah Williams, 2010.
"Empirical and policy performance of a forward-looking monetary model,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 145-176.
- Alexei Onatski & Noah Williams, 2004. "Empirical and policy performance of a forward-looking monetary model," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Alexei Onatski & Noah Williams, 2010. "Empirical and policy performance of a forward‐looking monetary model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 145-176, January.
Mentioned in:
Working papers
- Onatski, A. & Wang, C., 2020.
"Spurious Factor Analysis,"
Cambridge Working Papers in Economics
2003, Faculty of Economics, University of Cambridge.
- Alexei Onatski & Chen Wang, 2021. "Spurious Factor Analysis," Econometrica, Econometric Society, vol. 89(2), pages 591-614, March.
Cited by:
- Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan, 2022.
"On LASSO for predictive regression,"
Journal of Econometrics, Elsevier, vol. 229(2), pages 322-349.
- Ji Hyung Lee & Zhentao Shi & Zhan Gao, 2018. "On LASSO for Predictive Regression," Papers 1810.03140, arXiv.org, revised Feb 2021.
- Ziwei Mei & Zhentao Shi, 2022. "On LASSO for High Dimensional Predictive Regression," Papers 2212.07052, arXiv.org, revised Jan 2024.
- Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021.
"Factor extraction using Kalman filter and smoothing: This is not just another survey,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Poncela Blanco, Maria Pilar, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Rajveer Jat & Daanish Padha, 2024. "Kernel Three Pass Regression Filter," Papers 2405.07292, arXiv.org, revised Jun 2024.
- Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
- Hasan Isomitdinov & Vladimir Arčabić & Junsoo Lee & Youngjin Yun & James E. Payne, 2024. "International comovements of public debt," Economic Inquiry, Western Economic Association International, vol. 62(2), pages 722-747, April.
- Pablo Guerrón-Quintana & Alexey Khazanov & Molin Zhong, 2023. "Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model," Finance and Economics Discussion Series 2023-027, Board of Governors of the Federal Reserve System (U.S.).
- Bo Zhang & Jiti Gao & Guangming Pan & Yanrong Yang, 2023. "Eigen-Analysis for High-Dimensional Time Series Clustering," Monash Econometrics and Business Statistics Working Papers 22/23, Monash University, Department of Econometrics and Business Statistics.
- Onatski, A. & Wang, C., 2018.
"Extreme canonical correlations and high-dimensional cointegration analysis,"
Cambridge Working Papers in Economics
1805, Faculty of Economics, University of Cambridge.
- Onatski, Alexei & Wang, Chen, 2019. "Extreme canonical correlations and high-dimensional cointegration analysis," Journal of Econometrics, Elsevier, vol. 212(1), pages 307-322.
Cited by:
- Anna Bykhovskaya & Vadim Gorin, 2023. "High-Dimensional Canonical Correlation Analysis," Papers 2306.16393, arXiv.org, revised Aug 2023.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2021.
"Spurious relationships in high-dimensional systems with strong or mild persistence,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1480-1497.
- Pitarakis, Jean-Yves, 2020. "Spurious relationships in high dimensional systems with strong or mild persistence," UC3M Working papers. Economics 31553, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Feng, Zongbao & Chen, Weiya & Liu, Yang & Chen, Hongyu & Skibniewski, Mirosław J., 2023. "Long-term equilibrium relationship analysis and energy-saving measures of metro energy consumption and its influencing factors based on cointegration theory and an ARDL model," Energy, Elsevier, vol. 263(PD).
- Smeekes, Stephan & Wijler, Etienne, 2021.
"An automated approach towards sparse single-equation cointegration modelling,"
Journal of Econometrics, Elsevier, vol. 221(1), pages 247-276.
- Stephan Smeekes & Etienne Wijler, 2018. "An Automated Approach Towards Sparse Single-Equation Cointegration Modelling," Papers 1809.08889, arXiv.org, revised Jul 2020.
- Anna Bykhovskaya & Vadim Gorin, 2022. "Asymptotics of Cointegration Tests for High-Dimensional VAR($k$)," Papers 2202.07150, arXiv.org, revised Nov 2023.
- Anna Bykhovskaya & Vadim Gorin, 2020. "Cointegration in large VARs," Papers 2006.14179, arXiv.org, revised Dec 2021.
- Johnstone, I. M & Onatski, A., 2018.
"Testing in High-Dimensional Spiked Models,"
Cambridge Working Papers in Economics
1806, Faculty of Economics, University of Cambridge.
Cited by:
- Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020.
"Estimation of a multiplicative correlation structure in the large dimensional case,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.
- Hafner, C. & Linton, O. & Tang, H., 2018. "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1878, Faculty of Economics, University of Cambridge.
- Hafner, Christian & Linton, Oliver & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," LIDAM Reprints ISBA 2020028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020.
"Estimation of a multiplicative correlation structure in the large dimensional case,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.
- Onatski, A., 2018.
"Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise,"
Cambridge Working Papers in Economics
1808, Faculty of Economics, University of Cambridge.
Cited by:
- Andreou, Elena & Ghysels, Eric, 2021. "Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors," Journal of Econometrics, Elsevier, vol. 220(2), pages 366-398.
- Alexei Onatski & Chen Wang, 2021.
"Spurious Factor Analysis,"
Econometrica, Econometric Society, vol. 89(2), pages 591-614, March.
- Onatski, A. & Wang, C., 2020. "Spurious Factor Analysis," Cambridge Working Papers in Economics 2003, Faculty of Economics, University of Cambridge.
- Jungjun Choi & Ming Yuan, 2024. "High Dimensional Factor Analysis with Weak Factors," Papers 2402.05789, arXiv.org.
- Alexei Onatski & Chen Wang, 2016.
"Alternative Asymptotics for Cointegration Tests in Large VARs,"
Cambridge Working Papers in Economics
1637, Faculty of Economics, University of Cambridge.
- Alexei Onatski & Chen Wang, 2018. "Alternative Asymptotics for Cointegration Tests in Large VARs," Econometrica, Econometric Society, vol. 86(4), pages 1465-1478, July.
Cited by:
- Matteo Barigozzi & Lorenzo Trapani, 2018.
"Determining the dimension of factor structures in non-stationary large datasets,"
Papers
1806.03647, arXiv.org.
- Matteo Barigozzi & Lorenzo Trapani, 2018. "Determining the dimension of factor structures in non-stationary large datasets," Discussion Papers 18/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2022.
"Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity],"
The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 494-514.
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," Working Papers 2021.19, Fondazione Eni Enrico Mattei.
- Casoli, Chiara & Lucchetti, Riccardo (Jack), 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers 312367, Fondazione Eni Enrico Mattei (FEEM).
- Liang, Chong & Schienle, Melanie, 2019.
"Determination of vector error correction models in high dimensions,"
Working Paper Series in Economics
124, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Liang, Chong & Schienle, Melanie, 2019. "Determination of vector error correction models in high dimensions," Journal of Econometrics, Elsevier, vol. 208(2), pages 418-441.
- Gianluca Cubadda & Marco Mazzali, 2024.
"The vector error correction index model: representation, estimation and identification,"
The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
- Gianluca Cubadda & Marco Mazzali, 2023. "The Vector Error Correction Index Model: Representation, Estimation and Identification," CEIS Research Paper 556, Tor Vergata University, CEIS, revised 04 Apr 2023.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2021.
"Spurious relationships in high-dimensional systems with strong or mild persistence,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1480-1497.
- Pitarakis, Jean-Yves, 2020. "Spurious relationships in high dimensional systems with strong or mild persistence," UC3M Working papers. Economics 31553, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Chudik, A. & Pesaran, H. & Mohaddes, K., 2018.
"Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR,"
Cambridge Working Papers in Economics
1874, Faculty of Economics, University of Cambridge.
- Alexander Chudik & Mohammad Hashem Pesaran & Kamiar Mohaddes, 2019. "Identifying Global and National Output and Fiscal Policy ShocksUsing a GVAR," Working Papers 1286, Economic Research Forum, revised 2019.
- Alexander Chudik & Kamiar Mohaddes & M. Hashem Pesaran, 2018. "Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR," Globalization Institute Working Papers 351, Federal Reserve Bank of Dallas.
- Alexander Chudik & M. Hashem Pesaran & Kamiar Mohaddes, 2019. "Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR," CESifo Working Paper Series 7454, CESifo.
- Alexander Chudik & M. Hashem Pesaran & Kamiar Mohaddes, 2019. "Identifying global and national output and fiscal policy shocks using a GVAR," CAMA Working Papers 2019-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Alexander Chudik & M. Hashem Pesaran & Kamiar Mohaddes, 2020. "Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR," Advances in Econometrics, in: Essays in Honor of Cheng Hsiao, volume 41, pages 143-189, Emerald Group Publishing Limited.
- Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan, 2022.
"On LASSO for predictive regression,"
Journal of Econometrics, Elsevier, vol. 229(2), pages 322-349.
- Ji Hyung Lee & Zhentao Shi & Zhan Gao, 2018. "On LASSO for Predictive Regression," Papers 1810.03140, arXiv.org, revised Feb 2021.
- Rui Fan & Ji Hyung Lee & Youngki Shin, 2021.
"Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach,"
Papers
2101.11568, arXiv.org, revised Dec 2022.
- Fan, Rui & Lee, Ji Hyung & Shin, Youngki, 2023. "Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach," Journal of Econometrics, Elsevier, vol. 237(2).
- Ziwei Mei & Zhentao Shi, 2022. "On LASSO for High Dimensional Predictive Regression," Papers 2212.07052, arXiv.org, revised Jan 2024.
- Morten {O}rregaard Nielsen & Won-Ki Seo & Dakyung Seong, 2023. "Inference on common trends in functional time series," Papers 2312.00590, arXiv.org, revised May 2024.
- Morten Ørregaard Nielsen & Wonk-ki Seo & Dakyung Seong, 2022.
"Inference on the dimension of the nonstationary subspace in functional time series,"
CREATES Research Papers
2022-04, Department of Economics and Business Economics, Aarhus University.
- Morten Ørregaard Nielsen & Won-Ki Seo & Dakyung Seong, 2020. "Inference on the dimension of the nonstationary subspace in functional time series," Working Paper 1420, Economics Department, Queen's University.
- Nielsen, Morten Ørregaard & Seo, Won-Ki & Seong, Dakyung, 2023. "Inference On The Dimension Of The Nonstationary Subspace In Functional Time Series," Econometric Theory, Cambridge University Press, vol. 39(3), pages 443-480, June.
- Onatski, Alexei & Wang, Chen, 2019.
"Extreme canonical correlations and high-dimensional cointegration analysis,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 307-322.
- Onatski, A. & Wang, C., 2018. "Extreme canonical correlations and high-dimensional cointegration analysis," Cambridge Working Papers in Economics 1805, Faculty of Economics, University of Cambridge.
- Georg Keilbar & Yanfen Zhang, 2021.
"On cointegration and cryptocurrency dynamics,"
Digital Finance, Springer, vol. 3(1), pages 1-23, March.
- Keilbar, Georg & Zhang, Yanfen, 2020. "On Cointegration and Cryptocurrency Dynamics," IRTG 1792 Discussion Papers 2020-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
- Zhan Gao & Ji Hyung Lee & Ziwei Mei & Zhentao Shi, 2024. "Econometric Inference for High Dimensional Predictive Regressions," Papers 2409.10030, arXiv.org, revised Nov 2024.
- Anna Bykhovskaya & Vadim Gorin, 2022. "Asymptotics of Cointegration Tests for High-Dimensional VAR($k$)," Papers 2202.07150, arXiv.org, revised Nov 2023.
- Anna Bykhovskaya & Vadim Gorin, 2020. "Cointegration in large VARs," Papers 2006.14179, arXiv.org, revised Dec 2021.
- Alexei Onatski & Marcelo Moreira J. & Marc Hallin, 2012.
"Signal Detection in High Dmension: The Multispiked Case,"
Working Papers ECARES
ECARES 2012-036, ULB -- Universite Libre de Bruxelles.
Cited by:
- Badi Baltagi & Chihwa Kao & Fa wang, 2016.
"Asymptotic Power of the Sphericity Test Under Weak and Strong Factors in a Fixed Effects Panel Data Model,"
Center for Policy Research Working Papers
189, Center for Policy Research, Maxwell School, Syracuse University.
- Badi H. Baltagi & Chihwa Kao & Fa Wang, 2017. "Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 853-882, October.
- Matteo Barigozzi & Lorenzo Trapani, 2018.
"Sequential testing for structural stability in approximate factor models,"
Discussion Papers
18/04, University of Nottingham, Granger Centre for Time Series Econometrics.
- Matteo Barigozzi & Lorenzo Trapani, 2017. "Sequential testing for structural stability in approximate factor models," Papers 1708.02786, arXiv.org, revised Mar 2020.
- Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
- Christine Cutting & Davy Paindaveine & Thomas Verdebout, 2015. "Testing Uniformity on High-Dimensional Spheres against Contiguous Rotationally Symmetric Alternatives," Working Papers ECARES ECARES 2015-04, ULB -- Universite Libre de Bruxelles.
- Anders Bredahl Kock & David Preinerstorfer, 2019.
"Power in High‐Dimensional Testing Problems,"
Econometrica, Econometric Society, vol. 87(3), pages 1055-1069, May.
- Anders Bredahl Kock & David Preinerstorfer, 2017. "Power in High-dimensional testing Problems," Working Papers ECARES ECARES 2017-42, ULB -- Universite Libre de Bruxelles.
- Badi Baltagi & Chihwa Kao & Fa wang, 2016.
"Asymptotic Power of the Sphericity Test Under Weak and Strong Factors in a Fixed Effects Panel Data Model,"
Center for Policy Research Working Papers
189, Center for Policy Research, Maxwell School, Syracuse University.
- Alexei Onatski & Marcelo Moreira J. & Marc Hallin, 2011.
"Asymptotic Power of Sphericity Tests for High-Dimensional Data,"
Working Papers ECARES
ECARES 2011-018, ULB -- Universite Libre de Bruxelles.
Cited by:
- Guo, Wenwen & Cui, Hengjian, 2019. "Projection tests for high-dimensional spiked covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 21-32.
- Badi Baltagi & Chihwa Kao & Fa wang, 2016.
"Asymptotic Power of the Sphericity Test Under Weak and Strong Factors in a Fixed Effects Panel Data Model,"
Center for Policy Research Working Papers
189, Center for Policy Research, Maxwell School, Syracuse University.
- Badi H. Baltagi & Chihwa Kao & Fa Wang, 2017. "Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 853-882, October.
- Peng, Bin & Shen, Xinyuan & Ye, Jinqi, 2019. "Testing for sphericity in a fixed effects panel data model with time-varying variances," Economics Letters, Elsevier, vol. 181(C), pages 85-89.
- Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.
- Gobillon, Laurent & Magnac, Thierry, 2013.
"Regional Policy Evaluation:Interactive Fixed Effects and Synthetic Controls,"
TSE Working Papers
13-419, Toulouse School of Economics (TSE).
- Gobillon, Laurent & Magnac, Thierry, 2013. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," IZA Discussion Papers 7493, Institute of Labor Economics (IZA).
- Laurent Gobillon & Thierry Magnac, 2016. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," PSE-Ecole d'économie de Paris (Postprint) halshs-01509743, HAL.
- Laurent Gobillon & Thierry Magnac, 2014. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Control," CESifo Working Paper Series 5077, CESifo.
- Laurent Gobillon & Thierry Magnac, 2013. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," Working Papers halshs-00849071, HAL.
- Laurent Gobillon & Thierry Magnac, 2013. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," PSE Working Papers halshs-00849071, HAL.
- Laurent Gobillon & Thierry Magnac, 2016. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," Post-Print halshs-01509743, HAL.
- Gobillon, Laurent & Magnac, Thierry, 2013. "Regional Policy Evaluation:Interactive Fixed Effects and Synthetic Controls," IDEI Working Papers 786, Institut d'Économie Industrielle (IDEI), Toulouse.
- Laurent Gobillon & Thierry Magnac, 2016. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," The Review of Economics and Statistics, MIT Press, vol. 98(3), pages 535-551, July.
- Magnac, Thierry & Gobillon, Laurent, 2014. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," CEPR Discussion Papers 10253, C.E.P.R. Discussion Papers.
- Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
- Wei Lan & Ronghua Luo & Chih-Ling Tsai & Hansheng Wang & Yunhong Yang, 2015. "Testing the Diagonality of a Large Covariance Matrix in a Regression Setting," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 76-86, January.
- Laurent Gobillon & François-Charles Wolff, 2017.
"The local effects of an innovation: Evidence from the French fish market,"
Working Papers
halshs-01431160, HAL.
- Gobillon, Laurent & Wolff, François-Charles, 2017. "The local effects of an innovation: Evidence from the French fish market," CEPR Discussion Papers 11757, C.E.P.R. Discussion Papers.
- Gobillon, Laurent & Wolff, François-Charles, 2020. "The local effects of an innovation: Evidence from the French fish market," Ecological Economics, Elsevier, vol. 171(C).
- Laurent Gobillon & François-Charles Wolff, 2020. "The local effects of an innovation: Evidence from the French fish market," Post-Print halshs-02492520, HAL.
- Laurent Gobillon & François-Charles Wolff, 2017. "The local effects of an innovation: Evidence from the French fish market," PSE Working Papers halshs-01431160, HAL.
- Laurent Gobillon & François-Charles Wolff, 2020. "The local effects of an innovation: Evidence from the French fish market," PSE-Ecole d'économie de Paris (Postprint) halshs-02492520, HAL.
- Li, Weiming & Qin, Yingli, 2014. "Hypothesis testing for high-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 108-119.
- Moreira, Humberto & Moreira, Marcelo J., 2019.
"Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 398-433.
- Humberto Moreira & Marcelo Moreira, 2016. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," CeMMAP working papers CWP25/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Moreira, Humberto Ataíde & Moreira, Marcelo J., 2015. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 764, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Muni S. Srivastava & Hirokazu Yanagihara & Tatsuya Kubokawa, 2014. "Tests for Covariance Matrices in High Dimension with Less Sample Size," CIRJE F-Series CIRJE-F-933, CIRJE, Faculty of Economics, University of Tokyo.
- Wang, Cheng, 2014. "Asymptotic power of likelihood ratio tests for high dimensional data," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 184-189.
- Marc Hallin & Marcelo Moreira J. & Alexei Onatski, 2013. "Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model," Working Papers ECARES ECARES 2013-04, ULB -- Universite Libre de Bruxelles.
- Christine Cutting & Davy Paindaveine & Thomas Verdebout, 2015. "Testing Uniformity on High-Dimensional Spheres against Contiguous Rotationally Symmetric Alternatives," Working Papers ECARES ECARES 2015-04, ULB -- Universite Libre de Bruxelles.
- Anders Bredahl Kock & David Preinerstorfer, 2019.
"Power in High‐Dimensional Testing Problems,"
Econometrica, Econometric Society, vol. 87(3), pages 1055-1069, May.
- Anders Bredahl Kock & David Preinerstorfer, 2017. "Power in High-dimensional testing Problems," Working Papers ECARES ECARES 2017-42, ULB -- Universite Libre de Bruxelles.
- Jamshid Namdari & Debashis Paul & Lili Wang, 2021. "High-Dimensional Linear Models: A Random Matrix Perspective," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 645-695, August.
- Laurent Gobillon & François-Charles Wolff, 2015.
"Évaluer l’effet des politiques publiques locales avec les contrôles synthétiques et les modèles à facteurs : Une application au marché du poisson français,"
Working Papers
halshs-01183455, HAL.
- Laurent Gobillon & François-Charles Wolff, 2015. "Évaluer l’effet des politiques publiques locales avec les contrôles synthétiques et les modèles à facteurs : Une application au marché du poisson français," PSE Working Papers halshs-01183455, HAL.
- Alexei Onatski & Marcelo Moreira J. & Marc Hallin, 2012. "Signal Detection in High Dmension: The Multispiked Case," Working Papers ECARES ECARES 2012-036, ULB -- Universite Libre de Bruxelles.
- Davy Paindaveine & Thomas Verdebout, 2013. "Universal Asymptotics for High-Dimensional Sign Tests," Working Papers ECARES ECARES 2013-40, ULB -- Universite Libre de Bruxelles.
- Marc Henry & Alexei Onatski, 2011.
"Set Coverage and Robust Policy,"
CIRANO Working Papers
2011s-61, CIRANO.
- Henry, Marc & Onatski, Alexei, 2012. "Set coverage and robust policy," Economics Letters, Elsevier, vol. 115(2), pages 256-257.
- Marc Henry & Alexei Onatski, 2011. "Set Coverage and Robust Policy," CIRJE F-Series CIRJE-F-821, CIRJE, Faculty of Economics, University of Tokyo.
- Marc Henry & Alexei Onatski, 2021. "Set coverage and robust policy," Papers 2106.09784, arXiv.org.
Cited by:
- Lukáš Lafférs, 2015.
"Bounding average treatment effects using linear programming,"
CeMMAP working papers
70/15, Institute for Fiscal Studies.
- Lukáš Lafférs, 2015. "Bounding average treatment effects using linear programming," CeMMAP working papers CWP70/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Lukáš Lafférs, 2019. "Bounding average treatment effects using linear programming," Empirical Economics, Springer, vol. 57(3), pages 727-767, September.
- Francesca Molinari, 2020.
"Microeconometrics with Partial Identification,"
Papers
2004.11751, arXiv.org.
- Francesca Molinari, 2020. "Microeconometrics with Partial Identi?cation," CeMMAP working papers CWP15/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Magnac, Thierry, 2014.
"Identification partielle: méthodes et conséquences pour les applications empiriques,"
IDEI Working Papers
814, Institut d'Économie Industrielle (IDEI), Toulouse.
- Magnac, Thierry, 2013. "Identification partielle : méthodes et conséquences pour les applications empiriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 89(4), pages 233-258, Décembre.
- Magnac, Thierry, 2014. "Identification partielle: méthodes et conséquences pour les applications empiriques," TSE Working Papers 14-458, Toulouse School of Economics (TSE).
- Marc Henry & Romuald Méango & Maurice Queyranne, 2012. "Combinatorial Bootstrap Inference IN in Prtially Identified Incomplete Structural Models," CIRJE F-Series CIRJE-F-837, CIRJE, Faculty of Economics, University of Tokyo.
- Galichon, Alfred & Henry, Marc, 2013.
"Dilation bootstrap,"
Journal of Econometrics, Elsevier, vol. 177(1), pages 109-115.
- Alfred Galichon & Marc Henry, 2021. "Dilation bootstrap," Papers 2102.04457, arXiv.org.
- Alexei Onatski & Francisco J. Ruge-Murcia, 2010.
"Factor Analysis of a Large DSGE Model,"
Working Paper series
50_10, Rimini Centre for Economic Analysis.
- Alexei Onatski & Francisco Ruge‐Murcia, 2013. "Factor Analysis Of A Large Dsge Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(6), pages 903-928, September.
- ONATSKI, Alexei & RUGE-MURCIA, Francisco J., 2010. "Factor Analysis of a Large DSGE Model," Cahiers de recherche 17-2010, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- ONATSKI, Alexei & RUGE-MURCIA, Francisco J., 2010. "Factor Analysis of a Large DSGE Model," Cahiers de recherche 2010-08, Universite de Montreal, Departement de sciences economiques.
Cited by:
- Ivashchenko, S., 2020. "Long-term growth sources for sectors of Russian economy," Journal of the New Economic Association, New Economic Association, vol. 48(4), pages 86-112.
- Francisco J. Ruge-Murcia & Alexander L. Wolman, 2022. "Relative Price Shocks and Inflation," Working Paper 22-07, Federal Reserve Bank of Richmond.
- Onatski, Alexei & Uhlig, Harald, 2009.
"Unit Roots in White Noise,"
MPRA Paper
14057, University Library of Munich, Germany.
- Onatski, Alexei & Uhlig, Harald, 2012. "Unit Roots In White Noise," Econometric Theory, Cambridge University Press, vol. 28(3), pages 485-508, June.
Cited by:
- James A. Duffy & Jerome R. Simons, 2020. "Cointegration without Unit Roots," Papers 2002.08092, arXiv.org, revised Apr 2023.
- Jurgen A. Doornik & Rocco Mosconi & Paolo Paruolo, 2017. "Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models," Econometrics, MDPI, vol. 5(4), pages 1-30, November.
- Stephan B. Bruns & Zsuzsanna Csereklyei & David I. Stern, 2018.
"A Multicointegration Model of Global Climate Change,"
CCEP Working Papers
1801, Centre for Climate & Energy Policy, Crawford School of Public Policy, The Australian National University.
- Bruns, Stephan B. & Csereklyei, Zsuzsanna & Stern, David I., 2020. "A multicointegration model of global climate change," Journal of Econometrics, Elsevier, vol. 214(1), pages 175-197.
- Bruns, Stephan B. & Csereklyei, Zsuzsanna & Stern, David I., 2018. "A multicointegration model of global climate change," University of Göttingen Working Papers in Economics 336, University of Goettingen, Department of Economics.
- Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005.
"Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models,"
NBER Working Papers
11523, National Bureau of Economic Research, Inc.
- Andrew T. Levin & Alexei Onatski & John Williams & Noah M. Williams, 2006. "Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models," NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 229-312, National Bureau of Economic Research, Inc.
- Noah Williams & Andrew Levin & Alexei Onatski, 2005. "Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models," Computing in Economics and Finance 2005 478, Society for Computational Economics.
- Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary policy under uncertainty in micro-founded macroeconometric models," Working Paper Series 2005-15, Federal Reserve Bank of San Francisco.
Cited by:
- Guerron-Quintana, Pablo A., 2011.
"The implications of inflation in an estimated new Keynesian model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 947-962, June.
- Pablo Guerrón-Quintana, 2010. "The implications of inflation in an estimated New-Keynesian model," Working Papers 10-2, Federal Reserve Bank of Philadelphia.
- Havranek, Tomas & Rusnak, Marek & Sokolova, Anna, 2017.
"Habit formation in consumption: A meta-analysis,"
European Economic Review, Elsevier, vol. 95(C), pages 142-167.
- Tomas Havranek & Marek Rusnak & Anna Sokolova, 2015. "Habit Formation in Consumption: A Meta-Analysis," Working Papers 2015/03, Czech National Bank.
- Tomas Havranek & Marek Rusnak & Anna Sokolova, 2015. "Habit Formation in Consumption: A Meta-Analysis," Working Papers IES 2015/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2015.
- Givens, Gregory E., 2009. "Which price level to target? Strategic delegation in a sticky price and wage economy," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 685-698, December.
- Mr. Paul L Levine & Joseph G Pearlman & Nicoletta Batini, 2009.
"“Monetary and Fiscal Rules in an Emerging Small Open Economy”,"
IMF Working Papers
2009/022, International Monetary Fund.
- Nicoletta Batini & Paul Levine, 2008. "Monetary and Fiscal Rules in an Emerging Small Open Economy," CDMA Conference Paper Series 0810, Centre for Dynamic Macroeconomic Analysis.
- Shigeto Kitano & Kenya Takaku, 2014.
"Monetary Policy, Incomplete Asset Markets, and Welfare in a Small Open Economy,"
Discussion Paper Series
DP2014-39, Research Institute for Economics & Business Administration, Kobe University.
- Shigeto Kitano & Kenya Takaku, 2015. "Monetary policy, incomplete asset markets, and welfare in a small open economy," Economics Bulletin, AccessEcon, vol. 35(1), pages 112-121.
- Svensson, Lars E. O. & Williams, Noah, 2005.
"Monetary policy with model uncertainty: distribution forecast targeting,"
Discussion Paper Series 1: Economic Studies
2005,35, Deutsche Bundesbank.
- Lars Svensson & Noah Williams, 2005. "Monetary Policy with Model Uncertainty: Distribution Forecast Targeting," NBER Working Papers 11733, National Bureau of Economic Research, Inc.
- Svensson, Lars E.O. & Williams, Noah, 2007. "Monetary Policy with Model Uncertainty: Distribution Forecast Targeting," CEPR Discussion Papers 6331, C.E.P.R. Discussion Papers.
- Noah Williams & Lars E.O. Svensson, 2005. "Monetary Policy with Model Uncertainty: Distribution Forecast Targeting," Computing in Economics and Finance 2005 108, Society for Computational Economics.
- Eric Swanson, 2015. "A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt," 2015 Meeting Papers 273, Society for Economic Dynamics.
- Cantelmo, Alessandro & Melina, Giovanni, 2023.
"Sectoral labor mobility and optimal monetary policy,"
Macroeconomic Dynamics, Cambridge University Press, vol. 27(1), pages 1-26, January.
- Alessandro Cantelmo & Giovanni Melina, 2020. "Sectoral Labor Mobility and Optimal Monetary Policy," CESifo Working Paper Series 8638, CESifo.
- Mr. Alessandro Cantelmo & Mr. Giovanni Melina, 2017. "Sectoral Labor Mobility and Optimal Monetary Policy," IMF Working Papers 2017/040, International Monetary Fund.
- Alessandro Cantelmo & Giovanni Melina, 2020. "Sectoral Labor Mobility and Optimal Monetary Policy," Papers 2010.14668, arXiv.org, revised Nov 2020.
- Saijo, Hikaru, 2017. "The uncertainty multiplier and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 1-25.
- Guido Ascari & Andrea Colciago & Lorenza Rossi, 2016.
"Determinacy analysis in high order dynamic systems: The case of nominal rigidities and limited asset market participation,"
Working Papers
334, University of Milano-Bicocca, Department of Economics, revised 13 May 2016.
- Ascari, Guido & Colciago, Andrea & Rossi, Lorenza, 2017. "Determinacy analysis in high order dynamic systems: The case of nominal rigidities and limited asset market participation," Economics Letters, Elsevier, vol. 159(C), pages 82-87.
- Rochelle M. Edge & Thomas Laubach & John C. Williams, 2010.
"Welfare‐maximizing monetary policy under parameter uncertainty,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 129-143, January.
- Rochelle M. Edge & Thomas Laubach & John C. Williams, 2007. "Welfare-maximizing monetary policy under parameter uncertainty," Proceedings, Federal Reserve Bank of San Francisco.
- Rochelle M. Edge & Thomas Laubach & John C. Williams, 2007. "Welfare-maximizing monetary policy under parameter uncertainty," Finance and Economics Discussion Series 2007-56, Board of Governors of the Federal Reserve System (U.S.).
- Thomas Laubach & John C. Williams & Rochelle M. Edge, 2007. "Welfare-Maximizing Monetary Policy under Parameter Uncertainty," 2007 Meeting Papers 311, Society for Economic Dynamics.
- Rochelle M. Edge & Thomas Laubach & John C. Williams, 2010. "Welfare-maximizing monetary policy under parameter uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 129-143.
- Rochelle M. Edge & Thomas Laubach & John C. Williams, 2008. "Welfare-Maximizing Monetary Policy Under Parameter Uncertainty," CAMA Working Papers 2008-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Rochelle M. Edge & Thomas Laubach & John C. Williams, 2007. "Welfare-maximizing monetary policy under parameter uncertainty," Working Paper Series 2007-11, Federal Reserve Bank of San Francisco.
- Huang, Kevin X.D. & Meng, Qinglai & Xue, Jianpo, 2009.
"Is forward-looking inflation targeting destabilizing? The role of policy's response to current output under endogenous investment,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 409-430, February.
- Huang, Kevin X. D. & Meng, Qinglai, 2007. "Is forward-looking inflation targeting destabilizing? The role of policy's response to current output under endogenous investment," Kiel Working Papers 1348, Kiel Institute for the World Economy (IfW Kiel).
- Kevin X.D. Huang & Qinglai Meng, 2007. "Is Forward-Looking Inflation Targeting Destabilizing? The Role of Policy's Response to Current Output under Endogenous Investment," Vanderbilt University Department of Economics Working Papers 0704, Vanderbilt University Department of Economics.
- Givens, Gregory E., 2011.
"Unemployment insurance in a sticky-price model with worker moral hazard,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1192-1214, August.
- Gregory Erin Givens, 2008. "Unemployment Insurance in a Sticky-Price Model with Worker Moral Hazard," Working Papers 200807, Middle Tennessee State University, Department of Economics and Finance.
- Huang, Kevin X.D. & Meng, Qinglai, 2012.
"Increasing returns and unsynchronized wage adjustment in sunspot models of the business cycle,"
Journal of Economic Theory, Elsevier, vol. 147(1), pages 284-309.
- Kevin X.D. Huang & Qinglai Meng, 2010. "Increasing Returns and Unsynchronized Wage Adjustment in Sunspot Models of the Business Cycle," Vanderbilt University Department of Economics Working Papers 1007, Vanderbilt University Department of Economics.
- Mishkin, Frederic S., 2017. "Rethinking monetary policy after the crisis," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 252-274.
- Helge Braun, 2006. "(Un)Employment Dynamics: The Case of Monetary Policy Shocks," 2006 Meeting Papers 87, Society for Economic Dynamics.
- Stephanie Schmitt-Grohe & Martin Uribe, 2008. "Policy implications of the New Keynesian Phillips curve," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Fall), pages 435-465.
- Dennis, Richard, 2010. "When is discretion superior to timeless perspective policymaking?," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 266-277, April.
- Vogel, Lukas, 2008.
"Interacting nominal and real labour market rigidities,"
MPRA Paper
22647, University Library of Munich, Germany, revised May 2010.
- Vogel, Lukas, 2008. "Interacting nominal and real labour market rigidities," MPRA Paper 11798, University Library of Munich, Germany.
- Vogel, Lukas, 2011. "Interacting nominal and real labour market rigidities," Economics Letters, Elsevier, vol. 111(3), pages 264-267, June.
- Iiboshi, Hirokuni & Nishiyama, Shin-Ichi & Watanabe, Toshiaki, 2006. "An Estimated Dynamic Stochastic General Equilibrium Model of the Japanese Economy: A Bayesian Analysis," MPRA Paper 85702, University Library of Munich, Germany.
- Charlotta Groth & Hashmat Khan, 2010.
"Investment Adjustment Costs: An Empirical Assessment,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1469-1494, December.
- Hashmat Khan & Charlotta Groth, 2007. "Investment Adjustment Costs: An Empirical Assessment," Carleton Economic Papers 07-08, Carleton University, Department of Economics, revised Dec 2010.
- Charlotta Groth & Hashmat Khan, 2010. "Investment Adjustment Costs: An Empirical Assessment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1469-1494, December.
- Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi.
- Jalali-Naini, Ahmad Reza & Naderian, Mohammad Amin, 2020. "Financial vulnerability, fiscal procyclicality and inflation targeting in developing commodity exporting economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 84-97.
- Takuji Fueki & Ichiro Fukunaga & Hibiki Ichiue & Toyoichiro Shirota, 2010.
"Measuring Potential Growth with an Estimated DSGE Model of Japan's Economy,"
Bank of Japan Working Paper Series
10-E-13, Bank of Japan.
- Takuji Fueki & Ichiro Fukunaga & Hibiki Ichiue & Toyoichiro Shirota, 2016. "Measuring Potential Growth with an Estimated DSGE Model of Japan’s Economy," International Journal of Central Banking, International Journal of Central Banking, vol. 12(1), pages 1-32, March.
- Plasmans, J.E.J. & Fornero, J. & Michalak, T., 2007.
"A Microfounded Sectoral Model for Open Economies,"
Other publications TiSEM
0fa43989-a96a-4c17-86de-e, Tilburg University, School of Economics and Management.
- Plasmans, J.E.J. & Fornero, J. & Michalak, T., 2007. "A Microfounded Sectoral Model for Open Economies," Discussion Paper 2007-39, Tilburg University, Center for Economic Research.
- PLASMANS, Joseph & FORNERO, Jorge & MICHALAK, Tomasz, 2006. "A microfounded sectoral model for open economies," Working Papers 2007013, University of Antwerp, Faculty of Business and Economics.
- Jorge Fornero & Tomasz Michalak & Joseph Plasmans, 2007. "A Microfounded Sectoral Model for Open Economies," CESifo Working Paper Series 2052, CESifo.
- Welz, Peter, 2006. "Assessing predetermined expectations in the standard sticky-price model: a Bayesian approach," Working Paper Series 621, European Central Bank.
- Paustian, Matthias & Stoltenberg, Christian, 2008.
"Optimal interest rate stabilization in a basic sticky-price model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3166-3191, October.
- Paustian, Matthias & Stoltenberg, Christian, 2006. "Optimal interest rate stabilization in a basic sticky-price model," SFB 649 Discussion Papers 2006-072, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Inoue, Atsushi & Kuo, Chun-Hung & Rossi, Barbara, 2020.
"Identifying the sources of model misspecification,"
Journal of Monetary Economics, Elsevier, vol. 110(C), pages 1-18.
- Atsushi Inoue & Chun-Huong Kuo & Barbara Rossi, 2015. "Identifying the Sources of Model Misspecification," Working Papers 821, Barcelona School of Economics.
- Rossi, Barbara & Inoue, Atsushi & Kuo, Chun-Hung, 2014. "Identifying the Sources of Model Misspecification," CEPR Discussion Papers 10140, C.E.P.R. Discussion Papers.
- Atsushi Inoue & Chun-Hung Kuo & Barbara Rossi, 2015. "Identifying the sources of model misspecification," Economics Working Papers 1479, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2018.
- Marco Del Negro & Frank Schorfheide, 2009.
"Monetary Policy Analysis with Potentially Misspecified Models,"
American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
- Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," Working Papers 06-4, Federal Reserve Bank of Philadelphia.
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," FRB Atlanta Working Paper 2005-26, Federal Reserve Bank of Atlanta.
- Marco Del Negro & Frank Schorfheide, 2007. "Monetary Policy Analysis with Potentially Misspecified Models," NBER Working Papers 13099, National Bureau of Economic Research, Inc.
- Marco Del Negro & Frank Schorfheide, 2008. "Monetary policy analysis with potentially misspecified models," Staff Reports 321, Federal Reserve Bank of New York.
- Medel, Carlos A., 2017.
"Forecasting Chilean Inflation with the Hybrid New Keynesian Phillips Curve: Globalisation, Combination, and Accuracy,"
MPRA Paper
78439, University Library of Munich, Germany.
- Carlos Medel, 2017. "Forecasting Chilean inflation with the hybrid new keynesian Phillips curve: globalisation, combination, and accuracy," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 20(3), pages 004-050, December.
- Carlos Medel, 2016. "Forecasting Chilean Inflation with the Hybrid New Keynesian Phillips Curve: Globalisation, Combination, and Accuracy," Working Papers Central Bank of Chile 791, Central Bank of Chile.
- Miguel Casares & Antonio Moreno & Jesús Vázquez, 2009.
"Wage Stickiness and Unemployment Fluctuations: An Alternative Approach,"
Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra
0902, Departamento de Economía - Universidad Pública de Navarra.
- Miguel Casares & Antonio Moreno & Jesús Vázquez, 2009. "Wage Stickiness and Unemployment Fluctuations: An Alternative Approach," Faculty Working Papers 04/09, School of Economics and Business Administration, University of Navarra.
- Miguel Casares & Antonio Moreno & Jesús Vázquez, 2012. "Wage stickiness and unemployment fluctuations: an alternative approach," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 3(3), pages 395-422, September.
- Yuriy Gorodnichenko & Johannes Wieland & Olivier Coibion, 2012.
"The Optimal Inflation Rate in New Keynesian Models: Should Central Banks Raise Their Inflation Targets in Light of the Zero Lower Bound?,"
2012 Meeting Papers
70, Society for Economic Dynamics.
- Olivier Coibion & Yuriy Gorodnichenko & Johannes Wieland, 2012. "The Optimal Inflation Rate in New Keynesian Models: Should Central Banks Raise Their Inflation Targets in Light of the Zero Lower Bound?," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 79(4), pages 1371-1406.
- Alexander Kriwoluzky & Christian A. Stoltenberg, 2016.
"Nested Models and Model Uncertainty,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 118(2), pages 324-353, April.
- Alexander Kriwoluzky & Christian A. Stoltenberg, 2009. "Nested models and model uncertainty," Economics Working Papers ECO2009/37, European University Institute.
- Glenn D. Rudebusch & Eric T. Swanson, 2008.
"Examining the bond premium puzzle with a DSGE model,"
Working Paper Series
2007-25, Federal Reserve Bank of San Francisco.
- Rudebusch, Glenn D. & Swanson, Eric T., 2008. "Examining the bond premium puzzle with a DSGE model," Journal of Monetary Economics, Elsevier, vol. 55(Supplemen), pages 111-126, October.
- Stephane Auray & Paul Gomme & Shen Guo, 2011.
"Nominal Rigidities, Monetary Policy and Pigou Cycles,"
Working Papers
11007, Concordia University, Department of Economics, revised Nov 2011.
- Stephane Auray & Paul Gomme & Shen Guo, 2009. "Nominal Rigidities, Monetary Policy and Pigou Cycles," Working Papers 09005, Concordia University, Department of Economics, revised 06 Apr 2010.
- Stephane Auray & Paul Gomme & Shen Guo, 2012. "Nominal Rigidities, Monetary Policy and Pigou Cycles," Working Papers 12006, Concordia University, Department of Economics.
- Stéphane Auray & Paul Gomme & Shen Guo, 2013. "Nominal Rigidities, Monetary Policy and Pigou Cycles," Economic Journal, Royal Economic Society, vol. 0, pages 455-473, May.
- Stéphane Auray & Paul Gomme & Shen Guo, 2009. "Nominal Rigidities, Monetary Policy and Pigou Cycles," Cahiers de recherche 09-18, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
- Giorgio Primiceri & Andrea Tambalotti & Alejandro Justiniano, 2011.
"Is there a trade-off between inflation and output stabilization?,"
2011 Meeting Papers
280, Society for Economic Dynamics.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2011. "Is there a trade-off between inflation and output stabilization?," NBER Working Papers 17071, National Bureau of Economic Research, Inc.
- Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2011. "Is there a trade-off between inflation and output stabilization?," CEPR Discussion Papers 8407, C.E.P.R. Discussion Papers.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2013. "Is There a Trade-Off between Inflation and Output Stabilization?," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(2), pages 1-31, April.
- Masashige Hamano & Munechika Katayama, 2021. "Epidemics and Macroeconomic Dynamics," Working Papers e162, Tokyo Center for Economic Research.
- Germano Ruisi, 2020. "An Assessment of the Macroeconomic Implications of Foreign and Domestic Labour Supply Shocks in Malta," CBM Working Papers WP/06/2020, Central Bank of Malta.
- Klaus Schmidt-Hebbel & Carl E. Walsh, 2009.
"Monetary Policy under Uncertainty and Learning: An Overview,"
Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 1, pages 001-025,
Central Bank of Chile.
- Klaus Schmidt-Hebbel & Carl E. Walsh, 2008. "Monetary Policy Under Uncertainty and Learning: An Overview," Working Papers Central Bank of Chile 509, Central Bank of Chile.
- Klaus Schmidt-Hebbel D. & Carl E. Walsh., 2008. "Monetary Policy Under Uncertainty and Learning: An Overview," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(3), pages 5-19, December.
- Justiniano, Alejandro & Primiceri, Giorgio E. & Tambalotti, Andrea, 2010.
"Investment shocks and business cycles,"
Journal of Monetary Economics, Elsevier, vol. 57(2), pages 132-145, March.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2008. "Investment shocks and business cycles," Working Paper Series WP-08-12, Federal Reserve Bank of Chicago.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2009. "Investment Shocks and Business Cycles," NBER Working Papers 15570, National Bureau of Economic Research, Inc.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2008. "Investment shocks and business cycles," Staff Reports 322, Federal Reserve Bank of New York.
- Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2008. "Investment Shocks and Business Cycles," CEPR Discussion Papers 6739, C.E.P.R. Discussion Papers.
- Philip Arestis & Alexander Mihailov, 2008.
"Classifying Monetary Economics: Fields and Methods from Past to Future,"
Economics Discussion Papers
em-dp2008-64, Department of Economics, University of Reading.
- Philip Arestis & Alexander Mihailov, 2011. "Classifying Monetary Economics: Fields And Methods From Past To Future," Journal of Economic Surveys, Wiley Blackwell, vol. 25(4), pages 769-800, September.
- Alejandro Justiniano & Bruce Preston, 2006.
"Can Structural Small Open Economy Models Account For The Influence Of Foreign Disturbances?,"
CAMA Working Papers
2006-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Alejandro Justiniano & Bruce Preston, 2009. "Can structural small open economy models account for the influence of foreign disturbances?," Working Paper Series WP-09-19, Federal Reserve Bank of Chicago.
- Justiniano, Alejandro & Preston, Bruce, 2010. "Can structural small open-economy models account for the influence of foreign disturbances?," Journal of International Economics, Elsevier, vol. 81(1), pages 61-74, May.
- Alejandro Justiniano & Bruce Preston, 2006. "Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances?," 2006 Meeting Papers 479, Society for Economic Dynamics.
- Alejandro Justiniano & Bruce Preston, 2008. "Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances?," NBER Working Papers 14547, National Bureau of Economic Research, Inc.
- David de la Croix & Gregory de Walque & Rafael Wouters, 2006.
"Dynamics and monetary policy in a fair wage model of the business cycle,"
Working Paper Research
98, National Bank of Belgium.
- DE LA CROIX, David & DE WALQUE, Gregory & WOUTERS, Rafael, 2006. "Dynamics and monetary policy in a fair wage model of the business cycle," LIDAM Discussion Papers CORE 2006106, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- David, DE LA CROIX & Gregory, DE WALQUE & Rafael, WOUTERS, 2006. "Dynamics and monetary policy in a fair wage model of the business cycle," Discussion Papers (ECON - Département des Sciences Economiques) 2006061, Université catholique de Louvain, Département des Sciences Economiques.
- Wouters, Raf & de Walque, Gregory & de la Croix, David, 2007. "Dynamics and monetary policy in a fair wage model of the business cycle," Working Paper Series 780, European Central Bank.
- de la Croix, David & de Walque, Gregory & Wouters, Rafael, 2009. "A Note On Inflation Persistence In A Fair Wage Model Of The Business Cycle," Macroeconomic Dynamics, Cambridge University Press, vol. 13(5), pages 673-684, November.
- Munechika Katayama, 2013.
"Declining Effects of Oil Price Shocks,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(6), pages 977-1016, September.
- Munechika Katayama, 2013. "Declining Effects of Oil Price Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(6), pages 977-1016, September.
- Munechika Katayama, 2009. "Declining Effects of Oil-Price Shocks," Departmental Working Papers 2009-02, Department of Economics, Louisiana State University.
- Levine, Paul & McAdam, Peter & Pearlman, Joseph, 2012. "Probability models and robust policy rules," European Economic Review, Elsevier, vol. 56(2), pages 246-262.
- Lawrence Christiano & Roberto Motto & Massimo Rostagno, 2007. "Two Reasons Why Money and Credit May be Useful in Monetary Policy," NBER Working Papers 13502, National Bureau of Economic Research, Inc.
- John B. Taylor & John C. Williams, 2010.
"Simple and Robust Rules for Monetary Policy,"
NBER Working Papers
15908, National Bureau of Economic Research, Inc.
- Taylor, John B. & Williams, John C., 2010. "Simple and Robust Rules for Monetary Policy," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 15, pages 829-859, Elsevier.
- John B. Taylor & John C. Williams, 2010. "Simple and robust rules for monetary policy," Working Paper Series 2010-10, Federal Reserve Bank of San Francisco.
- Davide Debortoli & Jinill Kim & Jesper Linde & Ricardo Nunes, 2016.
"Designing a Simple Loss Function for the Fed: Does the Dual Mandate Make Sense?,"
Discussion Paper Series
1601, Institute of Economic Research, Korea University.
- Ricardo Nunes & Jinill Kim & Jesper Linde & Davide Debortoli, 2014. "Designing a Simple Loss Function for the Fed: Does the Dual Mandate Make Sense?," 2014 Meeting Papers 1043, Society for Economic Dynamics.
- Davide Debortoli & Jinill Kim & Jesper Lindé & Ricardo Nunes, 2015. "Designing a simple loss function for the Fed: does the dual mandate make sense?," Working Papers 15-3, Federal Reserve Bank of Boston.
- Linde, Jesper & Kim, Jinill & Nunes, Ricardo & Debortoli, Davide, 2015. "Designing a Simple Loss Function for the Fed: Does the Dual Mandate Make Sense?," CEPR Discussion Papers 10409, C.E.P.R. Discussion Papers.
- EO, Yunjong & LIE, Denny, 2017.
"The Role of Inflation Target Adjustment in Stabilization Policy,"
Discussion paper series
HIAS-E-58, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Eo, Yunjong & Lie, Denny, 2017. "The Role of Inflation Target Adjustment in Stabilization Policy," Working Papers 2017-06, University of Sydney, School of Economics, revised Jun 2019.
- Yunjong Eo & Denny Lie, 2020. "The Role of Inflation Target Adjustment in Stabilization Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(8), pages 2007-2052, December.
- Yunjong Eo & Denny Lie, 2017. "The role of inflation target adjustment in stabilization policy," CAMA Working Papers 2017-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stephanie Schmitt-Grohe & Martin Uribe, 2010.
"The Optimal Rate of Inflation,"
NBER Working Papers
16054, National Bureau of Economic Research, Inc.
- Uribe, MartÃn & Schmitt-Grohé, Stephanie, 2010. "The Optimal Rate of Inflation," CEPR Discussion Papers 7864, C.E.P.R. Discussion Papers.
- Schmitt-Grohé, Stephanie & Uribe, Martín, 2010. "The Optimal Rate of Inflation," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 13, pages 653-722, Elsevier.
- IWATA Yasuharu, 2009. "Fiscal Policy in an Estimated DSGE Model of the Japanese Economy: Do Non-Ricardian Households Explain All?," ESRI Discussion paper series 216, Economic and Social Research Institute (ESRI).
- Lombardi, Marco J. & Sgherri, Silvia, 2007. "(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate," Working Paper Series 794, European Central Bank.
- Ricardo Reis, 2009.
"A Sticky-Information General-Equilibrium Model for Policy Analysis,"
NBER Working Papers
14732, National Bureau of Economic Research, Inc.
- Ricardo Reis, 2009. "A Sticky-information General Equilibrium Model por Policy Analysis," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 8, pages 227-283, Central Bank of Chile.
- Ricardo Reis, 2008. "A Sticky-Information General Equilibrium Model for Policy Analysis," Working Papers Central Bank of Chile 495, Central Bank of Chile.
- Grzegorz Wesołowski, 2021. "Monetary Policy and House Price Volatility," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(4), pages 359-379, December.
- Shu-Chun S. Yang & Nora Traum, 2011.
"When Does Government Debt Crowd Out Investment?,"
2011 Meeting Papers
479, Society for Economic Dynamics.
- Nora Traum & Shu‐Chun S. Yang, 2015. "When Does Government Debt Crowd Out Investment?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 24-45, January.
- Nora Traum & Shu-Chun Yang, 2010. "When Does Government Debt Crowd Out Investment?," CAEPR Working Papers 2010-006, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- YANO Koiti, 2009. "Dynamic Stochastic General Equilibrium Models Under a Liquidity Trap and Self-organizing State Space Modeling," ESRI Discussion paper series 206, Economic and Social Research Institute (ESRI).
- R. Anton Braun & Tomoyuki Nakajima, 2012.
"Uninsured Countercyclical Risk: An Aggregation Result And Application To Optimal Monetary Policy,"
Journal of the European Economic Association, European Economic Association, vol. 10(6), pages 1450-1474, December.
- R. Anton Braun & Tomoyuki Nakajima, 2011. "Uninsured countercyclical risk: an aggregation result and application to optimal monetary policy," FRB Atlanta Working Paper 2011-04, Federal Reserve Bank of Atlanta.
- Richard Anton Braun & Tomoyuki Nakajima, 2009. "Uninsured countercyclical risk: an aggregation result and application to optimal monetary policy," CARF F-Series CARF-F-182, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2010.
- David Amirault & Paul Fenton & Thérèse Laflèche, 2013. "Asking About Wages: Results from the Bank of Canada’s Wage Setting Survey of Canadian Companies," Discussion Papers 13-1, Bank of Canada.
- Sugo, Tomohiro & Ueda, Kozo, 2008. "Estimating a dynamic stochastic general equilibrium model for Japan," Journal of the Japanese and International Economies, Elsevier, vol. 22(4), pages 476-502, December.
- Uhlig, Harald, 2007.
"Monetary policy in Europe vs the US: what explains the difference?,"
MPRA Paper
14119, University Library of Munich, Germany.
- Harald Uhlig, 2009. "Monetary policy in Europe vs the US: what explains the difference?," NBER Working Papers 14996, National Bureau of Economic Research, Inc.
- Stephanie Schmitt-Grohe & Martin Uribe, 2007.
"Optimal simple and implementable monetary and fiscal rules,"
FRB Atlanta Working Paper
2007-24, Federal Reserve Bank of Atlanta.
- Schmitt-Grohe, Stephanie & Uribe, Martin, 2007. "Optimal simple and implementable monetary and fiscal rules," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1702-1725, September.
- Stephanie Schmitt-Grohe & Martin Uribe, 2004. "Optimal Simple and Implementable Monetary and Fiscal Rules," NBER Working Papers 10253, National Bureau of Economic Research, Inc.
- Uribe, MartÃn & Schmitt-Grohé, Stephanie, 2004. "Optimal Simple and Implementable Monetary and Fiscal Rules," CEPR Discussion Papers 4334, C.E.P.R. Discussion Papers.
- John Tsoukala & Hashmat Khan, 2010.
"Investment Shocks and the Comovement Problem,"
Discussion Papers
10/09, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Khan, Hashmat & Tsoukalas, John, 2011. "Investment shocks and the comovement problem," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 115-130, January.
- Hashmat Khan & John Tsoukalas, 2009. "Investment Shocks and the Comovement Problem," Carleton Economic Papers 09-09, Carleton University, Department of Economics, revised 09 Aug 2010.
- Hashmat Khan & John Tsoukalas, 2010. "Investment shocks and the comovement problem," Post-Print hal-00753046, HAL.
- Andrea Gerali & Alberto Locarno & Alessandro Notarpietro & Massimiliano Pisani, 2015. "Every cloud has a silver lining. The sovereign crisis and Italian potential output," Temi di discussione (Economic working papers) 1010, Bank of Italy, Economic Research and International Relations Area.
- Arnoud Stevens, 2015. "Optimal monetary policy response to endogenous oil price fluctuations," Working Paper Research 277, National Bank of Belgium.
- Willem H. Buiter, 2008.
"Central banks and financial crises,"
Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 495-633.
- . . & Willem Buiter, 2008. "Central banks and financial crises," FMG Discussion Papers dp619, Financial Markets Group.
- Buiter, Willem H., 2008. "Central banks and financial crises," LSE Research Online Documents on Economics 24438, London School of Economics and Political Science, LSE Library.
- Martin Melecky & Diego Rodríguez Palenzuela & Ulf Söderström, 2008.
"Inflation Target Transparency and the Macroeconomy,"
Working Papers Central Bank of Chile
490, Central Bank of Chile.
- Melecky, Martin & Rodrıguez Palenzuela, Diego & Soderstrom, Ulf, 2008. "Inflation Target Transparency and the Macroeconomy," MPRA Paper 10545, University Library of Munich, Germany.
- Martin Melecký & Diego Rodríguez Palenzuela & Ulf Söderström, 2009. "Inflation Target Transparency and the Macroeconomy," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 10, pages 371-411, Central Bank of Chile.
- Gabriel Bruneau & Ian Christensen & Césaire Meh, 2016. "Housing Market Dynamics and Macroprudential Policy," Staff Working Papers 16-31, Bank of Canada.
- Givens, Gregory, 2015.
"On the Gains from Monetary Policy Commitment under Deep Habits,"
MPRA Paper
67996, University Library of Munich, Germany.
- Givens, Gregory E., 2016. "On the gains from monetary policy commitment under deep habits," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 19-36.
- Wieland, Volker & Taylor, John B., 2010.
"Surprising comparative properties of monetary models: Results from a new model database,"
Working Paper Series
1261, European Central Bank.
- Taylor, John B. & Wieland, Volker, 2012. "Surprising comparative properties of monetary models: Results from a new model database," IMFS Working Paper Series 66, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- John B. Taylor & Volker Wieland, 2012. "Surprising Comparative Properties of Monetary Models: Results from a New Model Database," The Review of Economics and Statistics, MIT Press, vol. 94(3), pages 800-816, August.
- Gavin, William T. & Keen, Benjamin D. & Pakko, Michael R., 2009.
"Inflation Risk And Optimal Monetary Policy,"
Macroeconomic Dynamics, Cambridge University Press, vol. 13(S1), pages 58-75, May.
- William T. Gavin & Benjamin D. Keen & Michael R. Pakko, 2007. "Inflation risk and optimal monetary policy," Working Papers 2006-035, Federal Reserve Bank of St. Louis.
- Avouyi-Dovi, Sanvi & Sahuc, Jean-Guillaume, 2011.
"On the welfare costs of misspecified monetary policy objectives,"
Journal of Macroeconomics, Elsevier, vol. 33(2), pages 151-161, June.
- Sanvi Avouyi-Dovi & Jean-Guillaume Sahuc, 2011. "On the Welfare Costs of Misspecified Monetary Policy Objectives," Post-Print hal-01612707, HAL.
- Avouyi-Dovi, S. & Sahuc, J-G., 2011. "On the Welfare Costs of Misspecified Monetary Policy Objectives," Working papers 320, Banque de France.
- Sergio A. Lago Alves, 2012. "Trend Inflation and the Unemployment Volatility Puzzle," Working Papers Series 277, Central Bank of Brazil, Research Department.
- von Hagen, Jurgen & Paustian, Matthias, 2008.
"The Role of Contracting Schemes for Assessing the Welfare Costs of Nominal Rigidities,"
CEPR Discussion Papers
6726, C.E.P.R. Discussion Papers.
- Juergen von Hagen, 2008. "The Role of Contracting Schemes for Assessing the Welfare Costs of Nominal Rigidities," 2008 Meeting Papers 827, Society for Economic Dynamics.
- Pfister, C., 2007. "Labour market flexibility: what does Banque de France research tell us?," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 10, pages 79-93, Winter.
- Paustian, Matthias & von Hagen, Jürgen, 2012. "How relevant are nominal contracting schemes for monetary policy?," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 723-740.
- Fabrice Collard & Harris Dellas & Behzad Diba & Olivier Loisel, 2012.
"Optimal Monetary and Prudential Policies,"
Working Papers
2012-34, Center for Research in Economics and Statistics.
- Collard, F. & Dellas, H. & Diba, B. & Loisel, O., 2012. "Optimal Monetary and Prudential Policies," Working papers 413, Banque de France.
- Fabrice Collard & Harris Dellas & Behzad Diba & Olivier Loisel, 2017. "Optimal Monetary and Prudential Policies," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 40-87, January.
- Giorgio Primiceri & Alejandro Justiniano, 2006.
"The Time Varying Volatility of Macroeconomic Fluctuations,"
2006 Meeting Papers
353, Society for Economic Dynamics.
- Alejandro Justiniano & Giorgio E. Primiceri, 2006. "The Time Varying Volatility of Macroeconomic Fluctuations," NBER Working Papers 12022, National Bureau of Economic Research, Inc.
- Alejandro Justiniano & Northwestern University, 2006. "The Time Varying Volatility of Macroeconomic Fluctuations," Computing in Economics and Finance 2006 219, Society for Computational Economics.
- Alejandro Justiniano & Giorgio E. Primiceri, 2008. "The Time-Varying Volatility of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 98(3), pages 604-641, June.
- Stéphane Auray & Aurélien Eyquem, 2014.
"Welfare Reversals in a Monetary Union,"
Post-Print
halshs-00957984, HAL.
- Stéphane Auray & Aurélien Eyquem, 2012. "Welfare Reversal in Monetary Union," Working Papers 2012-33, Center for Research in Economics and Statistics.
- St?phane Auray & Aur?lien Eyquem, 2014. "Welfare Reversals in a Monetary Union," American Economic Journal: Macroeconomics, American Economic Association, vol. 6(4), pages 246-290, October.
- Stéphane Auray & Aurélien Eyquem, 2013. "Welfare Reversals in a Monetary Union," Working Papers 1342, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
- Stéphane Auray & Aurélien Eyquem, 2014. "Welfare Reversals in a Monetary Union," Working Papers halshs-00925589, HAL.
- P. Andrade & J. Galí & H. Le Bihan & J. Matheron, 2018.
"The Optimal Inflation Target and the Natural Rate of Interest,"
Working papers
670, Banque de France.
- Philippe Andrade & Jordi Galí & Hervé Le Bihan & Julien Matheron, 2017. "The optimal inflation target and the natural rate of interest," Economics Working Papers 1591, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2019.
- Philippe Andrade & Jordi Gali & Herve Le Bihan & Julien Matheron, 2019. "The Optimal Inflation Target and the Natural Rate of Interest," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 50(2 (Fall)), pages 173-255.
- Philippe Andrade & Jordi Galí & Hervé Le Bihan & Julien Matheron, 2017. "The Optimal Inflation Target and the Natural Rate of Interest," Working Papers 1009, Barcelona School of Economics.
- Philippe Andrade & Jordi Galí & Hervé Le Bihan & Julien Matheron, 2018. "The Optimal Inflation Target and the Natural Rate of Interest," NBER Working Papers 24328, National Bureau of Economic Research, Inc.
- Philippe Andrade & Jordi Gali & Hervé Le Bihan & Julien Matheron, 2019. "The Optimal Inflation Target and the Natural Rate of Interest," Working Papers 19-18, Federal Reserve Bank of Boston.
- GalÃ, Jordi & Andrade, Philippe & Le Bihan, Hervé & Matheron, Julien, 2018. "The Optimal Inflation Target and the Natural Rate of Interest," CEPR Discussion Papers 12723, C.E.P.R. Discussion Papers.
- Christian Keuschnigg & Julian Johs & Jacob Stevens, 2021.
"Consolidating the Covid Debt,"
CESifo Working Paper Series
9497, CESifo.
- Keuschnigg, Christian & Johs, Julian & Stevens, Jacob, 2021. "Consolidating the Covid Debt," Economics Working Paper Series 2112, University of St. Gallen, School of Economics and Political Science.
- Keuschnigg, Christian & Johs, Julian & Stevens, Jacob, 2021. "Consolidating the Covid Debt," CEPR Discussion Papers 16846, C.E.P.R. Discussion Papers.
- Sanjay K. Chugh, 2006.
"Optimal Fiscal and Monetary Policy with Sticky Wages and Sticky Prices,"
Computing in Economics and Finance 2006
228, Society for Computational Economics.
- Sanjay K. Chugh, 2005. "Optimal fiscal and monetary policy with sticky wages and sticky prices," International Finance Discussion Papers 834, Board of Governors of the Federal Reserve System (U.S.).
- Sanjay K. Chugh, 2006. "Optimal Fiscal and Monetary Policy with Sticky Wages and Sticky Prices," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(4), pages 683-714, October.
- Dennis, Richard & Leitemo, Kai & Söderström, Ulf, 2009.
"Methods for robust control,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1604-1616, August.
- Richard Dennis & Kai Leitemo & Ulf Soderstrom, 2006. "Methods for Robust Control," 2006 Meeting Papers 493, Society for Economic Dynamics.
- Richard Dennis & Kai Leitemo & Ulf Soderstrom, 2006. "Methods for Robust Control," Working Papers 307, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Richard Dennis & Kai Leitemo & Ulf Soderstrom, 2006. "Methods for robust control," Working Paper Series 2006-10, Federal Reserve Bank of San Francisco.
- Söderström, Ulf & Leitemo, Kai & ,, 2006. "Methods for Robust Control," CEPR Discussion Papers 5638, C.E.P.R. Discussion Papers.
- Richard Dennis & Federico Ravenna, 2007.
"Learning and optimal monetary policy,"
Working Paper Series
2007-19, Federal Reserve Bank of San Francisco.
- Dennis, Richard & Ravenna, Federico, 2008. "Learning and optimal monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 32(6), pages 1964-1994, June.
- Dellas, H. & Diba, B. & Loisel, O., 2010. "Financial Shocks and Optimal Policy," Working papers 277, Banque de France.
- Levin, Andrew T. & Moessner, Richhild, 2005. "Inflation persistence and monetary policy design: an overview," Working Paper Series 539, European Central Bank.
- Leonardo Auernheimer & Danilo Trupkin, 2014.
"The Role of Inventories and Capacity Utilization as Shock Absorbers,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(1), pages 70-85, January.
- Leonardo Auernheimer & Danilo Trupkin, 2013. "Online Appendix to "The role of inventories and capacity utilization as shock absorbers"," Online Appendices 12-159, Review of Economic Dynamics.
- Leonardo Auernheimer & Danilo Trupkin, 2013. "Code and data files for "The Role of Inventories and Capacity Utilization as Shock Absorbers"," Computer Codes 12-159, Review of Economic Dynamics.
- Yasuo Hirose & Takushi Kurozumi, 2010.
"Do Investment-Specific Technological Changes Matter for Business Fluctuations? Evidence from Japan,"
Bank of Japan Working Paper Series
10-E-4, Bank of Japan.
- Yasuo Hirose & Takushi Kurozumi, 2012. "Do Investment-Specific Technological Changes Matter For Business Fluctuations? Evidence From Japan," Pacific Economic Review, Wiley Blackwell, vol. 17(2), pages 208-230, May.
- Hirose, Yasuo & Kurozumi, Takushi, 2011. "Do investment-specific technological changes matter for business fluctuations? Evidence from Japan," MPRA Paper 32944, University Library of Munich, Germany.
- Görtz, Christoph & Tsoukalas, John, 2011.
"News and financial intermediation in aggregate and sectoral fluctuations,"
MPRA Paper
38986, University Library of Munich, Germany, revised Mar 2012.
- Görtz, Christoph & Tsoukalas, John, 2011. "News and financial intermediation in aggregate and sectoral fluctuations," MPRA Paper 40442, University Library of Munich, Germany, revised Jul 2012.
- Görtz, Christoph & Tsoukalas, John D., 2012. "News and Financial Intermediation in Aggregate and Sectoral Fluctuations," Dynare Working Papers 12, CEPREMAP.
- Christoph Gortz & John D Tsoukalas, 2012. "News and Financial Intermediation in Aggregate and Sectoral Fluctuations," Discussion Papers 12-10, Department of Economics, University of Birmingham.
- Sohei Kaihatsu & Takushi Kurozumi, 2010.
"Sources of Business Fluctuations: Financial or Technology Shocks?,"
Bank of Japan Working Paper Series
10-E-12, Bank of Japan.
- Sohei Kaihatsu & Takushi Kurozumi, 2014. "Sources of Business Fluctuations: Financial or Technology Shocks?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(2), pages 224-242, April.
- Maria Demertzis & Alexander F. Tieman, 2007. "Dealing With Uncertainty: Robust Rules In Monetary Policy," Scottish Journal of Political Economy, Scottish Economic Society, vol. 54(2), pages 295-307, May.
- Andrew T. Levin & J. David López-Salido & Edward Nelson & Tack Yun, 2008.
"Macroeconometric equivalence, microeconomic dissonance, and the design of monetary policy,"
Working Papers
2008-035, Federal Reserve Bank of St. Louis.
- Levin, Andrew T. & David López-Salido, J. & Nelson, Edward & Yun, Tack, 2008. "Macroeconometric equivalence, microeconomic dissonance, and the design of monetary policy," Journal of Monetary Economics, Elsevier, vol. 55(Supplemen), pages 48-62, October.
- Antonella Trigari, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 304, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Fernández-Villaverde, J. & Rubio-RamÃrez, J.F. & Schorfheide, F., 2016.
"Solution and Estimation Methods for DSGE Models,"
Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724,
Elsevier.
- Jesús Fernández-Villaverde & Juan F. Rubio Ramírez & Frank Schorfheide, 2016. "Solution and Estimation Methods for DSGE Models," NBER Working Papers 21862, National Bureau of Economic Research, Inc.
- Rubio-RamÃrez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
- Jesus Fernandez-Villaverde & Juan Rubio-RamÃrez & Frank Schorfheide, 2015. "Solution and Estimation Methods for DSGE Models," PIER Working Paper Archive 15-042, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2015.
- Teo, Wing Leong, 2011. "Inventories and optimal monetary policy in a small open economy," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1719-1748.
- Andrea Colciago, 2011.
"Rule-of-Thumb Consumers Meet Sticky Wages,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43, pages 325-353, March.
- Colciago, Andrea, 2005. "Rule of Thumb Consumers Meet Sticky Wages," MPRA Paper 3275, University Library of Munich, Germany, revised 27 Apr 2007.
- Andrea Colciago, 2011. "Rule‐of‐Thumb Consumers Meet Sticky Wages," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(2‐3), pages 325-353, March.
- Davide Debortoli & Jinill Kim & Jesper Lindé & Ricardo Nunes, 2019.
"Designing a Simple Loss Function for Central Banks: Does a Dual Mandate Make Sense?,"
The Economic Journal, Royal Economic Society, vol. 129(621), pages 2010-2038.
- Davide Debortoli & Jinill Kim & Jesper Lindé & Ricardo Nunes, 2017. "Designing a Simple Loss Function for Central Banks: Does a Dual Mandate Make Sense?," Working Papers 958, Barcelona School of Economics.
- Davide Debortoli & Jinill Kim & Jesper Lindé & Ricardo Nunes, 2017. "Designing a simple loss function for central banks: Does a dual mandate make sense?," Economics Working Papers 1560, Department of Economics and Business, Universitat Pompeu Fabra.
- Debortoli, Davide & Kim, Jinill & Lindé, Jesper & Nunes, Ricardo, 2018. "Designing a Simple Loss Function for Central Banks: Does a Dual Mandate Make Sense?," Working Paper Series 366, Sveriges Riksbank (Central Bank of Sweden), revised 01 Mar 2019.
- Davide Debortoli & Mr. Jinill Kim & Jesper Lindé & Mr. Ricardo C Nunes, 2017. "Designing a Simple Loss Function for Central Banks: Does a Dual Mandate Make Sense?," IMF Working Papers 2017/164, International Monetary Fund.
- Verona, Fabio & Martins, Manuel M. F. & Drumond, Inês, 2013.
"(Un)anticipated monetary policy in a DSGE model with a shadow banking system,"
Bank of Finland Research Discussion Papers
4/2013, Bank of Finland.
- F. Verona & M. M. F. Martins & I. Drumond, 2013. "(Un)anticipated Monetary Policy in a DSGE Model with a Shadow Banking System," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 78-124, September.
- Verona, Fabio & Martins, Manuel M. F. & Drumond, Inês, 2012. "(Un)anticipated monetary policy in a DSGE model with a shadow banking system," IMFS Working Paper Series 56, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Rita Duarte, 2009.
"The dynamic effects of shocks to wages and prices in the United States and the Euro Area,"
Working Papers
w200915, Banco de Portugal, Economics and Research Department.
- Marques, Carlos Robalo & Duarte, Rita, 2009. "The dynamic effects of shocks to wages and prices in the United States and the euro area," Working Paper Series 1067, European Central Bank.
- Rita Duarte & Carlos Marques, 2013. "The dynamic effects of shocks to wages and prices in the United States and the Euro Area," Empirical Economics, Springer, vol. 44(2), pages 613-638, April.
- Thore Kockerols & Erling Motzfeldt Kravik & Yasin Mimir, 2021.
"Leaning against persistent financial cycles with occasional crises,"
Working Paper
2021/11, Norges Bank.
- Yasin Mimir, 2023. "Leaning against persistent financial cycles with occasional crises," Working Papers 56, European Stability Mechanism.
- Juan Pablo Medina & Claudio Soto, 2005. "Oil Shocks and Monetary Policy in an Estimated DSGE Model for a Small Open Economy," Working Papers Central Bank of Chile 353, Central Bank of Chile.
- Christiano, Lawrence & Motto, Roberto & Rostagno, Massimo, 2010.
"Financial factors in economic fluctuations,"
Working Paper Series
1192, European Central Bank.
- Roberto Motto & Massimo Rostagno & Lawrence J. Christiano, 2010. "Financial Factors in Economic Fluctuations," 2010 Meeting Papers 141, Society for Economic Dynamics.
- J. Scott Davis & Kevin X. D. Huang, 2011. "Optimal monetary policy under financial sector risk," Globalization Institute Working Papers 85, Federal Reserve Bank of Dallas.
- Shigeto Kitano & Kenya Takaku, 2018.
"Capital Controls, Monetary Policy, And Balance Sheets In A Small Open Economy,"
Economic Inquiry, Western Economic Association International, vol. 56(2), pages 859-874, April.
- Shigeto Kitano & Kenya Takaku, 2015. "Capital Controls, Monetary Policy, and Balance Sheets in a Small Open Economy," Discussion Paper Series DP2015-10, Research Institute for Economics & Business Administration, Kobe University, revised Oct 2017.
- Mayumi Ojima & Junnosuke Shino & Kozo Ueda, 2014.
"Buyer-Size Discounts and Inflation Dynamics,"
Working Papers
e071, Tokyo Center for Economic Research.
- Mayumi Ojima & Junnosuke Shino & Kozo Ueda, 2014. "Buyer-Size Discounts and Inflation Dynamics," CAMA Working Papers 2014-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Mayumi Ojima & Junnosuke Shino & Kozo Ueda, 2014. "Buyer-Size Discounts and Inflation Dynamics," UTokyo Price Project Working Paper Series 017, University of Tokyo, Graduate School of Economics.
- Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2020.
"Online Appendix to "Output Gap, Monetary Policy Trade-offs, and Financial Frictions","
Online Appendices
20-29, Review of Economic Dynamics.
- Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2021. "Output Gap, Monetary Policy Trade-offs, and Financial Frictions," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 52-70, July.
- IIBOSHI Hirokuni, 2012. "Measuring the Effects of Monetary Policy: A DSGE-DFM Approach," ESRI Discussion paper series 292, Economic and Social Research Institute (ESRI).
- Stanley Fischer, 2008. "General discussion : the role of liquidity in financial crises," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 423-430.
- Malin Adolfson & Stefan Laseen & Jesper Lindé & Lars E. O. Svensson, 2011.
"Optimal monetary policy in an operational medium-sized DSGE model,"
International Finance Discussion Papers
1023, Board of Governors of the Federal Reserve System (U.S.).
- Svensson, Lars E.O. & Linde, Jesper & Adolfson, Malin & LASEEN, PER, 2008. "Optimal Monetary Policy in an Operational Medium-Sized DSGE Model," CEPR Discussion Papers 6907, C.E.P.R. Discussion Papers.
- Malin Adolfson & Stefan Laséen & Jesper Lindé & Lars E.O. Svensson, 2008. "Optimal Monetary Policy in an Operational Medium-Sized DSGE Model," NBER Working Papers 14092, National Bureau of Economic Research, Inc.
- Adolfson, Malin & Laseén, Stefan & Lindé, Jesper & Svensson, Lars E.O., 2008. "Optimal Monetary Policy in an Operational Medium-Sized DSGE Model," Working Paper Series 225, Sveriges Riksbank (Central Bank of Sweden).
- Malin Adolfson & Stefan Laséen & Jesper Lindé & Lars E.O. Svensson, 2011. "Optimal Monetary Policy in an Operational Medium‐Sized DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(7), pages 1287-1331, October.
- Malin Adolfson & Stefan Las√Âen & Jesper Lind√ & Lars E.O. Svensson, 2011. "Optimal Monetary Policy in an Operational Medium-Sized DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(7), pages 1287-1331, October.
- Schmitt-Grohé, Stephanie & Uribe, Martín, 2006.
"Optimal fiscal and monetary policy in a medium-scale macroeconomic model,"
Working Paper Series
612, European Central Bank.
- Stephanie Schmitt-Grohé & Martín Uribe, 2006. "Optimal Fiscal and Monetary Policy in a Medium-Scale Macroeconomic Model," NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 383-462, National Bureau of Economic Research, Inc.
- Cogley, Timothy & De Paoli, Bianca & Matthes, Christian & Nikolov, Kalin & Yates, Tony, 2011.
"A Bayesian approach to optimal monetary policy with parameter and model uncertainty,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2186-2212.
- Cogley, Timothy & de Paoli, Bianca & Matthes, Christian & Nikolov, Kalin & Yates, Tony, 2011. "A Bayesian approach to optimal monetary policy with parameter and model uncertainty," Bank of England working papers 414, Bank of England.
- Di Bartolomeo, Giovanni & Tirelli, Patrizio & Acocella, Nicola, 2012.
"Inflation targets and endogenous wage markups in a New Keynesian model,"
Journal of Macroeconomics, Elsevier, vol. 34(2), pages 391-403.
- Di Bartolomeo Giovanni & Tirelli Patrizio & Acocella Nicola, 2011. "Inflation targets and endogenous wage markups in a New Keynesian model," wp.comunite 0079, Department of Communication, University of Teramo.
- Bask, Mikael, 2007. "Optimal monetary policy in a hybrid New Keynesian model with a cost channel," Bank of Finland Research Discussion Papers 24/2007, Bank of Finland.
- Junhee Lee & Wooheon Rhee, 2013. "Financial Factors in the Business Cycle of a Small Open Economy: The Case of Korea," Open Economies Review, Springer, vol. 24(5), pages 881-900, November.
- Yasuo Hirose & Saori Naganuma, 2007. "Structural Estimation of the Output Gap: A Bayesian DSGE Approach for the U.S. Economy," Bank of Japan Working Paper Series 07-E-24, Bank of Japan.
- Daniel O. Beltran & David Draper, 2018.
"Estimating dynamic macroeconomic models: how informative are the data?,"
Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(2), pages 501-520, February.
- Daniel O. Beltran & David Draper, 2016. "Estimating Dynamic Macroeconomic Models : How Informative Are the Data?," International Finance Discussion Papers 1175, Board of Governors of the Federal Reserve System (U.S.).
- Adjemian, Stéphane & Darracq Pariès, Matthieu & Moyen, Stéphane, 2008. "Towards a monetary policy evaluation framework," Working Paper Series 942, European Central Bank.
- Paul Levine, 2012.
"Monetary policy in an uncertain world: probability models and the design of robust monetary rules,"
Indian Growth and Development Review, Emerald Group Publishing Limited, vol. 5(1), pages 70-88, April.
- Levine, Paul, 2010. "Monetary policy in an uncertain world: Probability models and the design of robust monetary rules," Working Papers 10/72, National Institute of Public Finance and Policy.
- Paul Levine, 2010. "Monetary Policy in an Uncertain World: Probability Models and the Design of Robust Monetary Rules," School of Economics Discussion Papers 0210, School of Economics, University of Surrey.
- Paul Levine, 2010. "Monetary Policy in an Uncertain World: Probability Models and the Design of Robust Monetary Rules," Working Papers id:2761, eSocialSciences.
- Paul Levine, 2010. "Monetary Policy in an Uncertain World : Probability Models and the Design of Robust Monetary Rules," Macroeconomics Working Papers 21853, East Asian Bureau of Economic Research.
- Givens, Gregory, 2019.
"Unemployment, Partial Insurance, and the Multiplier Effects of Government Spending,"
MPRA Paper
96811, University Library of Munich, Germany.
- Gregory E. Givens, 2022. "Unemployment, Partial Insurance, And The Multiplier Effects Of Government Spending," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(2), pages 571-599, May.
- Sala, Luca & Söderström, Ulf & Trigari, Antonella, 2010.
"The Output Gap, the Labor Wedge, and the Dynamic Behavior of Hours,"
CEPR Discussion Papers
8005, C.E.P.R. Discussion Papers.
- Sala, Luca & Söderström, Ulf & Trigari, Antonella, 2010. "The Output Gap, the Labor Wedge, and the Dynamic Behavior of Hours," Working Paper Series 246, Sveriges Riksbank (Central Bank of Sweden).
- Luca Sala & Ulf Soderstrom & Antonella Trigari, 2010. "The Output Gap, the Labor Wedge, and the Dynamic Behavior of Hours," Working Papers 365, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Uribe, MartÃn & Schmitt-Grohé, Stephanie, 2005.
"Optimal Inflation Stabilization in a Medium-Scale Macroeonomic Model,"
CEPR Discussion Papers
5424, C.E.P.R. Discussion Papers.
- Stepahnie Schmitt-Grohé & Martín Uribe, 2007. "Optimal Inflation Stabilization in a Medium-Scale Macroeconomic Model," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 5, pages 125-186, Central Bank of Chile.
- Stephanie Schmitt-Grohé & Martín Uribe, 2006. "Optimal Inflation Stabilization in a Medium-Scale Macroeconomic Model," Working Papers Central Bank of Chile 410, Central Bank of Chile.
- Stephanie Schmitt-Grohe & Martin Uribe, 2005. "Optimal Inflation Stabilization in a Medium-Scale Macroeconomic Model," NBER Working Papers 11854, National Bureau of Economic Research, Inc.
- Frederic S. Mishkin, 2009.
"Is Monetary Policy Effective during Financial Crises?,"
American Economic Review, American Economic Association, vol. 99(2), pages 573-577, May.
- Frederic S. Mishkin, 2009. "Is Monetary Policy Effective During Financial Crises?," NBER Working Papers 14678, National Bureau of Economic Research, Inc.
- S. Boragan Aruoba & Frank Schorfheide, 2009.
"Sticky prices versus monetary frictions: an estimation of policy trade-offs,"
Working Papers
09-8, Federal Reserve Bank of Philadelphia.
- S. Boragan Aruoba & Frank Schorfheide, 2011. "Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(1), pages 60-90, January.
- S. Boragan Aruoba & Frank Schorfheide, 2009. "Sticky Prices Versus Monetary Frictions: An Estimation of Policy Trade-offs," NBER Working Papers 14870, National Bureau of Economic Research, Inc.
- Kara, Engin, 2010.
"Optimal monetary policy in the generalized Taylor economy,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2023-2037, October.
- Kara, Engin, 2006. "Optimal monetary policy in the generalized Taylor economy," Working Paper Series 673, European Central Bank.
- Jed Armstrong & Miles Parker, 2016. "How wages are set: evidence from a large survey of firms," Reserve Bank of New Zealand Discussion Paper Series DP2016/03, Reserve Bank of New Zealand.
- N. Gregory Mankiw & Ricardo Reis, 2007.
"Sticky Information in General Equilibrium,"
Journal of the European Economic Association, MIT Press, vol. 5(2-3), pages 603-613, 04-05.
- N. Gregory Mankiw & Ricardo Reis, 2006. "Sticky Information in General Equilibrium," NBER Working Papers 12605, National Bureau of Economic Research, Inc.
- Mankiw, N. Gregory & Reis, Ricardo, 2007. "Sticky Information in General Equilibrium," Scholarly Articles 3415323, Harvard University Department of Economics.
- Richhild Moessner, 2006. "Optimal discretionary policy in rational expectations models with regime switching," Bank of England working papers 299, Bank of England.
- Hibiki Ichiue & Takushi Kurozumi & Takeki Sunakawa, 2008.
"Inflation Dynamics and Labor Adjustments in Japan: A Bayesian DSGE Approach,"
Bank of Japan Working Paper Series
08-E-9, Bank of Japan.
- Ichiue, Hibiki & Kurozumi, Takushi & Sunakawa, Takeki, 2011. "Inflation dynamics and labor market specifications: a Bayesian DSGE approach for Japan's economy," MPRA Paper 33391, University Library of Munich, Germany.
- Hibiki Ichiue & Takushi Kurozumi & Takeki Sunakawa, 2013. "Inflation Dynamics And Labor Market Specifications: A Bayesian Dynamic Stochastic General Equilibrium Approach For Japan'S Economy," Economic Inquiry, Western Economic Association International, vol. 51(1), pages 273-287, January.
- Wieland, Volker & Küster, Keith, 2005.
"Insurance Policies for Monetary Policy in the Euro Area,"
CEPR Discussion Papers
4956, C.E.P.R. Discussion Papers.
- Küster, Keith & Wieland, Volker, 2005. "Insurance policies for monetary policy in the Euro area," CFS Working Paper Series 2005/13, Center for Financial Studies (CFS).
- Keith Kuester & Volker Wieland, 2010. "Insurance Policies for Monetary Policy in the Euro Area," Journal of the European Economic Association, European Economic Association, vol. 8(4), pages 872-912, June.
- Volker Wieland & Keith Kuester, 2005. "Insurance Policies for Monetary Policy in the Euro Area," Computing in Economics and Finance 2005 100, Society for Computational Economics.
- Wieland, Volker & Kuester, Keith, 2005. "Insurance policies for monetary policy in the euro area," Working Paper Series 480, European Central Bank.
- Keith Kuester & Volker Wieland, 2008. "Insurance Policies for Monetary Policy in the Euro Area," Discussion Papers 07-044, Stanford Institute for Economic Policy Research.
- Keith Kuester & Volker W. Wieland, 2008. "Insurance policies for monetary policy in the euro area," Working Papers 08-29, Federal Reserve Bank of Philadelphia.
- Keith Kuester & Volker Wieland, 2010. "Insurance Policies for Monetary Policy in the Euro Area," Journal of the European Economic Association, MIT Press, vol. 8(4), pages 872-912, June.
- Huw Dixon & Engin Kara, 2011.
"Taking Multi-Sector Dynamic General Equilibrium Models to the Data,"
Bristol Economics Discussion Papers
11/621, School of Economics, University of Bristol, UK.
- Huw Dixon & Engin Kara, 2011. "Taking Multi-Sector Dynamic General Equilibrium Models to the Data," Koç University-TUSIAD Economic Research Forum Working Papers 1125, Koc University-TUSIAD Economic Research Forum.
- Dixon, Huw David & Kara, Engin, 2012. "Taking Multi-Sector Dynamic General Equilibrium Models to the Data," Cardiff Economics Working Papers E2012/8, Cardiff University, Cardiff Business School, Economics Section.
- Gomez Ospina, Monica A., 2023. "Optimal monetary policy in developing countries: The role of informality," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
- Emi Nakamura & Jón Steinsson, 2013.
"Price Rigidity: Microeconomic Evidence and Macroeconomic Implications,"
Annual Review of Economics, Annual Reviews, vol. 5(1), pages 133-163, May.
- Emi Nakamura & Jón Steinsson, 2013. "Price Rigidity: Microeconomic Evidence and Macroeconomic Implications," NBER Working Papers 18705, National Bureau of Economic Research, Inc.
- Fabio Verona, 2011.
"Lumpy investment in sticky information general equilibrium,"
CEF.UP Working Papers
1102, Universidade do Porto, Faculdade de Economia do Porto.
- Verona, Fabio, 2013. "Lumpy investment in sticky information general equilibrium," Bank of Finland Research Discussion Papers 16/2013, Bank of Finland.
- Verona, Fabio, 2012. "Lumpy investment in sticky information general equilibrium," IMFS Working Paper Series 55, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Martha R. López & Juan David Prada, 2009.
"Optimal Monetary Policy and Asset Prices: the case of Colombia,"
Borradores de Economia
583, Banco de la Republica de Colombia.
- Martha R. López & Juan David Prada, 2009. "Optimal Monetary Policy and Asset Prices: the case of Colombia," Borradores de Economia 6299, Banco de la Republica.
- Martha R. López & Juan David Prada, 2010. "Optimal Monetary Policy and Asset Prices: The case of Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 28(61), pages 167-197, August.
- Martha R. López & Juan David Prada, 2010. "Optimal monetary policy and asset prices: the case of Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 28(61), pages 167-197, August.
- Harald Uhlig, 2007. "Monetary Policy in Europe versus the United States: What Explains the Difference?," NBER Chapters, in: International Dimensions of Monetary Policy, pages 489-533, National Bureau of Economic Research, Inc.
- Mathias Trabandt & Karl Walentin & Lawrence J. Christiano, 2008.
"Introducing Financial Frictions and Unemployment into a Small Open Economy Model,"
2008 Meeting Papers
423, Society for Economic Dynamics.
- Lawrence J. Christiano & Mathias Trabandt & Karl Walentin, 2010. "Introducing financial frictions and unemployment into a small open economy model," FRB Atlanta CQER Working Paper 2010-04, Federal Reserve Bank of Atlanta.
- Christiano, Lawrence J. & Trabandt, Mathias & Walentin, Karl, 2011. "Introducing financial frictions and unemployment into a small open economy model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 1999-2041.
- Christiano, Lawrence J. & Trabandt, Mathias & Walentin, Karl, 2007. "Introducing Financial Frictions and Unemployment into a Small Open Economy Model," Working Paper Series 214, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2011.
- Bask, Mikael & Proaño, Christian R., 2016. "Optimal monetary policy under learning and structural uncertainty in a New Keynesian model with a cost channel and inflation inertia," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 112-126.
- Zheng Liu, 2009.
"Sources of the Great Moderation: Shocks, Frictions, or Monetary Policy?,"
2009 Meeting Papers
379, Society for Economic Dynamics.
- Zheng Liu & Daniel F. Waggoner & Tao Zha, 2009. "Sources of the Great Moderation: shocks, friction, or monetary policy?," Working Paper Series 2009-01, Federal Reserve Bank of San Francisco.
- Zheng Liu & Daniel F. Waggoner & Tao Zha, 2009. "Sources of the Great Moderation: shocks, frictions, or monetary policy?," FRB Atlanta Working Paper 2009-03, Federal Reserve Bank of Atlanta.
- Alejandro Justiniano & Bruce Preston, 2010.
"Monetary policy and uncertainty in an empirical small open-economy model,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 93-128.
- Alejandro Justiniano & Bruce Preston, 2009. "Monetary policy and uncertainty in an empirical small open economy model," Working Paper Series WP-09-21, Federal Reserve Bank of Chicago.
- Alejandro Justiniano & Bruce Preston, 2010. "Monetary policy and uncertainty in an empirical small open‐economy model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 93-128, January.
- Valery Charnavoki, 2019. "International Risk-Sharing and Optimal Monetary Policy in a Small Commodity-Exporting Economy," Russian Journal of Money and Finance, Bank of Russia, vol. 78(2), pages 3-27, June.
- Matthew B. Canzoneri & Robert E. Cumby & Behzad T. Diba, 2007.
"The Cost of Nominal Rigidity in NNS Models,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1563-1586, October.
- Matthew B. Canzoneri & Robert E. Cumby & Behzad T. Diba, 2007. "The Cost of Nominal Rigidity in NNS Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1563-1586, October.
- Jean-Marc Natal, 2009.
"Monetary policy response to oil price shocks,"
Working Paper Series
2009-16, Federal Reserve Bank of San Francisco.
- Jean-Marc Natal, 2010. "Monerary Policy Response to Oil Price Shocks," Working Papers 2010-15, Swiss National Bank.
- Jean-Marc Natal, 2012. "Monetary Policy Response to Oil Price Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 53-101, February.
- Jean‐Marc Natal, 2012. "Monetary Policy Response to Oil Price Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 53-101, February.
- Levine, Paul & Pearlman, Joseph, 2011. "Monetary and Fiscal Policy in a DSGE Model of India," Working Papers 11/96, National Institute of Public Finance and Policy.
- Hiroki Arato, 2009.
"Optimal Operational Monetary Policy Rules in an Endogenous Growth Model: a calibrated analysis,"
KIER Working Papers
663, Kyoto University, Institute of Economic Research.
- Arato, Hiroki, 2008. "Optimal operational monetary policy rules in an endogenous growth model: a calibrated analysis," MPRA Paper 8547, University Library of Munich, Germany.
- Lechthaler, Wolfgang, 2016.
"Protectionism in a liquidity trap,"
Economics Letters, Elsevier, vol. 145(C), pages 165-167.
- Lechthaler, Wolfgang, 2016. "Protectionism in a liquidity trap," Kiel Working Papers 2042, Kiel Institute for the World Economy (IfW Kiel).
- Pablo A. Guerron, 2007.
"What You Match Does Matter: The Effects of Data on DSGE Estimation,"
Working Paper Series
012, North Carolina State University, Department of Economics.
- Pablo A. Guerron-Quintana, 2010. "What you match does matter: the effects of data on DSGE estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 774-804.
- Heckel, Thomas & Le Bihan, Hervé & Montornès, Jérémi, 2008.
"Sticky wages: evidence from quarterly microeconomic data,"
Working Paper Series
893, European Central Bank.
- Heckel, T. & Le Bihan, H. & Montornès, J., 2008. "Sticky Wages. Evidence from Quarterly Microeconomic Data," Working papers 208, Banque de France.
- Hervé Le Bihan & Jérémi Montornès & Thomas Heckel, 2012. "Sticky Wages: Evidence from Quarterly Microeconomic Data," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(3), pages 1-32, July.
- S. Boragan Aruoba & Francis X. Diebold, 2010.
"Real-time macroeconomic monitoring: real activity, inflation, and interactions,"
Working Papers
10-5, Federal Reserve Bank of Philadelphia.
- S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," NBER Working Papers 15657, National Bureau of Economic Research, Inc.
- S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," PIER Working Paper Archive 10-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," American Economic Review, American Economic Association, vol. 100(2), pages 20-24, May.
- Hikaru Saijo, 2014. "The Uncertainty Multiplier and Business Cycles," Working Papers e067, Tokyo Center for Economic Research.
- Levin, Andrew T. & Coenen, Günter, 2004.
"Identifying the influences of nominal and real rigidities in aggregate price-setting behavior,"
Working Paper Series
418, European Central Bank.
- Coenen, Gunter & Levin, Andrew T. & Christoffel, Kai, 2007. "Identifying the influences of nominal and real rigidities in aggregate price-setting behavior," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2439-2466, November.
- Andrew Levin & Günter Coenen, 2005. "Identifying the Influences of Nominal and Real Rigidities in Aggregate Price-Setting Behavior," Computing in Economics and Finance 2005 66, Society for Computational Economics.
- Vasco Gabriel & Paul Levine & Joseph Pearlman & Bo Yang, 2010.
"An Estimated DSGE Model of the Indian Economy,"
School of Economics Discussion Papers
1210, School of Economics, University of Surrey.
- Vasco J. Gabriel & Paul Levine & Joseph Pearlman & Bo Yang, 2010. "An Estimated DSGE Model of the Indian Economy," NIPE Working Papers 29/2010, NIPE - Universidade do Minho.
- Gabriel, Vasco & Levine, Paul & Pearlman, Joseph & Yang, Bo, 2011. "An Estimated DSGE Model of the Indian Economy," Working Papers 11/95, National Institute of Public Finance and Policy.
- Andrew T. Levin, 2008. "Commentary on \\"Optimal monetary policy under uncertainty: a Markov jump-linear-quadratic approach\\"," Review, Federal Reserve Bank of St. Louis, vol. 90(Jul), pages 301-306.
- Günter Coenen & Giovanni Lombardo & Frank Smets & Roland Straub, 2007.
"International Transmission and Monetary Policy Cooperation,"
NBER Chapters, in: International Dimensions of Monetary Policy, pages 157-192,
National Bureau of Economic Research, Inc.
- Coenen, Günter & Lombardo, Giovanni & Smets, Frank & Straub, Roland, 2008. "International transmission and monetary policy cooperation," Working Paper Series 858, European Central Bank.
- Glenn D. Rudebusch & Eric T. Swanson, 2008.
"The bond premium in a DSGE model with long-run real and nominal risks,"
Working Paper Research
143, National Bank of Belgium.
- Glenn D. Rudebusch & Eric T. Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Series 2008-31, Federal Reserve Bank of San Francisco.
- Glenn D. Rudebusch & Eric T. Swanson, 2012. "The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 105-143, January.
- John B. Taylor, 2007.
"Thirty-Five Years of Model Building for Monetary Policy Evaluation: Breakthroughs, Dark Ages, and a Renaissance,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 193-201, February.
- John B. Taylor, 2007. "Thirty‐Five Years of Model Building for Monetary Policy Evaluation: Breakthroughs, Dark Ages, and a Renaissance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 193-201, February.
- Eiji Okano & Masataka Eguchi & Hiroshi Gunji & Tomomi Miyazaki, 2012.
"Optimal Monetary Policy in an Estimated Local Currency Pricing Model,"
Advances in Econometrics, in: DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments, pages 39-79,
Emerald Group Publishing Limited.
- Okano, Eiji & Eguchi, Masataka & Gunji, Hiroshi & Miyazaki, Tomomi, 2012. "Optimal Monetary Policy in an Estimated Local Currency Pricing Model," Discussion Paper Series 558, Institute of Economic Research, Hitotsubashi University.
- Thomas A. Lubik & Wing Leong Teo, 2009.
"Inventories and Optimal Monetary Policy,"
Discussion Papers
09/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Thomas A. Lubik & Wing Leong Teo, 2010. "Inventories and Optimal Monetary Policy," CAMA Working Papers 2010-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Thomas A. Lubik & Wing Leong Teo, 2009. "Inventories and Optimal Monetary Policy," School of Economics and Public Policy Working Papers 2009-33, University of Adelaide, School of Economics and Public Policy.
- Thomas A. Lubik & Wing Leong Teo, 2009. "Inventories and optimal monetary policy," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 95(Fall), pages 357-382.
- Jalali Naini, Ahmad Reza & Naderian, Mohammad Amin, 2017. "Financial Vulnerability and Stabilization Policy in Commodity Exporting Emerging Economies," MPRA Paper 84481, University Library of Munich, Germany.
- Federico Ravenna, 2014. "How Central Banks Learn the True Model of the Economy," Cahiers de recherche 1409, CIRPEE.
- Williams, Noah, 2012. "Monetary policy under financial uncertainty," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 449-465.
- Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2014. "Output Gap in Presence of Financial Frictions and Monetary Policy Trade-offs," IMF Working Papers 2014/128, International Monetary Fund.
- Özer Karagedikli & Troy Matheson & Christie Smith & Shaun Vahey, 2008.
"RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence,"
Working Paper
2008/17, Norges Bank.
- Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2007. "RBCs and DSGEs:The Computational Approach to Business Cycle Theory and Evidence," Reserve Bank of New Zealand Discussion Paper Series DP2007/15, Reserve Bank of New Zealand.
- Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2010. "RBCs AND DSGEs: THE COMPUTATIONAL APPROACH TO BUSINESS CYCLE THEORY AND EVIDENCE," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 113-136, February.
- Kortelainen, Mika, 2007. "Adjustment of the US current account deficit," Bank of Finland Research Discussion Papers 9/2007, Bank of Finland.
- McAdam, Peter & Levine, Paul & Pearlman, Joseph G., 2007.
"Quantifying and sustaining welfare gains from monetary commitment,"
Working Paper Series
709, European Central Bank.
- Levine, Paul & McAdam, Peter & Pearlman, Joseph, 2008. "Quantifying and sustaining welfare gains from monetary commitment," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1253-1276, October.
- Michael Woodford, 2009. "Convergence in Macroeconomics: Elements of the New Synthesis," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 267-279, January.
- MOONS, Cindy & GARRETSEN, Harry & VAN AARLE, Bas & FORNERO, Jorge, 2007.
"Monetary policy in the new-Keynesian model: An application to the Euro-Area,"
Working Papers
2007014, University of Antwerp, Faculty of Business and Economics.
- Moons, Cindy & Garretsen, Harry & van Aarle, Bas & Fornero, Jorge, 2007. "Monetary policy in the New-Keynesian model: An application to the Euro Area," Journal of Policy Modeling, Elsevier, vol. 29(6), pages 879-902.
- Nicholas Apergis & Emmanuel Mamatzakis, 2014.
"What are the driving factors behind the rise of spreads and CDS of euro-area sovereign bonds? A FAVAR model for Greece and Ireland,"
International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 7(1), pages 104-120.
- Nicholas Apergis & Emmanuel Mamatzakis, 2012. "What Are the Driving Factors behind the Rise of Spreads and CDSs of Euro-area Sovereign Bonds? A FAVAR Model for Greece and Ireland," Economics Working Paper Archive wp_720, Levy Economics Institute.
- Paul Levine & Joseph Pearlman & George Perendia & Bo Yang, 2010.
"Endogenous Persistence in an Estimated DSGE Model under Imperfect Information,"
School of Economics Discussion Papers
0310, School of Economics, University of Surrey.
- Paul Levine & Joseph Pearlman & George Perendia & Bo Yang, 2012. "Endogenous Persistence in an estimated DSGE Model Under Imperfect Information," Economic Journal, Royal Economic Society, vol. 122(565), pages 1287-1312, December.
- Franklin Allen & Elena Carletti, 2008. "The role of liquidity in financial crises," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 379-412.
- Engin Kara, 2009.
"Micro data on nominal rigidity, inflation persistence and optimal monetary policy,"
Working Paper Research
175, National Bank of Belgium.
- Kara Engin, 2011. "Micro-Data on Nominal Rigidity, Inflation Persistence and Optimal Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-19, July.
- William C. Whitesell, 2005. "An inflation goal with multiple reference measures," Finance and Economics Discussion Series 2005-62, Board of Governors of the Federal Reserve System (U.S.).
- Jean Boivin & Marc Giannoni, 2006.
"DSGE Models in a Data-Rich Environment,"
NBER Technical Working Papers
0332, National Bureau of Economic Research, Inc.
- Marc P. Giannoni & Jean Boivin, 2005. "DSGE Models in a Data-Rich Environment," Computing in Economics and Finance 2005 431, Society for Computational Economics.
- Jean Boivin & Marc Giannoni, 2006. "DSGE Models in a Data-Rich Environment," NBER Working Papers 12772, National Bureau of Economic Research, Inc.
- Boivin, J. & Giannoni, M., 2007. "DSGE Models in a Data-Rich Environment," Working papers 162, Banque de France.
- Matthew Canzoneri, 2007. "Coordination of Monetary and Fiscal Policy in a Monetary Union: Policy Issues & Analytical Models," Money Macro and Finance (MMF) Research Group Conference 2006 165, Money Macro and Finance Research Group.
- Ahrens, Steffen & Hartmann, Matthias, 2014. "State-dependence vs. timedependence: An empirical multi-country investigation of price sluggishness," Kiel Working Papers 1907, Kiel Institute for the World Economy (IfW Kiel).
- Kilian, Lutz & Bodenstein, Martin & Guerrieri, Luca, 2012.
"Monetary policy responses to oil price fluctuations,"
CEPR Discussion Papers
8928, C.E.P.R. Discussion Papers.
- Martin Bodenstein & Luca Guerrieri & Lutz Kilian, 2012. "Monetary Policy Responses to Oil Price Fluctuations," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 60(4), pages 470-504, December.
- Juan Paez-Farrell, 2012.
"Resuscitating the ad hoc loss function for monetary policy analysis,"
Discussion Paper Series
2012_06, Department of Economics, Loughborough University, revised Jun 2012.
- Paez-Farrell, Juan, 2014. "Resuscitating the ad hoc loss function for monetary policy analysis," Economics Letters, Elsevier, vol. 123(3), pages 313-317.
- Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Namba, Ryoichi & Nishiyama, Shin-Ichi, 2015. "Estimating a DSGE model for Japan in a data-rich environment," Journal of the Japanese and International Economies, Elsevier, vol. 36(C), pages 25-55.
- Hess Chung & Edward Herbst & Michael T. Kiley, 2014.
"Effective Monetary Policy Strategies in New Keynesian Models: A Re-examination,"
NBER Working Papers
20611, National Bureau of Economic Research, Inc.
- Hess Chung & Edward Herbst & Michael T. Kiley, 2014. "Effective Monetary Policy Strategies in New Keynesian Models: A Reexamination," NBER Chapters, in: NBER Macroeconomics Annual 2014, Volume 29, pages 289-344, National Bureau of Economic Research, Inc.
- Hess Chung & Edward Herbst & Michael T. Kiley, 2015. "Effective Monetary Policy Strategies in New Keynesian Models: A Reexamination," NBER Macroeconomics Annual, University of Chicago Press, vol. 29(1), pages 289-344.
- Naoto Soma, 2021. "Parameter Uncertainty and Effective Lower Bound Risk," IMES Discussion Paper Series 21-E-11, Institute for Monetary and Economic Studies, Bank of Japan.
- Philip Jung & Keith Kuester, 2008. "The (un)importance of unemployment fluctuations for welfare," Working Papers 08-31, Federal Reserve Bank of Philadelphia.
- Pelin Ilbas, 2012.
"Revealing the preferences of the US Federal Reserve,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(3), pages 440-473, April.
- Pelin Ilbas, 2007. "Revealing the preferences of the US Federal Reserve," Working Paper 2008/21, Norges Bank, revised 12 Dec 2008.
- Philippe Bacchetta & Eric van Wincoop, 2009.
"On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals,"
Working Papers
272009, Hong Kong Institute for Monetary Research.
- Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," NBER Working Papers 15008, National Bureau of Economic Research, Inc.
- Bacchetta, Philippe & van Wincoop, Eric, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," CEPR Discussion Papers 7309, C.E.P.R. Discussion Papers.
- Bacchetta, Philippe & van Wincoop, Eric, 2013. "On the unstable relationship between exchange rates and macroeconomic fundamentals," Journal of International Economics, Elsevier, vol. 91(1), pages 18-26.
- Sala, Luca & Söderström, Ulf & Trigari, Antonella, 2008.
"Monetary Policy Under Uncertainty in an Estimated Model with Labour Market Frictions,"
CEPR Discussion Papers
6826, C.E.P.R. Discussion Papers.
- Sala, Luca & Söderström, Ulf & Trigari, Antonella, 2008. "Monetary policy under uncertainty in an estimated model with labor market frictions," Journal of Monetary Economics, Elsevier, vol. 55(5), pages 983-1006, July.
- Anastasios Xepapadeas & Catarina Roseta-Palma, 2013. "Instabilities and robust control in natural resource management," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(3), pages 161-180, December.
- Stephanie Schmitt-Grohé & Martín Uribe, 2006. "Optimal Simple and Implementable Monetary and Fiscal Rules: Expanded Version," NBER Working Papers 12402, National Bureau of Economic Research, Inc.
- Mr. Cristiano Cantore & Mr. Paul L Levine & Mr. Giovanni Melina, 2013.
"A Fiscal Stimulus and Jobless Recovery,"
IMF Working Papers
2013/017, International Monetary Fund.
- Cristiano Cantore & Paul Levine & Giovanni Melina, 2014. "A Fiscal Stimulus and Jobless Recovery," Scandinavian Journal of Economics, Wiley Blackwell, vol. 116(3), pages 669-701, July.
- Cristiano Cantore & Paul Levine & Giovanni Melina, 2011. "A Fiscal Stimulus and Jobless Recovery," School of Economics Discussion Papers 1111, School of Economics, University of Surrey.
- Jung, Philip & Kuester, Keith, 2011. "The (un)importance of unemployment fluctuations for the welfare cost of business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1744-1768, October.
- Filippo Altissimo & Michael Ehrmann & Frank Smets, 2006. "Inflation persistence and price-setting behaviour in the euro area : a summary of the Inflation Persistence Network evidence," Working Paper Research 95, National Bank of Belgium.
- Canzoneri, Matthew & Cumby, Robert & Diba, Behzad, 2010. "The Interaction Between Monetary and Fiscal Policy," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 17, pages 935-999, Elsevier.
- Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2017.
"Output gap, monetary policy trade-offs and financial frictions,"
Working Paper
2017/8, Norges Bank.
- Francesco Furlanetto & Paolo Gelain & Marzie Sanjani, 2020. "Output Gap, Monetary Policy Trade-offs, and Financial Frictions," Working Papers 20-05, Federal Reserve Bank of Cleveland.
- Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2021. "Output Gap, Monetary Policy Trade-offs, and Financial Frictions," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 52-70, July.
- Hao Jin, 2015. "Foreign Exchange Interventions, Capital Controls and Monetary Policy: The Case of China," CAEPR Working Papers 2015-019, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Adjemian, Stéphane & Darracq Pariès, Matthieu & Moyen, Stéphane, 2007. "Optimal monetary policy in an estimated DSGE for the euro area," Working Paper Series 803, European Central Bank.
- Stephanie Schmitt-Grohe & Martin Uribe, 2005. "Optimal Fiscal and Monetary Policy in a Medium-Scale Macroeconomic Model: Expanded Version," NBER Working Papers 11417, National Bureau of Economic Research, Inc.
- Gerali, Andrea & Locarno, Alberto & Notarpietro, Alessandro & Pisani, Massimiliano, 2018. "The sovereign crisis and Italy’s potential output," Journal of Policy Modeling, Elsevier, vol. 40(2), pages 418-433.
- Mishkin, Frederic S., 2010. "Monetary policy flexibility, risk management, and financial disruptions," Journal of Asian Economics, Elsevier, vol. 21(3), pages 242-246, June.
- Carlos Medel, 2015.
"Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile,"
Working Papers Central Bank of Chile
769, Central Bank of Chile.
- Medel, Carlos, 2015. "Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile," MPRA Paper 62609, University Library of Munich, Germany.
- Lawrence J. Christiano & Mathias Trabandt & Karl Walentin, 2010.
"DSGE models for monetary policy analysis,"
FRB Atlanta CQER Working Paper
2010-02, Federal Reserve Bank of Atlanta.
- Christiano, Lawrence J. & Trabandt, Mathias & Walentin, Karl, 2010. "DSGE Models for Monetary Policy Analysis," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 7, pages 285-367, Elsevier.
- Lawrence J. Christiano & Mathias Trabandt & Karl Walentin, 2010. "DSGE Models for Monetary Policy Analysis," NBER Working Papers 16074, National Bureau of Economic Research, Inc.
- Richard Anton Braun & Tomoyuki Nakajima, 2009.
"Optimal monetary policy when asset markets are incomplete,"
CIRJE F-Series
CIRJE-F-679, CIRJE, Faculty of Economics, University of Tokyo.
- R. Anton BRAUN & NAKAJIMA Tomoyuki, 2009. "Optimal Monetary Policy When Asset Markets are Incomplete," Discussion papers 09050, Research Institute of Economy, Trade and Industry (RIETI).
- John C. Williams, 2015.
"Monetary policy and the independence dilemma,"
Speech
136, Federal Reserve Bank of San Francisco.
- John C. Williams, 2015. "Monetary policy and the independence dilemma," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
- Ricardo Reis, 2009. "Optimal Monetary Policy Rules in an Estimated Sticky-Information Model," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(2), pages 1-28, July.
- Richard Dennis, 2006.
"The frequency of price adjustment and New Keynesian business cycle dynamics,"
Working Paper Series
2006-22, Federal Reserve Bank of San Francisco.
- Richard Dennis, 2008. "The Frequency Of Price Adjustment And New Keynesian Business Cycle Dynamics," CAMA Working Papers 2008-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Sergio A. Lago Alves, 2013.
"Is the Divine Coincidence Just a Coincidence? The Implications of Trend Inflation,"
Working Papers Series
329, Central Bank of Brazil, Research Department.
- Alves, Sergio Afonso Lago, 2014. "Lack of divine coincidence in New Keynesian models," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 33-46.
- Tack Yun & J. David Lopez-Salido & Andrew Levin, 2007.
"Strategic Complementarities and Optimal Monetary Policy,"
2007 Meeting Papers
1016, Society for Economic Dynamics.
- Levin, Andrew & López-Salido, J David & Yun, Tack, 2007. "Strategic Complementarities and Optimal Monetary Policy," CEPR Discussion Papers 6423, C.E.P.R. Discussion Papers.
- Levin, Andrew T. & López-Salido, José David & Yun, Tack, 2007. "Strategic Complementarities and Optimal Monetary Policy," Kiel Working Papers 1355, Kiel Institute for the World Economy (IfW Kiel).
- Daichi Shirai, 2014. "A note on hump-shaped output in the RBC model," CIGS Working Paper Series 14-009E, The Canon Institute for Global Studies.
- Ippei Fujiwara & Yuki Teranishi, 2007.
"A Dynamic New Keynesian Life-Cycle Model: Societal Ageing, Demographics and Monetary Policy,"
IMES Discussion Paper Series
07-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
- Fujiwara, Ippei & Teranishi, Yuki, 2008. "A dynamic new Keynesian life-cycle model: Societal aging, demographics, and monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2398-2427, August.
- Riccardo DiCecio & Edward Nelson, 2007.
"An estimated DSGE model for the United Kingdom,"
Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 215-232.
- Riccardo DiCecio & Edward Nelson, 2007. "An estimated DSGE model for the United Kingdom," Working Papers 2007-006, Federal Reserve Bank of St. Louis.
- Sergio A. Lago Alves, 2018.
"Monetary Policy, Trend Inflation, and Unemployment Volatility,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(4), pages 637-673, June.
- Sergio A. Lago Alves, 2016. "Monetary Policy, Trend Inflation and Unemployment Volatility," Working Papers Series 450, Central Bank of Brazil, Research Department.
- Libich Jan, 2011. "Inflation Nutters? Modelling the Flexibility of Inflation Targeting," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-36, June.
- Frederic S. Mishkin, 2007.
"Will monetary policy become more of a science?,"
Finance and Economics Discussion Series
2007-44, Board of Governors of the Federal Reserve System (U.S.).
- Frederic S. Mishkin, 2007. "Will Monetary Policy Become More of a Science?," NBER Working Papers 13566, National Bureau of Economic Research, Inc.
- Williams, John C., 2013.
"A defense of moderation in monetary policy,"
Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 137-150.
- John C. Williams, 2013. "A Defense of Moderation in Monetary Policy," Working Paper Series 2013-15, Federal Reserve Bank of San Francisco.
- Duval, Romain & Vogel, Lukas, 2007.
"How do nominal and real rigidities interact? A tale of the second best,"
MPRA Paper
7282, University Library of Munich, Germany.
- Romain Duval & Lukas Vogel, 2012. "How Do Nominal and Real Rigidities Interact? A Tale of the Second Best," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(7), pages 1455-1474, October.
- Romain Duval & Lukas Vogel, 2012. "How Do Nominal and Real Rigidities Interact? A Tale of the Second Best," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(7), pages 1455-1474, October.
- Vasco Gabriel & Paul Levine & Christopher Spencer & Bo Yang, 2008. "On the (ir)relevance of direct supply-side effects of monetary policy," School of Economics Discussion Papers 0408, School of Economics, University of Surrey.
- Onmus-Baykal Elif, 2011. "How Costly is CPI Inflation Targeting: A Two Sector Model with No Labor Mobility," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-32, January.
- Raimundo Soto & Ibrahim Elbadawi & Isaac Martínez, 2019. "Exports, Exchange Regimes, and Fragility," Documentos de Trabajo 526, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Jean-Charles Rochet, 2008. "Commentary : rethinking capital regulation," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 473-483.
- Dixon, Huw & Kara, Engin, 2011. "Contract length heterogeneity and the persistence of monetary shocks in a dynamic generalized Taylor economy," European Economic Review, Elsevier, vol. 55(2), pages 280-292, February.
- Kevin M. Murphy & Emmanuel Saez, 2015. "Income and Wealth in America," Book Chapters, in: Tom Church & Chris Miller & John B. Taylor (ed.), Inequality & Economic Policy, chapter 6, Hoover Institution, Stanford University.
- Daniel O. Beltran & David Draper, 2008. "Estimating the parameters of a small open economy DSGE model: identifiability and inferential validity," International Finance Discussion Papers 955, Board of Governors of the Federal Reserve System (U.S.).
- Schorfheide, Frank & An, Sungbae, 2005.
"Bayesian Analysis of DSGE Models,"
CEPR Discussion Papers
5207, C.E.P.R. Discussion Papers.
- Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia.
- Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
- Bordo, Michael & Erceg, Christopher & Levin, Andrew & Michaels, Ryan, 2017. "Policy credibility and alternative approaches to disinflation," Research in Economics, Elsevier, vol. 71(3), pages 422-440.
- Casares, Miguel, 2009. "Wage setting actors and sticky wages: Implications for the business cycle and optimal monetary policy," Economic Modelling, Elsevier, vol. 26(3), pages 571-585, May.
- Kriwoluzky, Alexander & Stoltenberg, Christian, 2007. "Optimal policy under model uncertainty: A structural-bayesian estimation approach," SFB 649 Discussion Papers 2007-040, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Bask, Mikael, 2007. "Long swings and chaos in the exchange rate in a DSGE model with a Taylor rule," Bank of Finland Research Discussion Papers 19/2007, Bank of Finland.
- Adjemian, Stéphane & Darracq Pariès, Matthieu & Smets, Frank, 2008. "A quantitative perspective on optimal monetary policy cooperation between the US and the euro area," Working Paper Series 884, European Central Bank.
- Paul Levine & Joseph Pearlman & Bo Yang, 2012. "Imperfect Information, Optimal Monetary Policy and Informational Consistency," School of Economics Discussion Papers 1012, School of Economics, University of Surrey.
- Nicoletta Batini & Paul Levine & Joseph Pearlman, 2007.
"Monetary Rules in Emerging Economies with Financial Market Imperfections,"
School of Economics Discussion Papers
0807, School of Economics, University of Surrey.
- Nicoletta Batini & Paul Levine & Joseph Pearlman, 2007. "Monetary Rules in Emerging Economies with Financial Market Imperfections," NBER Chapters, in: International Dimensions of Monetary Policy, pages 251-311, National Bureau of Economic Research, Inc.
- Jonathan J Adams, 2019. "Macroeconomic Models with Incomplete Information and Endogenous Signals," Working Papers 001004, University of Florida, Department of Economics.
- Yasuharu Iwata, 2011. "The Government Spending Multiplier and Fiscal Financing: Insights from Japan," International Finance, Wiley Blackwell, vol. 14(2), pages 231-264, June.
- Gregory Erin Givens, 2006. "Revisiting the Delegation Problem in a Sticky Price and Wage Economy," Working Papers 200601, Middle Tennessee State University, Department of Economics and Finance.
- Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2010.
"Labor-Market Heterogeneity, Aggregation, and the Lucas Critique,"
NBER Working Papers
16401, National Bureau of Economic Research, Inc.
- Chang, Yongsung & Schorfheide, Frank, 2010. "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," CEPR Discussion Papers 8039, C.E.P.R. Discussion Papers.
- Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2010. "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," RCER Working Papers 556, University of Rochester - Center for Economic Research (RCER).
- Peter R. Fisher, 2008. "Commentary : the role of liquidity in financial crises," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 413-422.
- Yongo Kwon, 2019. "Nominal GDP growth indexed bonds: Business Cycle and Welfare Effects within the Framework of New Keynesian DSGE model," National Institute of Economic and Social Research (NIESR) Discussion Papers 504, National Institute of Economic and Social Research.
- Katsuhiro Oshima, 2021. "Heterogeneous beliefs, monetary policy, and stock price volatility," Annals of Finance, Springer, vol. 17(1), pages 79-125, March.
- Migliardo, Carlo, 2012. "Heterogeneity in price setting behavior, spatial disparities and sectoral diversity: Evidence from a panel of Italian firms," Economic Modelling, Elsevier, vol. 29(4), pages 1106-1118.
- Frederic S. Mishkin, 2011. "Monetary Policy Strategy: Lessons from the Crisis," NBER Working Papers 16755, National Bureau of Economic Research, Inc.
- Katsuhiro Oshima, 2019. "Subjective Beliefs, Monetary Policy, and Stock Price Volatility," KIER Working Papers 1012, Kyoto University, Institute of Economic Research.
- Paolo Gelain & Simone Manganelli, 2020.
"Monetary Policy with Judgment,"
Working Papers
20-14, Federal Reserve Bank of Cleveland.
- Gelain, Paolo & Manganelli, Simone, 2020. "Monetary policy with judgment," Working Paper Series 2404, European Central Bank.
- V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2008.
"New Keynesian models: not yet useful for policy analysis,"
Staff Report
409, Federal Reserve Bank of Minneapolis.
- V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2008. "New Keynesian models: not yet useful for policy analysis," Working Papers 664, Federal Reserve Bank of Minneapolis.
- V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2009. "New Keynesian Models: Not Yet Useful for Policy Analysis," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 242-266, January.
- V.V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2008. "New Keynesian Models: Not Yet Useful for Policy Analysis," NBER Working Papers 14313, National Bureau of Economic Research, Inc.
- Miguel Casares, 2007. "Wage Setting Actors, StickyWages, and Optimal Monetary Policy," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 0701, Departamento de Economía - Universidad Pública de Navarra.
- Ma, Yong, 2016. "Nonlinear monetary policy and macroeconomic stabilization in emerging market economies: Evidence from China," Economic Systems, Elsevier, vol. 40(3), pages 461-480.
- Carl E. Walsh & Federico Ravenna, 2010. "Business Cycles and Labor Market Flows with Sequential Screening," 2010 Meeting Papers 571, Society for Economic Dynamics.
- Federico Ravenna & Carl E. Walsh, 2009. "The welfare consequences of monetary policy," Working Paper Series 2009-12, Federal Reserve Bank of San Francisco.
- Peter Tillmann, 2009. "Optimal Monetary Policy with an Uncertain Cost Channel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(5), pages 885-906, August.
- Klepsch, Catharina & Elsas, Ralf, 2016. "How and when do firms adjust their investments toward targets?," VfS Annual Conference 2016 (Augsburg): Demographic Change 145486, Verein für Socialpolitik / German Economic Association.
- YANO Koiti, 2010. "Time-varying Analysis of Dynamic Stochastic General Equilibrium Models Based on Sequential Monte Carlo Methods," ESRI Discussion paper series 231, Economic and Social Research Institute (ESRI).
- Levin, Andrew T., 2005. "Comment on: "Endogenous objectives and the evaluation of targeting rules for monetary policy"," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 913-919, July.
- Tommy Sveen & Lutz Weinke, 2006.
"Firm-specific capital, nominal rigidities, and the Taylor principle,"
Working Paper
2006/06, Norges Bank.
- Sveen, Tommy & Weinke, Lutz, 2007. "Firm-specific capital, nominal rigidities, and the Taylor principle," Journal of Economic Theory, Elsevier, vol. 136(1), pages 729-737, September.
- Pelin Ilbas, 2008. "Estimation of monetary policy preferences in a forward-looking model : a Bayesian approach," Working Paper Research 129, National Bank of Belgium.
- Roberto Alfonso Montenegro Robles, 2011. "La política monetaria y la brecha del producto," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 3(2), pages 41-47, December.
- Dumitriu, Ramona & Stefanescu, Răzvan, 2013. "Decizii strategice ale politicii monetare [Strategic decisions of the Monetary Policy]," MPRA Paper 51242, University Library of Munich, Germany, revised 05 Nov 2013.
- M. Murat Arslan, 2013. "Optimal Monetary Policy With The Sticky Information Model Of Price Adjustment: Inflation Or Price-Level Targeting?," Bulletin of Economic Research, Wiley Blackwell, vol. 65, pages 106-129, May.
- Sergio A. Lago Alves, 2012. "Optimal Policy When the Inflation Target is not Optimal," Working Papers Series 271, Central Bank of Brazil, Research Department.
- Guido Ascari & Andrea Colciago & Lorenza Rossi, 2017. "Limited Asset Market Participation, Sticky Wages, And Monetary Policy," Economic Inquiry, Western Economic Association International, vol. 55(2), pages 878-897, April.
- Görtz, Christoph & Tsoukalas, John, 2011.
"News and Financial Intermediation in Aggregate Fluctuations,"
MPRA Paper
34113, University Library of Munich, Germany, revised Oct 2011.
- Christoph Görtz & John D. Tsoukalas, 2017. "News and Financial Intermediation in Aggregate Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 514-530, July.
- Andrew Levin, 2007. "Comment on "Monetary Policy in Europe versus the United States: What Explains the Difference?"," NBER Chapters, in: International Dimensions of Monetary Policy, pages 533-545, National Bureau of Economic Research, Inc.
- Bask, Mikael & Proaño, Christian R, 2012. "Optimal Monetary Policy under Learning in a New Keynesian Model with Cost Channel and Inflation Inertia," Working Paper Series 2012:7, Uppsala University, Department of Economics.
- Kurozumi, Takushi, 2010. "Optimal Monetary Policy Under Parameter Uncertainty In A Simple Microfounded Model," Macroeconomic Dynamics, Cambridge University Press, vol. 14(2), pages 257-268, April.
- Górajski, Mariusz & Kuchta, Zbigniew, 2023. "Coordination and non-coordination risks of monetary and macroprudential authorities: A robust welfare analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
- Górajski, Mariusz & Kuchta, Zbigniew & Leszczyńska-Paczesna, Agnieszka, 2023. "Price-setting heterogeneity and robust monetary policy in a two-sector DSGE model of a small open economy," Economic Modelling, Elsevier, vol. 122(C).
- A. Onatski & V. Karguine, 2005.
"Curve Forecasting by Functional Autoregression,"
Computing in Economics and Finance 2005
59, Society for Computational Economics.
- Kargin, V. & Onatski, A., 2008. "Curve forecasting by functional autoregression," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2508-2526, November.
Cited by:
- Matteo Iacopini & Dominique Guégan, 2018. "Nonparametric Forecasting of Multivariate Probability Density Functions," Working Papers 2018:15, Department of Economics, University of Venice "Ca' Foscari".
- Benatia, David & Carrasco, Marine & Florens, Jean-Pierre, 2017.
"Functional linear regression with functional response,"
Journal of Econometrics, Elsevier, vol. 201(2), pages 269-291.
- David Benatia & Marine Carrasco & Jean-Pierre Florens, 2017. "Functional linear regression with functional response," Post-Print hal-03523162, HAL.
- Sven Otto & Nazarii Salish, 2022. "Approximate Factor Models for Functional Time Series," Papers 2201.02532, arXiv.org, revised May 2024.
- Blanke, D. & Bosq, D., 2016. "Detecting and estimating intensity of jumps for discretely observed ARMAD(1,1) processes," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 119-137.
- Clive Bowsher & Roland Meeks, 2006.
"High Dimensional Yield Curves: Models and Forecasting,"
Economics Series Working Papers
2006-FE-11, University of Oxford, Department of Economics.
- Clive Bowsher & Roland Meeks, 2006. "High Dimensional Yield Curves: Models and Forecasting," Economics Papers 2006-W12, Economics Group, Nuffield College, University of Oxford.
- Clive G. Bowsher & Roland Meeks, 2006. "High Dimensional Yield Curves: Models and Forecasting," OFRC Working Papers Series 2006fe11, Oxford Financial Research Centre.
- Atefeh Zamani & Hossein Haghbin & Maryam Hashemi & Rob J. Hyndman, 2022.
"Seasonal functional autoregressive models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 197-218, March.
- Atefeh Zamani & Hossein Haghbin & Maryam Hashemi & Rob J Hyndman, 2019. "Seasonal Functional Autoregressive Models," Monash Econometrics and Business Statistics Working Papers 16/19, Monash University, Department of Econometrics and Business Statistics.
- Niccol`o Ajroldi & Jacopo Diquigiovanni & Matteo Fontana & Simone Vantini, 2022. "Conformal Prediction Bands for Two-Dimensional Functional Time Series," Papers 2207.13656, arXiv.org, revised Jul 2023.
- Horváth, Lajos & Husková, Marie & Kokoszka, Piotr, 2010. "Testing the stability of the functional autoregressive process," Journal of Multivariate Analysis, Elsevier, vol. 101(2), pages 352-367, February.
- Goia, Aldo & May, Caterina & Fusai, Gianluca, 2010. "Functional clustering and linear regression for peak load forecasting," International Journal of Forecasting, Elsevier, vol. 26(4), pages 700-711, October.
- Philip Nadler & Alessio Sancetta, 2023. "Empirical Asset Pricing with Functional Factors," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1258-1281.
- Rob J. Hyndman & Han Lin Shang, 2008. "Rainbow plots, Bagplots and Boxplots for Functional Data," Monash Econometrics and Business Statistics Working Papers 9/08, Monash University, Department of Econometrics and Business Statistics.
- Characiejus, Vaidotas & Rice, Gregory, 2020. "A general white noise test based on kernel lag-window estimates of the spectral density operator," Econometrics and Statistics, Elsevier, vol. 13(C), pages 175-196.
- Álvarez-Liébana, J. & Bosq, D. & Ruiz-Medina, M.D., 2017. "Asymptotic properties of a component-wise ARH(1) plug-in predictor," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 12-34.
- Horváth, Lajos & Liu, Zhenya & Rice, Gregory & Wang, Shixuan, 2020.
"A functional time series analysis of forward curves derived from commodity futures,"
International Journal of Forecasting, Elsevier, vol. 36(2), pages 646-665.
- Lajos Horváth & Zhenya Liu & Gregory Rice & Shixuan Wang, 2020. "A functional time series analysis of forward curves derived from commodity futures," Post-Print hal-03513421, HAL.
- Clive G. Bowsher & Roland Meeks, 2008.
"The dynamics of economics functions: modelling and forecasting the yield curve,"
Working Papers
0804, Federal Reserve Bank of Dallas.
- Bowsher, Clive G. & Meeks, Roland, 2008. "The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1419-1437.
- Clive G. Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," Economics Papers 2008-W05, Economics Group, Nuffield College, University of Oxford.
- Clive Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," OFRC Working Papers Series 2008fe24, Oxford Financial Research Centre.
- Horváth, Lajos & Hušková, Marie & Rice, Gregory, 2013. "Test of independence for functional data," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 100-119.
- Ajroldi, Niccolò & Diquigiovanni, Jacopo & Fontana, Matteo & Vantini, Simone, 2023. "Conformal prediction bands for two-dimensional functional time series," Computational Statistics & Data Analysis, Elsevier, vol. 187(C).
- Daniel R. Kowal & David S. Matteson & David Ruppert, 2019. "Functional Autoregression for Sparsely Sampled Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(1), pages 97-109, January.
- Gabrys Robertas & Hörmann Siegfried & Kokoszka Piotr, 2013. "Monitoring the Intraday Volatility Pattern," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 87-116, July.
- Battey, Heather & Sancetta, Alessio, 2013. "Conditional estimation for dependent functional data," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 1-17.
- Haixu Wang & Jiguo Cao, 2023. "Nonlinear prediction of functional time series," Environmetrics, John Wiley & Sons, Ltd., vol. 34(5), August.
- Zhang, Xianyang, 2016. "White noise testing and model diagnostic checking for functional time series," Journal of Econometrics, Elsevier, vol. 194(1), pages 76-95.
- Almeida, Caio Ibsen Rodrigues de & Vicente, José, 2007.
"The role of no-arbitrage on forecasting: lessons from a parametric term structure model,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
657, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Almeida, Caio & Vicente, José, 2008. "The role of no-arbitrage on forecasting: Lessons from a parametric term structure model," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2695-2705, December.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020.
"Forecasting: theory and practice,"
Papers
2012.03854, arXiv.org, revised Jan 2022.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Lajos Horváth & Zhenya Liu & Curtis Miller & Weiqing Tang, 2024. "Breaks in term structures: Evidence from the oil futures markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2317-2341, April.
- Devin Didericksen & Piotr Kokoszka & Xi Zhang, 2012. "Empirical properties of forecasts with the functional autoregressive model," Computational Statistics, Springer, vol. 27(2), pages 285-298, June.
- Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
- Gregory Rice & Han Lin Shang, 2017. "A Plug-in Bandwidth Selection Procedure for Long-Run Covariance Estimation with Stationary Functional Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 591-609, July.
- Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01821815, HAL.
- Canale, Antonio & Vantini, Simone, 2016. "Constrained functional time series: Applications to the Italian gas market," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1340-1351.
- Brendan K. Beare & Juwon Seo & Won-Ki Seo, 2017. "Cointegrated Linear Processes in Hilbert Space," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 1010-1027, November.
- Klepsch, J. & Klüppelberg, C., 2017. "An innovations algorithm for the prediction of functional linear processes," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 252-271.
- Horváth, Lajos & Kokoszka, Piotr & Rice, Gregory, 2014. "Testing stationarity of functional time series," Journal of Econometrics, Elsevier, vol. 179(1), pages 66-82.
- Caio Almeida & Romeu Gomes & André Leite & José Vicente, 2007.
"Does Curvature Enhance Forecasting?,"
Working Papers Series
155, Central Bank of Brazil, Research Department.
- Caio Almeida & Romeu Gomes & André Leite & Axel Simonsen & José Vicente, 2009. "Does Curvature Enhance Forecasting?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1171-1196.
- Álvarez-Liébana, Javier & Bosq, Denis & Ruiz-Medina, María D., 2016. "Consistency of the plug-in functional predictor of the Ornstein–Uhlenbeck process in Hilbert and Banach spaces," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 12-22.
- Mestre, Guillermo & Portela, José & Rice, Gregory & Muñoz San Roque, Antonio & Alonso, Estrella, 2021. "Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
- Massimo Franchi & Paolo Paruolo, 2017.
"Cointegration in functional autoregressive processes,"
Papers
1712.07522, arXiv.org, revised Oct 2018.
- Franchi, Massimo & Paruolo, Paolo, 2020. "Cointegration In Functional Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 36(5), pages 803-839, October.
- Massimo Franchi & Paolo Paruolo, 2017. "Cointegration in functional autoregressive processes," DSS Empirical Economics and Econometrics Working Papers Series 2017/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Chen, Yichao & Pun, Chi Seng, 2019. "A bootstrap-based KPSS test for functional time series," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
- Alexander Gleim & Nazarii Salish, 2022. "Forecasting Environmental Data: An example to ground-level ozone concentration surfaces," Papers 2202.03332, arXiv.org.
- Butler, Sunil & Kokoszka, Piotr & Miao, Hong & Shang, Han Lin, 2021. "Neural network prediction of crude oil futures using B-splines," Energy Economics, Elsevier, vol. 94(C).
- Klepsch, J. & Klüppelberg, C. & Wei, T., 2017. "Prediction of functional ARMA processes with an application to traffic data," Econometrics and Statistics, Elsevier, vol. 1(C), pages 128-149.
- Alexander Aue & Diogo Dubart Norinho & Siegfried Hörmann, 2015. "On the Prediction of Stationary Functional Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 378-392, March.
- Bosq, D., 2014. "Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 436-450.
- Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021.
"Estimation of a nonparametric model for bond prices from cross-section and time series information,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
- Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020. "Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information," Monash Econometrics and Business Statistics Working Papers 4/20, Monash University, Department of Econometrics and Business Statistics.
- Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2023. "Exploring volatility of crude oil intraday return curves: A functional GARCH-X model," Journal of Commodity Markets, Elsevier, vol. 32(C).
- Boukhiar, Souad & Mourid, Tahar, 2022. "Resolvent estimators for functional autoregressive processes with random coefficients," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
- Horváth, Lajos & Reeder, Ron, 2012. "Detecting changes in functional linear models," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 310-334.
- Cerovecki, Clément & Hörmann, Siegfried, 2017. "On the CLT for discrete Fourier transforms of functional time series," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 282-295.
- Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Post-Print halshs-01821815, HAL.
- Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.
- Dominique Guégan & Matteo Iacopini, 2018. "Nonparameteric forecasting of multivariate probability density functions," Documents de travail du Centre d'Economie de la Sorbonne 18012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Xu, Meng & Li, Jialiang & Chen, Ying, 2017. "Varying coefficient functional autoregressive model with application to the U.S. treasuries," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 168-183.
- Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2021. "Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model," MPRA Paper 109231, University Library of Munich, Germany.
- Kada Kloucha, Meryem & Mourid, Tahar, 2019. "Best linear predictor of a C[0,1]-valued functional autoregressive process," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 114-120.
- Alexei Onatski & Slava Kargin, 2004.
"Dynamics of Interest Rate Curve by Functional Auto-regression,"
Econometric Society 2004 North American Summer Meetings
229, Econometric Society.
- Vladislav Kargin & Alexei Onatski, 2004. "Dynamics of Interest Rate Curve by Functional Auto-Regression," Macroeconomics 0404008, University Library of Munich, Germany, revised 28 Oct 2004.
Cited by:
- Bo Li & Sabri Boubaker & Zhenya Liu & Waël Louhichi & Yao Yao, 2023.
"Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China,"
Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 527-559, August.
- B. Li & S. Boubaker & Z. Liu & W. Louhichi & Y. Yao, 2023. "Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China," Post-Print hal-04435519, HAL.
- Alexei Onatski & Noah Williams, 2003.
"Modeling Model Uncertainty,"
NBER Working Papers
9566, National Bureau of Economic Research, Inc.
- Alexei Onatski & Noah Williams, 2003. "Modeling Model Uncertainty," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1087-1122, September.
- Onatski, Alexei & Williams, Noah, 2002. "Modeling model uncertainty," Working Paper Series 169, European Central Bank.
Cited by:
- Levin, Andrew T. & Williams, John C., 2003.
"Robust monetary policy with competing reference models,"
Journal of Monetary Economics, Elsevier, vol. 50(5), pages 945-975, July.
- Andrew T. Levin & John C. Williams, 2003. "Robust monetary policy with competing reference models," Working Paper Series 2003-10, Federal Reserve Bank of San Francisco.
- John C. Williams & Andrew T. Levin, 2003. "Robust Monetary Policy with Competing Reference Models," Computing in Economics and Finance 2003 291, Society for Computational Economics.
- Andrew Phiri, 2023. "Fisher’s hypothesis in time–frequency space: a premier using South Africa as a case study," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(5), pages 4255-4284, October.
- Svensson, Lars E. O. & Williams, Noah, 2005.
"Monetary policy with model uncertainty: distribution forecast targeting,"
Discussion Paper Series 1: Economic Studies
2005,35, Deutsche Bundesbank.
- Lars Svensson & Noah Williams, 2005. "Monetary Policy with Model Uncertainty: Distribution Forecast Targeting," NBER Working Papers 11733, National Bureau of Economic Research, Inc.
- Svensson, Lars E.O. & Williams, Noah, 2007. "Monetary Policy with Model Uncertainty: Distribution Forecast Targeting," CEPR Discussion Papers 6331, C.E.P.R. Discussion Papers.
- Noah Williams & Lars E.O. Svensson, 2005. "Monetary Policy with Model Uncertainty: Distribution Forecast Targeting," Computing in Economics and Finance 2005 108, Society for Computational Economics.
- Lars Peter Hansen & Thomas J Sargent, 2014.
"Robust Control and Model Misspecification,"
World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 6, pages 155-216,
World Scientific Publishing Co. Pte. Ltd..
- Hansen, Lars Peter & Sargent, Thomas J. & Turmuhambetova, Gauhar & Williams, Noah, 2006. "Robust control and model misspecification," Journal of Economic Theory, Elsevier, vol. 128(1), pages 45-90, May.
- Marc P. Giannoni, 2007. "Robust optimal monetary policy in a forward-looking model with parameter and shock uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 179-213.
- Richard Dennis, 2007.
"Model uncertainty and monetary policy,"
Working Paper Series
2007-09, Federal Reserve Bank of San Francisco.
- Richard Dennis, 2009. "Model uncertainty and monetary policy," CAMA Working Papers 2009-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Richard Dennis, 2008. "Model Uncertainty and Monetary Policy," NCER Working Paper Series 30, National Centre for Econometric Research.
- Walsh, Carl E., 2004.
"Implications of a Changing Economic Structure for the Strategy of Monetary Policy,"
Santa Cruz Department of Economics, Working Paper Series
qt84g1q1g6, Department of Economics, UC Santa Cruz.
- Carl E. Walsh, 2003. "Implications of a changing economic structure for the strategy of monetary policy," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 297-348.
- Walsh, Carl E., 2004. "Implications of a Changing Economic Structure for the Strategy of Monetary Policy," Santa Cruz Center for International Economics, Working Paper Series qt84g1q1g6, Center for International Economics, UC Santa Cruz.
- Paul Ormerod & Rickard Nyman & David Tuckett, 2015. "Measuring Financial Sentiment to Predict Financial Instability: A New Approach based on Text Analysis," Papers 1508.05357, arXiv.org.
- Marco Del Negro & Frank Schorfheide, 2009.
"Monetary Policy Analysis with Potentially Misspecified Models,"
American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
- Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," Working Papers 06-4, Federal Reserve Bank of Philadelphia.
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," FRB Atlanta Working Paper 2005-26, Federal Reserve Bank of Atlanta.
- Marco Del Negro & Frank Schorfheide, 2007. "Monetary Policy Analysis with Potentially Misspecified Models," NBER Working Papers 13099, National Bureau of Economic Research, Inc.
- Marco Del Negro & Frank Schorfheide, 2008. "Monetary policy analysis with potentially misspecified models," Staff Reports 321, Federal Reserve Bank of New York.
- David Backus & Bryan Routledge & Stanley Zin, 2004.
"Exotic Preferences for Macroeconomists,"
Working Papers
04-20, New York University, Leonard N. Stern School of Business, Department of Economics.
- David K. Backus & Bryan R. Routledge & Stanley E. Zin, 2005. "Exotic Preferences for Macroeconomists," NBER Chapters, in: NBER Macroeconomics Annual 2004, Volume 19, pages 319-414, National Bureau of Economic Research, Inc.
- David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," NBER Working Papers 10597, National Bureau of Economic Research, Inc.
- Philip Arestis & Alexander Mihailov, 2008.
"Classifying Monetary Economics: Fields and Methods from Past to Future,"
Economics Discussion Papers
em-dp2008-64, Department of Economics, University of Reading.
- Philip Arestis & Alexander Mihailov, 2011. "Classifying Monetary Economics: Fields And Methods From Past To Future," Journal of Economic Surveys, Wiley Blackwell, vol. 25(4), pages 769-800, September.
- Levine, Paul & McAdam, Peter & Pearlman, Joseph, 2012. "Probability models and robust policy rules," European Economic Review, Elsevier, vol. 56(2), pages 246-262.
- Svensson, Lars E.O., 2010.
"Inflation Targeting,"
Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 22, pages 1237-1302,
Elsevier.
- Lars E. O. Svensson, 2007. "Inflation Targeting," Working Papers 144, Princeton University, Department of Economics, Center for Economic Policy Studies..
- Lars E.O. Svensson, 2010. "Inflation Targeting," NBER Working Papers 16654, National Bureau of Economic Research, Inc.
- Giordani, Paolo & Söderlind, Paul, 2002.
"Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions,"
SSE/EFI Working Paper Series in Economics and Finance
499, Stockholm School of Economics, revised 15 May 2003.
- Giordani, Paolo & Soderlind, Paul, 2004. "Solution of macromodels with Hansen-Sargent robust policies: some extensions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2367-2397, December.
- Ramón Adalid & Günter Coenen & Peter McAdam & Stefano Siviero, 2005.
"The Performance and Robustness of Interest-Rate Rules in Models of the Euro Area,"
International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
- Adalid, Ramón & Coenen, Günter & McAdam, Peter & Siviero, Stefano, 2005. "The performance and robustness of interest-rate rules in models of the euro area," Working Paper Series 479, European Central Bank.
- Adalid, Ramon & Coenen, Gunter & McAdam, Peter & Siviero, Stefano, 2005. "The Performance and Robustness of Interest-Rate Rules in Models of the Euro Area," MPRA Paper 821, University Library of Munich, Germany.
- William A. Brock & Steven N. Durlauf & James M. Nason & Giacomo Rondina, 2007.
"Simple versus optimal rules as guides to policy,"
FRB Atlanta Working Paper
2007-07, Federal Reserve Bank of Atlanta.
- Brock, William A. & Durlauf, Steven N. & Nason, James M. & Rondina, Giacomo, 2007. "Simple versus optimal rules as guides to policy," Journal of Monetary Economics, Elsevier, vol. 54(5), pages 1372-1396, July.
- Q. Farooq Akram & Yakov Ben-Haim & Øyvind Eitrheim, 2008. "Robust-satisficing monetary policy under parameter uncertainty," Working Paper 2007/14, Norges Bank.
- Alan S. Blinder & Ricardo Reis, 2005.
"Understanding the Greenspan Standard,"
Working Papers
88, Princeton University, Department of Economics, Center for Economic Policy Studies..
- Alan S. Blinder & Ricardo Reis, 2005. "Understanding the Greenspan standard," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, issue Aug, pages 11-96.
- Kai Leitemo & Ulf Söderstrom, 2005.
"Robust Monetary Policy in a Small Open Economy,"
Working Papers
290, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Leitemo, Kai & Söderström, Ulf, 2008. "Robust monetary policy in a small open economy," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3218-3252, October.
- Leitemo, Kai & Söderström, Ulf, 2005. "Robust monetary policy in a small open economy," Bank of Finland Research Discussion Papers 20/2005, Bank of Finland.
- Söderström, Ulf & Leitemo, Kai, 2005. "Robust Monetary Policy in a Small Open Economy," CEPR Discussion Papers 5071, C.E.P.R. Discussion Papers.
- Onatski, Alexei, 2006. "Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 323-345, February.
- William A. Brock & Steven N. Durlauf & Kenneth D. West, 2003.
"Policy Evaluation in Uncertain Economic Environments,"
NBER Working Papers
10025, National Bureau of Economic Research, Inc.
- William A. Brock & Steven N. Durlauf & Kenneth D. West, 2003. "Policy Evaluation in Uncertain Economic Environments," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 235-322.
- Brock,W.A. & Durlauf,S.N. & West,K.D., 2003. "Policy evaluation in uncertain economic environments," Working papers 15, Wisconsin Madison - Social Systems.
- Luo, Yulei & Nie, Jun & Young, Eric, 2014.
"Model Uncertainty and Intertemporal Tax Smoothing,"
MPRA Paper
54268, University Library of Munich, Germany.
- Yulei Luo & Jun Nie & Eric Young, 2012. "Model uncertainty and intertemporal tax smoothing," Research Working Paper RWP 12-01, Federal Reserve Bank of Kansas City.
- Luo, Yulei & Nie, Jun & Young, Eric R., 2014. "Model uncertainty and intertemporal tax smoothing," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 289-314.
- Fabio Milani, 2004.
"Monetary Policy with a Wider Information Set: a Bayesian Model Averaging Approach,"
Macroeconomics
0401004, University Library of Munich, Germany.
- Fabio Milani, 2008. "Monetary Policy With A Wider Information Set: A Bayesian Model Averaging Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(1), pages 1-30, February.
- Robert Tetlow & Peter von zur Muehlen, 2004.
"Avoiding Nash Inflation: Bayesian and Robus Responses to Model Uncertainty,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(4), pages 869-899, October.
- Robert J. Tetlow & Peter Von zur Muehlen, 2002. "Avoiding Nash inflation: Bayesian and robust responses to model uncertainty," Finance and Economics Discussion Series 2002-9, Board of Governors of the Federal Reserve System (U.S.).
- Robert J. Tetlow & Peter Von zur Muehlen, 2003. "Avoiding Nash Inflation : Bayesian and Robust Responses to Model Uncertainty," Finance and Economics Discussion Series 2002-09, Board of Governors of the Federal Reserve System (U.S.).
- Tetlow, Robert J. & von zur Muehlen, Peter, 2006.
"Robustifying learnability,"
Working Paper Series
593, European Central Bank.
- Robert J. Tetlow & Peter von zur Muehlen, 2006. "Robustifying Learnability," 2006 Meeting Papers 439, Society for Economic Dynamics.
- Peter von zur Muehlen & Robert J. Tetlow, 2005. "Robustifying Learnability," Computing in Economics and Finance 2005 437, Society for Computational Economics.
- Robert J. Tetlow & Peter Von zur Muehlen, 2005. "Robustifying learnability," Finance and Economics Discussion Series 2005-58, Board of Governors of the Federal Reserve System (U.S.).
- Tetlow, Robert J. & von zur Muehlen, Peter, 2009. "Robustifying learnability," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 296-316, February.
- Andrew T. Levin & Alexei Onatski & John Williams & Noah M. Williams, 2006.
"Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models,"
NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 229-312,
National Bureau of Economic Research, Inc.
- Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Working Papers 11523, National Bureau of Economic Research, Inc.
- Noah Williams & Andrew Levin & Alexei Onatski, 2005. "Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models," Computing in Economics and Finance 2005 478, Society for Computational Economics.
- Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary policy under uncertainty in micro-founded macroeconometric models," Working Paper Series 2005-15, Federal Reserve Bank of San Francisco.
- Daniel Altman, 2017. "An Alternative Approach to Statistical Inference," Working Papers 17-01, New York University, Leonard N. Stern School of Business, Department of Economics.
- Brock,W.A. & Durlauf,S.N. & West,K.D., 2004.
"Model uncertainty and policy evaluation : some theory and empirics,"
Working papers
19, Wisconsin Madison - Social Systems.
- William A. Brock & Steven N. Durlauf & Kenneth D. West, 2005. "Model uncertainty and policy evaluation: some theory and empirics," Proceedings, Federal Reserve Bank of San Francisco.
- William A. Brock & Steven N. Durlauf & Kenneth D. West, 2004. "Model Uncertainty and Policy Evaluation: Some Theory and Empirics," NBER Working Papers 10916, National Bureau of Economic Research, Inc.
- Brock, William A. & Durlauf, Steven N. & West, Kenneth D., 2007. "Model uncertainty and policy evaluation: Some theory and empirics," Journal of Econometrics, Elsevier, vol. 136(2), pages 629-664, February.
- van der Ploeg, Frederick, 2004. "Prudent Monetary Policy: Applications of Cautious LQG Control and Prediction," CEPR Discussion Papers 4222, C.E.P.R. Discussion Papers.
- Ormerod, Paul, 2015.
"The economics of radical uncertainty,"
Economics Discussion Papers
2015-40, Kiel Institute for the World Economy (IfW Kiel).
- Ormerod, Paul, 2015. "The economics of radical uncertainty," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 9, pages 1-20.
- Hasui, Kohei, 2020. "A Note On Robust Monetary Policy And Non-Zero Trend Inflation," Macroeconomic Dynamics, Cambridge University Press, vol. 24(6), pages 1574-1594, September.
- Juha Kilponen, 2004.
"A positive theory of monetary policy and robust control,"
Macroeconomics
0404036, University Library of Munich, Germany.
- Juha Kilponen, 2004. "A positive theory of monetary policy and robust control," Macroeconomics 0404014, University Library of Munich, Germany.
- Kilponen, Juha, 2003. "A Positive theory of monetary policy and robust control," Bank of Finland Research Discussion Papers 18/2003, Bank of Finland.
- Michael Paetz, 2007. "Robust Control and Persistence in the New Keynesian Economy," Quantitative Macroeconomics Working Papers 20711, Hamburg University, Department of Economics.
- Di Bartolomeo Giovanni & Giuli Francesco, 2009.
"Fiscal and monetary interaction under monetary policy uncertainty,"
wp.comunite
0061, Department of Communication, University of Teramo.
- Di Bartolomeo, Giovanni & Giuli, Francesco, 2011. "Fiscal and monetary interaction under monetary policy uncertainty," European Journal of Political Economy, Elsevier, vol. 27(2), pages 369-375, June.
- William A. Brock & Steven N. Durlauf, 2004.
"Elements of a Theory of Design Limits to Optimal Policy,"
Manchester School, University of Manchester, vol. 72(s1), pages 1-18, September.
- William A. Brock & Steven N. Durlauf, 2004. "Elements of a Theory of Design Limits to Optimal Policy," NBER Working Papers 10495, National Bureau of Economic Research, Inc.
- Brock,W.A. & Durlauf,S.N., 2003. "Elements of a theory of design limits to optimal policy," Working papers 25, Wisconsin Madison - Social Systems.
- Giannis Vardas & Anastasios Xepapadeas, 2015.
"Uncertainty aversion, robust control and asset holdings,"
Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 477-491, March.
- Anastasios Xepapadeas & Giannis Vardas, 2004. "Uncertainty Aversion, Robust Control and Asset Holdings," Working Papers 2004.66, Fondazione Eni Enrico Mattei.
- Giannis Vardas & Anastasios Xepapadeas, 2004. "Uncertainty Aversion, Robust Control and Asset Holdings," Working Papers 0402, University of Crete, Department of Economics.
- Svetlana Makarova, 2014. "Risk and Uncertainty: Macroeconomic Perspective," UCL SSEES Economics and Business working paper series 129, UCL School of Slavonic and East European Studies (SSEES).
- Giuseppe Diana & Moise Sidiropoulos, 2006.
"Robust Control and Monetary Policy Delegation,"
Working Papers of BETA
2006-26, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Sidiropoulos, Moïse & Diana, Giuseppe, 2006. "Robust Control and Monetary Policy Delegation," MPRA Paper 23715, University Library of Munich, Germany.
- Alexei Onatski & Noah Williams, 2010.
"Empirical and policy performance of a forward-looking monetary model,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 145-176.
- Alexei Onatski & Noah Williams, 2004. "Empirical and policy performance of a forward-looking monetary model," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Alexei Onatski & Noah Williams, 2010. "Empirical and policy performance of a forward‐looking monetary model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 145-176, January.
- Malin Adolfson & Stefan Laseen & Jesper Lindé & Lars E. O. Svensson, 2011.
"Optimal monetary policy in an operational medium-sized DSGE model,"
International Finance Discussion Papers
1023, Board of Governors of the Federal Reserve System (U.S.).
- Svensson, Lars E.O. & Linde, Jesper & Adolfson, Malin & LASEEN, PER, 2008. "Optimal Monetary Policy in an Operational Medium-Sized DSGE Model," CEPR Discussion Papers 6907, C.E.P.R. Discussion Papers.
- Malin Adolfson & Stefan Laséen & Jesper Lindé & Lars E.O. Svensson, 2008. "Optimal Monetary Policy in an Operational Medium-Sized DSGE Model," NBER Working Papers 14092, National Bureau of Economic Research, Inc.
- Adolfson, Malin & Laseén, Stefan & Lindé, Jesper & Svensson, Lars E.O., 2008. "Optimal Monetary Policy in an Operational Medium-Sized DSGE Model," Working Paper Series 225, Sveriges Riksbank (Central Bank of Sweden).
- Malin Adolfson & Stefan Laséen & Jesper Lindé & Lars E.O. Svensson, 2011. "Optimal Monetary Policy in an Operational Medium‐Sized DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(7), pages 1287-1331, October.
- Malin Adolfson & Stefan Las√Âen & Jesper Lind√ & Lars E.O. Svensson, 2011. "Optimal Monetary Policy in an Operational Medium-Sized DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(7), pages 1287-1331, October.
- Vardas, Giannis & XEPAPADEAS, Anastasios, 2008.
"Model Uncertainty, Ambiguity and the Precautionary Principle: Implications for Biodiversity Management,"
MPRA Paper
10236, University Library of Munich, Germany.
- Giannis Vardas & Anastasios Xepapadeas, 2010. "Model Uncertainty, Ambiguity and the Precautionary Principle: Implications for Biodiversity Management," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 45(3), pages 379-404, March.
- Juha Kilponen & Kai Leitemo, 2008.
"Model Uncertainty and Delegation: A Case for Friedman's k‐Percent Money Growth Rule?,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 547-556, March.
- Juha Kilponen & Kai Leitemo, 2008. "Model Uncertainty and Delegation: A Case for Friedman's "k"-Percent Money Growth Rule?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 547-556, March.
- Jean-Guillaume Sahuc, 2003.
"Robust European monetary policy rules,"
Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 889-894.
- Jean-Guillaume Sahuc, 2003. "Robust European Monetary Policy Rules," Documents de recherche 03-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Richhild Moessner, 2006. "Optimal discretionary policy in rational expectations models with regime switching," Bank of England working papers 299, Bank of England.
- Wieland, Volker & Küster, Keith, 2005.
"Insurance Policies for Monetary Policy in the Euro Area,"
CEPR Discussion Papers
4956, C.E.P.R. Discussion Papers.
- Küster, Keith & Wieland, Volker, 2005. "Insurance policies for monetary policy in the Euro area," CFS Working Paper Series 2005/13, Center for Financial Studies (CFS).
- Keith Kuester & Volker Wieland, 2010. "Insurance Policies for Monetary Policy in the Euro Area," Journal of the European Economic Association, European Economic Association, vol. 8(4), pages 872-912, June.
- Volker Wieland & Keith Kuester, 2005. "Insurance Policies for Monetary Policy in the Euro Area," Computing in Economics and Finance 2005 100, Society for Computational Economics.
- Wieland, Volker & Kuester, Keith, 2005. "Insurance policies for monetary policy in the euro area," Working Paper Series 480, European Central Bank.
- Keith Kuester & Volker Wieland, 2008. "Insurance Policies for Monetary Policy in the Euro Area," Discussion Papers 07-044, Stanford Institute for Economic Policy Research.
- Keith Kuester & Volker W. Wieland, 2008. "Insurance policies for monetary policy in the euro area," Working Papers 08-29, Federal Reserve Bank of Philadelphia.
- Keith Kuester & Volker Wieland, 2010. "Insurance Policies for Monetary Policy in the Euro Area," Journal of the European Economic Association, MIT Press, vol. 8(4), pages 872-912, June.
- Li Qin & Elefterios Spyromitros & Moïse Sidiropoulos, 2006. "Does Model Uncertainty Lead to Less Central Bank Transparency?," Working Papers of BETA 2006-22, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Marco M. Sorge, 2012.
"Robust Delegation with Uncertain Monetary Policy Preferences,"
EERI Research Paper Series
EERI_RP_2012_05, Economics and Econometrics Research Institute (EERI), Brussels.
- Sorge, Marco M., 2013. "Robust delegation with uncertain monetary policy preferences," Economic Modelling, Elsevier, vol. 30(C), pages 73-78.
- Mariusz Górajski, 2018. "Robust Monetary Policy in a Model of the Polish Economy: Is the Uncertainty Responsible for the Interest Rate Smoothing Effect?," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 313-340, August.
- Ullrich, Antje & Volk, Martin, 2009. "Application of the Soil and Water Assessment Tool (SWAT) to predict the impact of alternative management practices on water quality and quantity," Agricultural Water Management, Elsevier, vol. 96(8), pages 1207-1217, August.
- Dück, Alexander & Verona, Fabio, 2023. "Robust frequency-based monetary policy rules," IMFS Working Paper Series 180, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Brock,W.A. & Durlauf,S.N., 2004.
"Local robustness analysis : theory and application,"
Working papers
22, Wisconsin Madison - Social Systems.
- Brock, William A. & Durlauf, Steven N., 2005. "Local robustness analysis: Theory and application," Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 2067-2092, November.
- Debby Lanser & Henk Kranendonk, 2008. "Investigating uncertainty in macroeconomic forecasts by stochastic simulation," CPB Discussion Paper 112, CPB Netherlands Bureau for Economic Policy Analysis.
- Thomas A. Lubik & Christian Matthes & Fabio Verona, 2019.
"Assessing U.S. Aggregate Fluctuations Across Time and Frequencies,"
Working Paper
19-6, Federal Reserve Bank of Richmond.
- Lubik, Thomas A. & Matthes, Christian & Verona, Fabio, 2019. "Assessing U.S. aggregate fluctuations across time and frequencies," Bank of Finland Research Discussion Papers 5/2019, Bank of Finland.
- John C. Williams, 2004.
"Robust estimation and monetary policy with unobserved structural change,"
Working Paper Series
2004-11, Federal Reserve Bank of San Francisco.
- John C. Williams, 2006. "Robust estimation and monetary policy with unobserved structural change," Economic Review, Federal Reserve Bank of San Francisco, pages 1-16.
- John C. Williams, 2005. "Robust estimation and monetary policy with unobserved structural change," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 53-81.
- Cohen-Cole,E.B. & Durlauf,S.N. & Rondina,G., 2005.
"Nonlinearities in growth : from evidence to policy,"
Working papers
9, Wisconsin Madison - Social Systems.
- Cohen-Cole, Ethan B. & Durlauf, Steven N. & Rondina, Giacomo, 2012. "Nonlinearities in growth: From evidence to policy," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 42-58.
- Vitale, Paolo, 2018. "Optimal monetary policy for a pessimistic central bank," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 39-59.
- Moral-Benito, Enrique, 2010.
"Model averaging in economics,"
MPRA Paper
26047, University Library of Munich, Germany.
- Enrique Moral-Benito, 2010. "Model Averaging in Economics," Working Papers wp2010_1008, CEMFI.
- Enrique Moral-Benito, 2011. "Model averaging in economics," Working Papers 1123, Banco de España.
- van der Ploeg, Frederick, 2009. "Prudent monetary policy and prediction of the output gap," Journal of Macroeconomics, Elsevier, vol. 31(2), pages 217-230, June.
- Axel A. Weber & Wolfgang Lemke & Andreas Worms, 2008. "How useful is the concept of the natural real rate of interest for monetary policy?," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 32(1), pages 49-63, January.
- Alan S. Blinder, 2006. "Monetary Policy Today: Sixteen Questions and about Twelve Answers," Working Papers 73, Princeton University, Department of Economics, Center for Economic Policy Studies..
- Kilponen, Juha & Leitemo, Kai, 2006. "Robustness in monetary policymaking: a case for the Friedman rule," Bank of Finland Research Discussion Papers 4/2006, Bank of Finland.
- Kohei Hasui, 2021. "How robustness can change the desirability of speed limit policy," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(5), pages 553-570, November.
- MOONS, Cindy & GARRETSEN, Harry & VAN AARLE, Bas & FORNERO, Jorge, 2007.
"Monetary policy in the new-Keynesian model: An application to the Euro-Area,"
Working Papers
2007014, University of Antwerp, Faculty of Business and Economics.
- Moons, Cindy & Garretsen, Harry & van Aarle, Bas & Fornero, Jorge, 2007. "Monetary policy in the New-Keynesian model: An application to the Euro Area," Journal of Policy Modeling, Elsevier, vol. 29(6), pages 879-902.
- Tetlow, Robert J. & Ironside, Brian, 2006.
"Real-time model uncertainty in the United States: the Fed from 1996-2003,"
Working Paper Series
610, European Central Bank.
- Brian Ironside & Robert J. Tetlow, 2006. "Real-time model uncertainty in the United States: the Fed from 1996-2003," Finance and Economics Discussion Series 2006-08, Board of Governors of the Federal Reserve System (U.S.).
- Tetlow, Robert J. & Ironside, Brian, 2005. "Real-Time Model Uncertainty in the United States: the Fed from 1996-2003," CEPR Discussion Papers 5305, C.E.P.R. Discussion Papers.
- William Ascher, 2021. "Coping with intelligence deficits in poverty-alleviation policies in low-income countries," Policy Sciences, Springer;Society of Policy Sciences, vol. 54(2), pages 345-370, June.
- Eleftherios SPYROMITROS & Li QIN, 2006.
"Central bank transparency about model uncertainty and wage setters,"
Economics Bulletin, AccessEcon, vol. 5(18), pages 1-5.
- Li Qin & Eleftherios Spyromitros, 2008. "Central bank transparency about model uncertainty and wage setters," Post-Print hal-00279193, HAL.
- Xiangrong Yu, 2013.
"Measurement Error and Policy Evaluation in the Frequency Domain,"
Working Papers
172013, Hong Kong Institute for Monetary Research.
- Yu, Xiangrong, 2013. "Measurement error and policy evaluation in the frequency domain," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 307-329.
- Kai Leitemo & Ulf Söderström, 2005.
"Robust monetary policy in the New-Keynesian framework,"
Macroeconomics
0508032, University Library of Munich, Germany.
- Leitemo, Kai & Söderström, Ulf, 2004. "Robust monetary policy in the New-Keynesian framework," Bank of Finland Research Discussion Papers 31/2004, Bank of Finland.
- Kai Leitemo & Ulf Soderstrom, 2004. "Robust Monetary Policy in the New-Keynesian Framework," Working Papers 273, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Leitemo, Kai & Söderström, Ulf, 2008. "Robust Monetary Policy In The New Keynesian Framework," Macroeconomic Dynamics, Cambridge University Press, vol. 12(S1), pages 126-135, April.
- Söderström, Ulf & Leitemo, Kai, 2004. "Robust Monetary Policy in the New-Keynesian Framework," CEPR Discussion Papers 4805, C.E.P.R. Discussion Papers.
- Hasui Kohei, 2021. "Trend Growth and Robust Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(2), pages 449-472, June.
- Michel Juillard & Florian Pelgrin, 2007. "Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy," Staff Working Papers 07-32, Bank of Canada.
- Walsh, Carl E., 2005. "Parameter misspecification and robust monetary policy rules," Working Paper Series 477, European Central Bank.
- Philippe Bacchetta & Eric van Wincoop, 2009.
"On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals,"
Working Papers
272009, Hong Kong Institute for Monetary Research.
- Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," NBER Working Papers 15008, National Bureau of Economic Research, Inc.
- Bacchetta, Philippe & van Wincoop, Eric, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," CEPR Discussion Papers 7309, C.E.P.R. Discussion Papers.
- Bacchetta, Philippe & van Wincoop, Eric, 2013. "On the unstable relationship between exchange rates and macroeconomic fundamentals," Journal of International Economics, Elsevier, vol. 91(1), pages 18-26.
- Dennis, Richard, 2010. "How robustness can lower the cost of discretion," Journal of Monetary Economics, Elsevier, vol. 57(6), pages 653-667, September.
- Kangami, Divine Ngenyeh, 2021. "Challenges of Forecasting the Long-Run Economic Consequences of Pandemics for Selected sub-Saharan Economies," African Journal of Economic Review, African Journal of Economic Review, vol. 9(3), June.
- Amber Fatima & Abdul Waheed, 2014. "Economic uncertainty and growth performance: a macroeconomic modeling analysis for Pakistan," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(3), pages 1361-1387, May.
- João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
- Anastasios Xepapadeas & Catarina Roseta-Palma, 2013. "Instabilities and robust control in natural resource management," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(3), pages 161-180, December.
- Frederick van der Ploeg, 2007. "Prudent Monetary Policy and Cautious Prediction of the Output Gap," Economics Working Papers ECO2007/40, European University Institute.
- William Brock & Anastasios Xepapadeas & Athanasios Yannacopoulos, 2014.
"Optimal Control in Space and Time and the Management of Environmental Resources,"
DEOS Working Papers
1402, Athens University of Economics and Business.
- W.A. Brock & A. Xepapadeas & A.N. Yannacopoulos, 2014. "Optimal Control in Space and Time and the Management of Environmental Resources," Annual Review of Resource Economics, Annual Reviews, vol. 6(1), pages 33-68, October.
- William A. Brock & Steven N. Durlauf & Giacomo Rondina, 2008.
"Design Limits and Dynamic Policy Analysis,"
NBER Working Papers
14357, National Bureau of Economic Research, Inc.
- Brock, William A. & Durlauf, Steven N. & Rondina, Giacomo, 2013. "Design limits and dynamic policy analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2710-2728.
- Traficante, Guido, 2013. "Monetary policy, parameter uncertainty and welfare," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 73-80.
- Pataracchia, Beatrice, 2011.
"The spectral representation of Markov switching ARMA models,"
Economics Letters, Elsevier, vol. 112(1), pages 11-15, July.
- Beatrice Pataracchia, 2008. "The Spectral Representation of Markov-Switching Arma Models," Department of Economics University of Siena 528, Department of Economics, University of Siena.
- Dück, Alexander & Verona, Fabio, 2023. "Monetary policy rules: model uncertainty meets design limits," Bank of Finland Research Discussion Papers 12/2023, Bank of Finland.
- Giannis Vardas & Anastasios Xepapadeas, 2004. "Uncertainty Aversion and Robust Portfolio Choices," Working Papers 0408, University of Crete, Department of Economics.
- Marc Giannoni, 2006. "Robust Optimal Policy in a Forward-Looking Model with Parameter and Shock Uncertainty," NBER Working Papers 11942, National Bureau of Economic Research, Inc.
- Traficante, Guido, 2012.
"Uncertain potential output: implications for monetary policy in small open economy,"
Dynare Working Papers
22, CEPREMAP.
- Guido Traficante, 2021. "Uncertain Potential Output: Implications for Monetary Policy in a Small Open Economy," Open Economies Review, Springer, vol. 32(5), pages 955-973, November.
- Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Mikhail I. Krastanov & Rossen Rozenov & Boyan K. Stefanov, 2023. "On a Constrained Infinite-Time Horizon Linear Quadratic Game," Dynamic Games and Applications, Springer, vol. 13(3), pages 843-858, September.
- Mariusz Górajski & Zbigniew Kuchta, 2022. "Which hallmarks of optimal monetary policy rules matter in Poland? A stochastic dominance approach," Bank i Kredyt, Narodowy Bank Polski, vol. 53(2), pages 149-182.
- Mariusz Gorajski, 2016. "Robust monetary policy in a linear model of the polish economy: is the uncertainty in the model responsible for the interest rate smoothing effect?," Lodz Economics Working Papers 1/2016, University of Lodz, Faculty of Economics and Sociology.
- André P. Calmon & Thomas Vallée & João B. R. Do Val, 2009. "Monetary policy as a source of uncertainty," Working Papers hal-00422454, HAL.
- Enrique Moral-Benito, 2015. "Model Averaging In Economics: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 46-75, February.
- Fatemeh Labafi Feriz & Saeed Samadi & khadijeh Nasrollahi & Rasul Bakhshi Dastjerdi, 2018. "Robust Discretionary Monetary Policy under Cost-Push Shock Uncertainty of Iran’s Economy," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 22(2), pages 503-526, Spring.
- Altavilla, Carlo & Ciccarelli, Matteo, 2010. "Evaluating the effect of monetary policy on unemployment with alternative inflation forecasts," Economic Modelling, Elsevier, vol. 27(1), pages 237-253, January.
- Carlo Altavilla & Matteo Ciccarelli, 2008. "Inflation models, optimal monetary policy and uncertain unemployment dynamics: Evidence from the US and the euro area," Discussion Papers 8_2008, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
- Q. Farooq Akram & Yakov Ben-Haim & Øyvind Eitrheim, 2006. "Managing uncertainty through robust-satisficing monetary policy," Working Paper 2006/10, Norges Bank.
- Paulo R. Mota & Abel L. C. Fernandes, 2019. "The Dynamic Adjustment Of Central Banks’ Target Interest Rate: The Case Of The Ecb," FEP Working Papers 613, Universidade do Porto, Faculdade de Economia do Porto.
- Gino Cateau, 2006. "Guarding Against Large Policy Errors under Model Uncertainty," Staff Working Papers 06-13, Bank of Canada.
- Giannis Vardas & Anastasios Xepapadeas, 2007. "Uncertainty Aversion, Robust Control And Asset Holdings With A Stochastic Investment Opportunity Set," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(06), pages 985-1014.
- Loisel, O., 2006. "Bubble-free interest-rate rules," Working papers 161, Banque de France.
- Brock,W.A. & Durlauf,S.N., 2004. "Macroeconomics and model uncertainty," Working papers 20, Wisconsin Madison - Social Systems.
- Moessner, Richhild, 2005. "Optimal discretionary policy and uncertainty about inflation persistence," Working Paper Series 540, European Central Bank.
- Kurozumi, Takushi, 2010. "Optimal Monetary Policy Under Parameter Uncertainty In A Simple Microfounded Model," Macroeconomic Dynamics, Cambridge University Press, vol. 14(2), pages 257-268, April.
- Górajski, Mariusz & Kuchta, Zbigniew, 2023. "Coordination and non-coordination risks of monetary and macroprudential authorities: A robust welfare analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
- Górajski, Mariusz & Kuchta, Zbigniew & Leszczyńska-Paczesna, Agnieszka, 2023. "Price-setting heterogeneity and robust monetary policy in a two-sector DSGE model of a small open economy," Economic Modelling, Elsevier, vol. 122(C).
- Michael Kremer & Alexei Onatski & James Stock, 2001.
"Searching for Prosperity,"
NBER Working Papers
8250, National Bureau of Economic Research, Inc.
- Kremer, Michael & Onatski, Alexei & Stock, James, 2001. "Searching for prosperity," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 55(1), pages 275-303, December.
Cited by:
- Sharun W. Mukand & Dani Rodrik, 2005.
"In Search of the Holy Grail: Policy Convergence, Experimentation, and Economic Performance,"
American Economic Review, American Economic Association, vol. 95(1), pages 374-383, March.
- Sharun Mukand & Dani Rodrik, 2002. "In Search of the Holy Grail: Policy Convergence, Experimentation, and Economic Performance," NBER Working Papers 9134, National Bureau of Economic Research, Inc.
- Rodrik, Dani & Mukand, Sharun, 2002. "In Search of the Holy Grail: Policy Convergence, Experimentation and Economic Performance," CEPR Discussion Papers 3525, C.E.P.R. Discussion Papers.
- Mukand, Sharun & Rodrik, Dani, 2002. "In Search of the Holy Grail: Policy Convergence, Experimentation and Economic Performance," Working Paper Series rwp02-027, Harvard University, John F. Kennedy School of Government.
- Färnstrand Damsgaard, Erika & Krusell, Per, 2010.
"The World Distribution of Productivity: Country TFP Choice in a Nelson-Phelps Economy,"
Working Paper Series
850, Research Institute of Industrial Economics.
- Erika Färnstrand Damsgaard & Per Krusell, 2010. "The World Distribution of Productivity: Country TFP Choice in a Nelson-Phelps Economy," NBER Working Papers 16375, National Bureau of Economic Research, Inc.
- Per Krusell & Erika Färnstrand Damsgaard, 2011. "The World Distribution of Productivity: Country TFP Choice in a Nelson-Phelps Economy," 2011 Meeting Papers 379, Society for Economic Dynamics.
- Färnstrand Damsgaard, Erika, 2010. "The World Distribution of Productivity: Country TFP Choice in a Nelson-Phelps Economy," CEPR Discussion Papers 8022, C.E.P.R. Discussion Papers.
- Erika Farnstrand Damsgaard, 2008. "The World Distribution of Productivity: Country TFP Choice in a Nelson-Phelps Economy," 2008 Meeting Papers 176, Society for Economic Dynamics.
- Amparo Castello-Climent & Rafael Domenech, 2006.
"Human Capital Inequality, Life Expectancy and Economic Growth,"
Working Papers
0604, International Economics Institute, University of Valencia.
- Climent, Amparo Castello & Rafael Domenech, 2003. "Human Capital Inequality, Life Expectancy and Economic Growth," Royal Economic Society Annual Conference 2003 46, Royal Economic Society.
- Amparo Castelló-Climent & Rafael Doménech, 2008. "Human Capital Inequality, Life Expectancy And Economic Growth," Economic Journal, Royal Economic Society, vol. 118(528), pages 653-677, April.
- Amparo Castelló‐Climent & Rafael Doménech, 2008. "Human Capital Inequality, Life Expectancy And Economic Growth," Economic Journal, Royal Economic Society, vol. 118(528), pages 653-677, April.
- Jesús Peiró-Palomino & William Orlando Prieto-Bustos & Emili Tortosa-Ausina, 2020. "Weighted convergence in Colombian departments: The role of geography and demography," Working Papers 2020/01, Economics Department, Universitat Jaume I, Castellón (Spain).
- Beaudry, Paul & Collard, Fabrice & Green, David A., 2003.
"Changes in the World Distribution of Output-per-Worker 1960-98 : How a Standard Decomposition tells an Unorthodox Story,"
IDEI Working Papers
190, Institut d'Économie Industrielle (IDEI), Toulouse.
- Paul Beaudry & Fabrice Collard & David A. Green, 2004. "Changes in the world distribution of output-per-worker 1960-98: how a standard decomposition tells an unorthodox story," IFS Working Papers W04/15, Institute for Fiscal Studies.
- Gordon Anderson, Alessio Farcomeni, Maria Grazia Pittau and Roberto Zelli, 2019.
"Multidimensional Nation Wellbeing, More Equal yet More Polarized: An Analysis of the Progress of Human Development Since 1990,"
Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 44(1), pages 1-22, March.
- Gordon Anderson & Alessio Farcomeni & Maria Grazia Pittau & Roberto Zelli, 2018. "Multidimensional Nation Wellbeing, More Equal yet More Polarized: An Analysis of the Progress of Human Development since 1990," Working Papers tecipa-602, University of Toronto, Department of Economics.
- Jesús Peiró-Palomino & William Orlando Prieto-Bustos & Emili Tortosa-Ausina, 2023. "Regional income convergence in Colombia: population, space, and long-run dynamics," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 70(2), pages 559-601, April.
- Pauline Grosjean & Frantisek Ricka & Claudia Senik, 2013.
"Learning, political attitudes and crises: Lessons from transition countries,"
PSE-Ecole d'économie de Paris (Postprint)
halshs-00847352, HAL.
- Pauline Grosjean & Frantisek Ricka & Claudia Senik, 2013. "Learning, political attitudes and crises: Lessons from transition countries," Post-Print halshs-00847352, HAL.
- Grosjean, Pauline & Ricka, Frantisek & Senik, Claudia, 2013. "Learning, political attitudes and crises: Lessons from transition countries," Journal of Comparative Economics, Elsevier, vol. 41(2), pages 490-505.
- Blackburn, Keith & Forgues-Puccio, Gonzalo F., 2005.
"Distribution and Development in a Model of Misgovernance,"
Proceedings of the German Development Economics Conference, Kiel 2005
15, Verein für Socialpolitik, Research Committee Development Economics.
- K Blackburn & G F Forgues-Puccio, 2004. "Distribution and Development in a Model of Misgovernance," Centre for Growth and Business Cycle Research Discussion Paper Series 42, Economics, The University of Manchester.
- Blackburn, Keith & Forgues-Puccio, Gonzalo F., 2007. "Distribution and development in a model of misgovernance," European Economic Review, Elsevier, vol. 51(6), pages 1534-1563, August.
- Keith Blackburn & Gonzalo F. Forgues-Puccio, 2011.
"Foreign aid - a fillip for development or a fuel for corruption?,"
Centre for Growth and Business Cycle Research Discussion Paper Series
158, Economics, The University of Manchester.
- Keith Blackburn & Gonzalo F. Forgues-Puccio, 2011. "Foreign Aid – A Fillip for Development or a Fuel for Corruption?," Development Research Working Paper Series 09/2011, Institute for Advanced Development Studies.
- MASSON, Paul & RUGE-MURCIA, Francisco J., 2003.
"Explaining the Transition Between Exchange Rate Regimes,"
Cahiers de recherche
15-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- MASSON, Paul & RUGE-MURCIA, Francisco J., 2003. "Explaining the Transition Between Exchange Rate Regimes," Cahiers de recherche 2003-21, Universite de Montreal, Departement de sciences economiques.
- Paul Masson & Francisco J. Ruge‐Murcia, 2005. "Explaining the Transition between Exchange Rate Regimes," Scandinavian Journal of Economics, Wiley Blackwell, vol. 107(2), pages 261-278, June.
- Susanto Basu, 2014.
"Productivity and the Welfare of Nations,"
2014 Meeting Papers
787, Society for Economic Dynamics.
- Basu, Susanto & Pascali, Luigi & Schiantarelli, Fabio & Serven, Luis, 2012. "Productivity and the Welfare of Nations," IZA Discussion Papers 6461, Institute of Labor Economics (IZA).
- Susanto Basu & Luigi Pascali & Fabio Schiantarelli & Luis Serven, 2012. "Productivity and the Welfare of Nations," Boston College Working Papers in Economics 793, Boston College Department of Economics, revised 18 Feb 2016.
- Basu, Susanto & Pascali, Luigi & Schiantarelli, Fabio & Serven, Luis, 2012. "Productivity and the welfare of nations," Policy Research Working Paper Series 6026, The World Bank.
- Susanto Basu & Luigi Pascali & Fabio Schiantarelli & Luis Serven, 2012. "Productivity and the Welfare of Nations," Working Papers 621, Barcelona School of Economics.
- Susanto Basu & Luigi Pascali & Fabio Schiantarelli & Luis Serven, 2012. "Productivity and the Welfare of Nations," NBER Working Papers 17971, National Bureau of Economic Research, Inc.
- Susanto Basu & Luigi Pascali & Fabio Schiantarelli & Luis Serven, 2012. "Productivity and the welfare of nations," Economics Working Papers 1312, Department of Economics and Business, Universitat Pompeu Fabra.
- Han, Xuehui & Wei, Shang-Jin, 2017.
"Re-examining the middle-income trap hypothesis (MITH): What to reject and what to revive?,"
Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 41-61.
- Xuehui Han & Shang-Jin Wei, 2017. "Re-examining the Middle-Income Trap Hypothesis (MITH): What to Reject and What to Revive?," NBER Working Papers 23126, National Bureau of Economic Research, Inc.
- Susanto Basu & Luigi Pascali & Fabio Schiantarelli & Luis Serven, 2022.
"Productivity and the Welfare of Nations,"
Journal of the European Economic Association, European Economic Association, vol. 20(4), pages 1647-1682.
- Basu, Susanto & Pascali, Luigi & Schiantarelli, Fabio & Serven, Luis, 2012. "Productivity and the Welfare of Nations," IZA Discussion Papers 6461, Institute of Labor Economics (IZA).
- Susanto Basu & Luigi Pascali & Fabio Schiantarelli & Luis Serven, 2012. "Productivity and the Welfare of Nations," Boston College Working Papers in Economics 793, Boston College Department of Economics, revised 18 Feb 2016.
- Basu, Susanto & Pascali, Luigi & Schiantarelli, Fabio & Serven, Luis, 2012. "Productivity and the welfare of nations," Policy Research Working Paper Series 6026, The World Bank.
- Susanto Basu & Luigi Pascali & Fabio Schiantarelli & Luis Serven, 2020. "Productivity and the Welfare of Nations," Working Papers wp2020_2010, CEMFI.
- Susanto Basu & Luigi Pascali & Fabio Schiantarelli & Luis Serven, 2012. "Productivity and the Welfare of Nations," Working Papers 621, Barcelona School of Economics.
- Basu, Susanto & Pascali, Luigi & Schiantarelli, Fabio, 2013. "Productivity and the Welfare of Nations," Economic Research Papers 270432, University of Warwick - Department of Economics.
- Susanto Basu & Luigi Pascali & Fabio Schiantarelli & Luis Serven, 2012. "Productivity and the Welfare of Nations," NBER Working Papers 17971, National Bureau of Economic Research, Inc.
- Susanto Basu & Luigi Pascali & Fabio Schiantarelli & Luis Serven, 2012. "Productivity and the welfare of nations," Economics Working Papers 1312, Department of Economics and Business, Universitat Pompeu Fabra.
- Pascali, Luigi & Basu, Susanto & Schiantarelli, Fabio & Servén, Luis, 2020. "Productivity and the Welfare of Nations," CEPR Discussion Papers 15600, C.E.P.R. Discussion Papers.
- Basu, Susanto & Pascali, Luigi & Schiantarelli, Fabio & Serven, Luis, 2013. "Productivity and the Welfare of Nations," CAGE Online Working Paper Series 163, Competitive Advantage in the Global Economy (CAGE).
- Xavier Sala-i-Martin, 2002.
"The Disturbing "Rise" of Global Income Inequality,"
NBER Working Papers
8904, National Bureau of Economic Research, Inc.
- Xavier Sala-i-Martin, 2001. "The disturbing 'rise' of global income inequality," Economics Working Papers 616, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2002.
- Kraay, Aart & Raddatz, Claudio, 2005.
"Poverty traps, aid, and growth,"
Policy Research Working Paper Series
3631, The World Bank.
- Kraay, Aart & Raddatz, Claudio, 2007. "Poverty traps, aid, and growth," Journal of Development Economics, Elsevier, vol. 82(2), pages 315-347, March.
- Park, Seonyoung & Shin, Donggyun, 2020.
"Recent Changes in the Nature of Distribution Dynamics of US County Incomes,"
Working Paper Series
20926, Victoria University of Wellington, School of Economics and Finance.
- Seonyoung Park & Donggyun Shin, 2023. "Recent changes in the nature of the distribution dynamics of the US county incomes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(7), pages 1048-1067, November.
- Holger Breinlich & Gianmarco I. P. Ottaviano & Jonathan R. W. Temple, 2013.
"Regional Growth and Regional Decline,"
CEP Discussion Papers
dp1232, Centre for Economic Performance, LSE.
- Breinlich, Holger & Ottaviano, Gianmarco I P & Temple, Jonathan R, 2013. "Regional Growth and Regional Decline," Economics Discussion Papers 8977, University of Essex, Department of Economics.
- Breinlich, Holger & Ottaviano, Gianmarco I.P. & Temple, Jonathan R.W., 2014. "Regional Growth and Regional Decline," Handbook of Economic Growth, in: Philippe Aghion & Steven Durlauf (ed.), Handbook of Economic Growth, edition 1, volume 2, chapter 4, pages 683-779, Elsevier.
- Ottaviano, Gianmarco & Temple, Jonathan & Breinlich, Holger, 2013. "Regional Growth and Regional Decline," CEPR Discussion Papers 9568, C.E.P.R. Discussion Papers.
- Breinlich, Holger & Ottaviano, Gianmarco I. P. & Temple, Jonathan R. W., 2013. "Regional growth and regional decline," LSE Research Online Documents on Economics 51575, London School of Economics and Political Science, LSE Library.
- Jørn Rattsø & Hildegunn Stokke, 2014. "Regional Convergence of Income and Education: Investigation of Distribution Dynamics," Urban Studies, Urban Studies Journal Limited, vol. 51(8), pages 1672-1685, June.
- Mr. Marcos d Chamon & Mr. Michael R Kremer, 2006.
"Economic Transformation, Population Growth, and the Long-Run World Income Distribution,"
IMF Working Papers
2006/021, International Monetary Fund.
- Chamon, Marcos & Kremer, Michael, 2009. "Economic transformation, population growth and the long-run world income distribution," Journal of International Economics, Elsevier, vol. 79(1), pages 20-30, September.
- Marcos Chamon & Michael Kremer, 2006. "Economic Transformation, Population Growth and the Long-Run World Income Distribution," NBER Working Papers 12038, National Bureau of Economic Research, Inc.
- Semmler, Willi & Ofori, Marvin, 2007. "On poverty traps, thresholds and take-offs," Structural Change and Economic Dynamics, Elsevier, vol. 18(1), pages 1-26, March.
- Weisbrod, Julian & Vollmer, Sebastian & Holzmann, Hajo, 2007.
"Perspectives on the World Income Distribution: Beyond Twin Peaks Towards Welfare Conclusions,"
Proceedings of the German Development Economics Conference, Göttingen 2007
32, Verein für Socialpolitik, Research Committee Development Economics.
- Hajo Holzmann & Sebastian Vollmer & Julian Weisbrod, 2007. "Perspectives on the World Income Distribution - Beyond Twin Peaks Towards Welfare Conclusions," Ibero America Institute for Econ. Research (IAI) Discussion Papers 158, Ibero-America Institute for Economic Research.
- Strulik, Holger & Vollmer, Sebastian, 2010.
"The Fertility Transition Around the World - 1950-2005,"
Hannover Economic Papers (HEP)
dp-443, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Holger Strulik & Sebastian Vollmer, 2010. "The Fertility Transition Around the World - 1950-2005," PGDA Working Papers 5710, Program on the Global Demography of Aging.
- Strulik, Holger & Vollmer, Sebastian, 2010. "The Fertility Transition Around the World - 1950-2005," Proceedings of the German Development Economics Conference, Hannover 2010 60, Verein für Socialpolitik, Research Committee Development Economics.
- Hildegunn Stokke & Jørn Rattsø, 2011.
"Accumulation of education and regional income growth: Limited human capital effects in Norway,"
ERSA conference papers
ersa11p460, European Regional Science Association.
- Jørn Rattsø & Hildegunn E. Stokke, 2011. "Accumulation of education and regional income growth: Limited human capital effects in Norway," Working Paper Series 11211, Department of Economics, Norwegian University of Science and Technology.
- Chumacero Rómulo A., 2006. "On the Power of Absolute Convergence Tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-25, May.
- William Easterly, 2006. "Reliving the 1950s: the big push, poverty traps, and takeoffs in economic development," Journal of Economic Growth, Springer, vol. 11(4), pages 289-318, December.
- Chih Ming Tan, 2007. "Economic Growth Nonlinearities," Discussion Papers Series, Department of Economics, Tufts University 0701, Department of Economics, Tufts University.
- Hildegunn Stokke & Jörn Rattsö, 2011. "Income convergence, migration and geography: Distribution analysis of regions in Norway," ERSA conference papers ersa10p174, European Regional Science Association.
- Shang-Jin Wei & Ms. Irina Tytell, 2004. "Does Financial Globalization Induce Better Macroeconomic Policies?," IMF Working Papers 2004/084, International Monetary Fund.
- Paul David & Francesco Rullani, 2007.
"Dynamics of Innovation in an “Open Source” Collaboration Environment: Lurking, Laboring and Launching FLOSS Projects on SourceForge,"
Discussion Papers
07-022, Stanford Institute for Economic Policy Research.
- Paul A. David & Francesco Rullani, 2008. "Dynamics of innovation in an “open source” collaboration environment: lurking, laboring, and launching FLOSS projects on SourceForge," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 17(4), pages 647-710, August.
- Steven N. Durlauf & Andros Kourtellos & Chih Ming Tan, 2008.
"Empirics of Growth and Development,"
Chapters, in: Amitava Krishna Dutt & Jaime Ros (ed.), International Handbook of Development Economics, Volumes 1 & 2, volume 0, chapter 3,
Edward Elgar Publishing.
- Durlauf,S.N. & Kourtellos,A. & Tan,C.M., 2005. "Empirics of growth and development," Working papers 16, Wisconsin Madison - Social Systems.
- Steven N. Durlauf & Andros Kourtellos & Chih Ming Tan, 2005. "Empirics of Growth and Development," Discussion Papers Series, Department of Economics, Tufts University 0520, Department of Economics, Tufts University.
- Steven N. Durlauf & Andros Kourtellos & Chih Ming Tan, 2005. "Empirics of growth and Development," University of Cyprus Working Papers in Economics 8-2005, University of Cyprus Department of Economics.
- Roberto Ezcurra & Carlos Gil & Pedro Pascual, 2005. "Regional welfare disparities: the case of the European Union," Applied Economics, Taylor & Francis Journals, vol. 37(12), pages 1423-1437.
- Andrea Mario Lavezzi & Davide Fiaschi, 2004.
"Nonlinear Growth and the Productivity Slowdown,"
Computing in Economics and Finance 2004
162, Society for Computational Economics.
- Davide Fiaschi & Andrea Mario Lavezzi, 2006. "Nonlinear Growth and the Productivity Slowdown," DEGIT Conference Papers c011_012, DEGIT, Dynamics, Economic Growth, and International Trade.
- Mahmoud A. El-Gamal & Deockhyun Ryu, 2013. "Nonstationarity and Stochastic Stability of Relative Income Clubs," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 59(4), pages 756-775, December.
- Fiaschi, Davide & Lavezzi, Andrea Mario, 2007.
"Nonlinear economic growth: Some theory and cross-country evidence,"
Journal of Development Economics, Elsevier, vol. 84(1), pages 271-290, September.
- Davide Fiaschi & Andrea Mario Lavezzi, 2003. "Nonlinear Economic Growth: Some Theory and Cross-Country Evidence," Discussion Papers 2003/14, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
- Graham, Bryan S. & Jonathan Temple, 2002.
"Rich Nations, Poor Nations: How much can multiple equilibria explain?,"
Royal Economic Society Annual Conference 2002
91, Royal Economic Society.
- Bryan S. Graham & Jonathan Temple, 2001. "Rich Nations, Poor Nations: How Much Can Multiple Equilibria Explain?," CID Working Papers 76A, Center for International Development at Harvard University.
- Bryan S. Graham & Jonathan R. W. Temple, 2004. "Rich nations, poor nations: how much can multiple equilibria explain?," The Institute for International Integration Studies Discussion Paper Series iiisdp017, IIIS.
- Temple, Jonathan & Graham, Bryan S, 2001. "Rich Nations, Poor Nations: How Much can Multiple Equilibria Explain?," CEPR Discussion Papers 3046, C.E.P.R. Discussion Papers.
- Bryan Graham & Jonathan Temple, 2006. "Rich Nations, Poor Nations: How Much Can Multiple Equilibria Explain?," Journal of Economic Growth, Springer, vol. 11(1), pages 5-41, March.
- Xavier Sala-i-Martin, 2006. "The World Distribution of Income: Falling Poverty and … Convergence, Period," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 121(2), pages 351-397.
- Aldy, Joseph, 2005.
"Per Capita Carbon Dioxide Emissions: Convergence or Divergence?,"
RFF Working Paper Series
dp-05-53, Resources for the Future.
- Aldy, Joseph E., 2005. "Per Capita Carbon Dioxide Emissions: Convergence or Divergence?," Discussion Papers 10773, Resources for the Future.
- Joseph Aldy, 2006. "Per Capita Carbon Dioxide Emissions: Convergence or Divergence?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 33(4), pages 533-555, April.
- Aldy, Joseph, 2006.
"Divergence in State-Level Per Capita Carbon Dioxide Emissions,"
RFF Working Paper Series
dp-06-07, Resources for the Future.
- Joseph E. Aldy, 2007. "Divergence in State-Level Per Capita Carbon Dioxide Emissions," Land Economics, University of Wisconsin Press, vol. 83(3), pages 353-369.
- Rappaport, Jordan, 2006.
"A bottleneck capital model of development,"
Journal of Monetary Economics, Elsevier, vol. 53(8), pages 2113-2129, November.
- Jordan Rappaport, 2001. "A bottleneck capital model of development," Research Working Paper RWP 01-10, Federal Reserve Bank of Kansas City.
- Gordon Anderson, 2004. "Making inferences about the polarization, welfare and poverty of nations: a study of 101 countries 1970-1995," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(5), pages 537-550.
- Paul Beaudry & Fabrice Collard, 2004.
"Globalization, Returns to Accumulationa and the World Distribution of Output,"
NBER Working Papers
10565, National Bureau of Economic Research, Inc.
- Beaudry, Paul & Collard, Fabrice, 2006. "Globalization, returns to accumulation and the world distribution of output," Journal of Monetary Economics, Elsevier, vol. 53(5), pages 879-909, July.
- Michał Kruszka & Marcin Puziak, 2010. "Convergence and Distributions of Income in Large European Economies," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 4(4), December.
- Holger Strulik & Sebastian Vollmer, 2015. "The fertility transition around the world," Journal of Population Economics, Springer;European Society for Population Economics, vol. 28(1), pages 31-44, January.
- Roberto Ezcurra & Carlos Gil & Pedro Pascual & Manuel Rapun, 2005. "Inequality, Polarisation and Regional Mobility in the European Union," Urban Studies, Urban Studies Journal Limited, vol. 42(7), pages 1057-1076, June.
- Roberto Ezcurra & Carlos Gil & Manuel Rapún, 2004.
"Regional Specialization In The European Union,"
Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra
0404, Departamento de Economía - Universidad Pública de Navarra.
- Roberto Ezcurra & Pedro Pascual & Manuel Rapun, 2006. "Regional Specialization in the European Union," Regional Studies, Taylor & Francis Journals, vol. 40(6), pages 601-616.
- Arribas Fernández Iván & Pérez García Francisco & Tortosa-Ausina Emili, 2008.
"On the Dynamics of Globalization,"
Working Papers
201088, Fundacion BBVA / BBVA Foundation.
- Arribas, Iván & Pérez, Francisco & Tortosa-Ausina, Emili, 2008. "On the Dynamics of Globalization," MPRA Paper 16007, University Library of Munich, Germany, revised 2008.
- Verner, Dorte & Tebaldi, Edinaldo, 2004. "Convergence, dynamics, and geography of economic growth : The case of municipalities in Rio Grande do Norte, Brazil," Policy Research Working Paper Series 3302, The World Bank.
- Xavier Sala-i-Martin, 2002.
"15 Years of New Growth Economics: What Have We Learnt?,"
Working Papers Central Bank of Chile
172, Central Bank of Chile.
- Xavier Sala-i-Martin, 2001. "15 years of new growth economics: What have we learnt?," Economics Working Papers 620, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2002.
- Xavier Sala-i-Martin, 2002. "15 Years of New Growth Economics : What Have we Learnt?," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 5(2), pages 5-15, August.
- Uwe Cantner & Bernd Ebersberger & Horst Hanusch & Jens J. Krüger & Andreas Pyka, 2004.
"The Twin Peaks in National Income. Parametric and Nonparametric Estimates,"
Revue économique, Presses de Sciences-Po, vol. 55(6), pages 1127-1144.
- Krüger, Jens & Cantner, Uwe & Ebersberger, Bernd & Hanusch, Horst & Pyka, Andreas, 2004. "Twin Peaks in National Income: Parametric and Nonparametric Estimates," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 34382, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Ms. Irina Dolinskaya & Ms. Irina Tytell, 2002. "Transition and Regional Inequality in Russia: Reorganization or Procrastination?," IMF Working Papers 2002/169, International Monetary Fund.
- Buera, Francisco & Primiceri, Giorgio & Monge-Naranjo, Alexander, 2010.
"Learning the Wealth of Nations,"
CEPR Discussion Papers
8030, C.E.P.R. Discussion Papers.
- Francisco J. Buera & Alexander Monge-Naranjo & Giorgio E. Primiceri, 2008. "Learning the Wealth of Nations," NBER Working Papers 14595, National Bureau of Economic Research, Inc.
- Francisco J. Buera & Alexander Monge‐Naranjo & Giorgio E. Primiceri, 2011. "Learning the Wealth of Nations," Econometrica, Econometric Society, vol. 79(1), pages 1-45, January.
- Giorgio Primiceri & Alexander Monge-Naranjo & Francisco Buera, 2008. "Learning the Wealth of Nations," 2008 Meeting Papers 179, Society for Economic Dynamics.
- Fabrizio Coricelli & Zorobabel Bicaba, 2015.
"Learning to open up: Capital account liberalizations in the post-Bretton Woods era,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-01267264, HAL.
- Coricelli, Fabrizio & Bicaba, Zorobabel T., 2015. "Learning to open up: Capital account liberalizations in the post-Bretton Woods era," CEPR Discussion Papers 10389, C.E.P.R. Discussion Papers.
- Fabrizio Coricelli & Zorobabel Bicaba, 2015. "Learning to open up: Capital account liberalizations in the post-Bretton Woods era," Working Papers halshs-01267264, HAL.
- Peter J. Klenow & Andres Rodriguez-Clare, 2004.
"Externalities and Growth,"
NBER Working Papers
11009, National Bureau of Economic Research, Inc.
- Klenow, Peter J. & Rodriguez-Clare, Andres, 2005. "Externalities and Growth," Handbook of Economic Growth, in: Philippe Aghion & Steven Durlauf (ed.), Handbook of Economic Growth, edition 1, volume 1, chapter 11, pages 817-861, Elsevier.
- Richard Startz, 2020. "The next hundred years of growth and convergence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 99-113, January.
- M. Herrerías, 2012. "Weighted convergence and regional growth in China: an alternative approach (1952–2008)," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 49(3), pages 685-718, December.
- Deockhyun Ryu & Mahmoud A. El-Gamal, 2004. "Convergence Hypotheses are Ill-Posed:Non-stationarity of Cross-Country Income Distribution D," Econometric Society 2004 Far Eastern Meetings 576, Econometric Society.
- Marcel Fafchamps & Klaus Desmet & Universidad Carlos III de Madrid and CEPR, 2003.
"Employment Concentration across US Counties,"
Economics Series Working Papers
180, University of Oxford, Department of Economics.
- Desmet, Klaus & Fafchamps, Marcel, 2006. "Employment concentration across U.S. counties," Regional Science and Urban Economics, Elsevier, vol. 36(4), pages 482-509, July.
- Fafchamps, Marcel & Desmet, Klaus, 2004. "Employment Concentration Across US Counties," CEPR Discussion Papers 4689, C.E.P.R. Discussion Papers.
- Iván Arribas & Francisco Pérez & Emili Tortosa-Ausina, 2014. "The dynamics of international trade integration: 1967–2004," Empirical Economics, Springer, vol. 46(1), pages 19-41, February.
- Feyrer James D, 2008. "Convergence by Parts," The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-35, July.
- Im, Fernando Gabriel & Rosenblatt, David, 2013.
"Middle-income traps : a conceptual and empirical survey,"
Policy Research Working Paper Series
6594, The World Bank.
- Fernando Gabriel Im & David Rosenblatt, 2015. "Middle-Income Traps: A Conceptual and Empirical Survey," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-39.
- Jesús Peiró-Palomino & Emili Tortosa-Ausina, 2014. "On the sources of European regional convergence: Does social capital have an economic payoff?," Working Papers 2014/16, Economics Department, Universitat Jaume I, Castellón (Spain).
- Roberto Ezcurra & Pedro Pascual & Manuel Rapún, 2005. "Territorial Mobility: A Measuring Proposal," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 0504, Departamento de Economía - Universidad Pública de Navarra.
- Maxim Pinkovskiy & Xavier Sala-i-Martin, 2009. "Parametric Estimations of the World Distribution of Income," NBER Working Papers 15433, National Bureau of Economic Research, Inc.
- J�rn Ratts� & Hildegunn E. Stokke, 2014. "Population Divergence and Income Convergence: Regional Distribution Dynamics for Norway," Regional Studies, Taylor & Francis Journals, vol. 48(11), pages 1884-1895, November.
- José V. Gallegos & Gaston Yalonetzky, 2014. "Robust ``pro-poorest'' poverty reduction with counting measures: the non-anonymous case," Working Papers 351, ECINEQ, Society for the Study of Economic Inequality.
- Xavier Sala-i-Martin, 2002.
"The world distribution of income (estimated from individual country distributions),"
Economics Working Papers
615, Department of Economics and Business, Universitat Pompeu Fabra, revised May 2002.
- Xavier Sala-i-Martin, 2002. "The World Distribution of Income (estimated from Individual Country Distributions)," NBER Working Papers 8933, National Bureau of Economic Research, Inc.
- Mark Rogers, 2003. "A Survey of Economic Growth," The Economic Record, The Economic Society of Australia, vol. 79(244), pages 112-135, March.
- Mr. James M. Boughton, 2005. "Does the World Need a Universal Financial Institution?," IMF Working Papers 2005/116, International Monetary Fund.
- Hajo Holzmann & Sebastian Vollmer & Julian Weisbrod, 2007. "Income Distribution Dynamics and Pro-Poor Growth in the World from 1970 to 2003," Ibero America Institute for Econ. Research (IAI) Discussion Papers 161, Ibero-America Institute for Economic Research.
- Alexei Onatski, 2000.
"Minimax Analysis of Monetary Policy Under Model Uncertainty,"
Econometric Society World Congress 2000 Contributed Papers
1818, Econometric Society.
Cited by:
- Glenn Rudebusch, 2000.
"Assessing Nominal Income Rules for Monetary Policy with Model and Data Uncertainty,"
Econometric Society World Congress 2000 Contributed Papers
0065, Econometric Society.
- Rudebusch, Glenn D., 2000. "Assessing nominal income rules for monetary policy with model and data uncertainty," Working Paper Series 14, European Central Bank.
- Glenn D. Rudebusch, 2002. "Assessing Nominal Income Rules for Monetary Policy with Model and Data Uncertainty," Economic Journal, Royal Economic Society, vol. 112(479), pages 402-432, April.
- Glenn D. Rudebusch, 2000. "Assessing nominal income rules for monetary policy with model and data uncertainty," Working Paper Series 2000-03, Federal Reserve Bank of San Francisco.
- Castelnuovo, Efrem & Paolo Surico, 2003. "Why are Federal Funds Rates so Smooth?," Royal Economic Society Annual Conference 2003 39, Royal Economic Society.
- Stefano Eusepi, 2004. "Does Central Bank Transparency Matter for Economic Stability," Computing in Economics and Finance 2004 176, Society for Computational Economics.
- Adam, Klaus, 2004.
"On the relation between robust and Bayesian decision making,"
Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2105-2117, September.
- Adam, Klaus, 2003. "On the Relation between Robust and Bayesian Decision Making," CFS Working Paper Series 2003/02, Center for Financial Studies (CFS).
- Klaus Adam, 2001. "On the Relation between Robust and Bayesian Decision Making," CSEF Working Papers 68, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Glenn Rudebusch, 2000.
"Assessing Nominal Income Rules for Monetary Policy with Model and Data Uncertainty,"
Econometric Society World Congress 2000 Contributed Papers
0065, Econometric Society.
- Alexei Onatski & James H. Stock, 2000.
"Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy,"
NBER Working Papers
7490, National Bureau of Economic Research, Inc.
- Alexei Onatski & James H. Stock, 1999. "Robust monetary policy under model uncertainty in a small model of the U.S. economy," Proceedings, Federal Reserve Bank of San Francisco.
- Onatski, Alexei & Stock, James H., 2002. "Robust Monetary Policy Under Model Uncertainty In A Small Model Of The U.S. Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 6(1), pages 85-110, February.
Cited by:
- Levin, Andrew T. & Williams, John C., 2003.
"Robust monetary policy with competing reference models,"
Journal of Monetary Economics, Elsevier, vol. 50(5), pages 945-975, July.
- Andrew T. Levin & John C. Williams, 2003. "Robust monetary policy with competing reference models," Working Paper Series 2003-10, Federal Reserve Bank of San Francisco.
- John C. Williams & Andrew T. Levin, 2003. "Robust Monetary Policy with Competing Reference Models," Computing in Economics and Finance 2003 291, Society for Computational Economics.
- Andrew Levin & John C. Williams, 2000.
"The Performance of Forecast-Based Monetary Policy Rules under Model Uncertainty,"
Econometric Society World Congress 2000 Contributed Papers
1781, Econometric Society.
- Levin, Andrew T. & Wieland, Volker & Williams, John C., 2001. "The performance of forecast-based monetary policy rules under model uncertainty," Working Paper Series 68, European Central Bank.
- Andrew Levin & Volker Wieland & John Williams, 2000. "The Performance Of Forecast-Based Monetary Policy Rules Under Model Uncertainty," Computing in Economics and Finance 2000 203, Society for Computational Economics.
- Levin, Andrew & Wieland, Volker & Williams, John C., 2003. "The performance of forecast-based monetary policy rules under model uncertainty," CFS Working Paper Series 2003/06, Center for Financial Studies (CFS).
- Andrew Levin & Volker Wieland & John C. Williams, 2003. "The Performance of Forecast-Based Monetary Policy Rules Under Model Uncertainty," American Economic Review, American Economic Association, vol. 93(3), pages 622-645, June.
- Andrew T. Levin & Volker W. Wieland & John C. Williams, 2001. "The performance of forecast-based monetary policy rules under model uncertainty," Finance and Economics Discussion Series 2001-39, Board of Governors of the Federal Reserve System (U.S.).
- Dai, Meixing & Spyromitros, Eleftherios, 2012. "Inflation contract, central bank transparency and model uncertainty," Economic Modelling, Elsevier, vol. 29(6), pages 2371-2381.
- Marc P. Giannoni, 2007. "Robust optimal monetary policy in a forward-looking model with parameter and shock uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 179-213.
- Richard Dennis, 2007.
"Model uncertainty and monetary policy,"
Working Paper Series
2007-09, Federal Reserve Bank of San Francisco.
- Richard Dennis, 2009. "Model uncertainty and monetary policy," CAMA Working Papers 2009-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Richard Dennis, 2008. "Model Uncertainty and Monetary Policy," NCER Working Paper Series 30, National Centre for Econometric Research.
- Walsh, Carl E., 2004.
"Implications of a Changing Economic Structure for the Strategy of Monetary Policy,"
Santa Cruz Department of Economics, Working Paper Series
qt84g1q1g6, Department of Economics, UC Santa Cruz.
- Carl E. Walsh, 2003. "Implications of a changing economic structure for the strategy of monetary policy," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 297-348.
- Walsh, Carl E., 2004. "Implications of a Changing Economic Structure for the Strategy of Monetary Policy," Santa Cruz Center for International Economics, Working Paper Series qt84g1q1g6, Center for International Economics, UC Santa Cruz.
- Eilev S. Jansen, 2004.
"Modelling inflation in the Euro Area,"
Working Paper
2004/10, Norges Bank.
- Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper Series 4104, Department of Economics, Norwegian University of Science and Technology, revised 01 Jun 2004.
- Jansen, Eilev S., 2004. "Modelling inflation in the euro area," Working Paper Series 322, European Central Bank.
- Marco Del Negro & Frank Schorfheide, 2009.
"Monetary Policy Analysis with Potentially Misspecified Models,"
American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
- Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," Working Papers 06-4, Federal Reserve Bank of Philadelphia.
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," FRB Atlanta Working Paper 2005-26, Federal Reserve Bank of Atlanta.
- Marco Del Negro & Frank Schorfheide, 2007. "Monetary Policy Analysis with Potentially Misspecified Models," NBER Working Papers 13099, National Bureau of Economic Research, Inc.
- Marco Del Negro & Frank Schorfheide, 2008. "Monetary policy analysis with potentially misspecified models," Staff Reports 321, Federal Reserve Bank of New York.
- Klaus Schmidt-Hebbel & Carl E. Walsh, 2009.
"Monetary Policy under Uncertainty and Learning: An Overview,"
Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 1, pages 001-025,
Central Bank of Chile.
- Klaus Schmidt-Hebbel & Carl E. Walsh, 2008. "Monetary Policy Under Uncertainty and Learning: An Overview," Working Papers Central Bank of Chile 509, Central Bank of Chile.
- Klaus Schmidt-Hebbel D. & Carl E. Walsh., 2008. "Monetary Policy Under Uncertainty and Learning: An Overview," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(3), pages 5-19, December.
- Lars E.O. Svensson, 2002.
"What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules,"
Working Papers
118, Princeton University, Department of Economics, Center for Economic Policy Studies..
- Lars E. O. Svensson, 2003. "What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 426-477, June.
- Lars E. O. Svensson, 2003. "What is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules," NBER Working Papers 9421, National Bureau of Economic Research, Inc.
- Favero, Carlo A. & Milani, Fabio, 2005.
"Parameter Instability, Model Uncertainty and the Choice of Monetary Policy,"
CEPR Discussion Papers
4909, C.E.P.R. Discussion Papers.
- Favero Carlo A. & Milani Fabio, 2005. "Parameter Instability, Model Uncertainty and the Choice of Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 5(1), pages 1-33, February.
- Billi, Roberto M., 2004.
"The optimal inflation buffer with a zero bound on nominal interest rates,"
CFS Working Paper Series
2005/17, Center for Financial Studies (CFS).
- Roberto M. Billi, 2011. "Optimal Inflation for the US Economy," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(3), pages 29-52, July.
- Roberto M. Billi, 2007. "Optimal inflation for the U.S," Research Working Paper RWP 07-03, Federal Reserve Bank of Kansas City.
- Roberto M. Billi, 2005. "The Optimal Inflation Buffer with a Zero Bound on Nominal Interest Rates," Computing in Economics and Finance 2005 25, Society for Computational Economics.
- Francesca Rondina, 2010.
"Policy Evaluation and Uncertainty About the Effects of Oil Prices on Economic Activity,"
Working Papers
522, Barcelona School of Economics.
- Francesca Rondina, 2010. "Policy evaluation and uncertainty about the effects of oil prices on economic activity," UFAE and IAE Working Papers 855.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Bohdan Kłos, 2003. "Rules of Percentage Rate in Conditions of Uncertainty," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 9.
- Ramón Adalid & Günter Coenen & Peter McAdam & Stefano Siviero, 2005.
"The Performance and Robustness of Interest-Rate Rules in Models of the Euro Area,"
International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
- Adalid, Ramón & Coenen, Günter & McAdam, Peter & Siviero, Stefano, 2005. "The performance and robustness of interest-rate rules in models of the euro area," Working Paper Series 479, European Central Bank.
- Adalid, Ramon & Coenen, Gunter & McAdam, Peter & Siviero, Stefano, 2005. "The Performance and Robustness of Interest-Rate Rules in Models of the Euro Area," MPRA Paper 821, University Library of Munich, Germany.
- William A. Brock & Steven N. Durlauf & James M. Nason & Giacomo Rondina, 2007.
"Simple versus optimal rules as guides to policy,"
FRB Atlanta Working Paper
2007-07, Federal Reserve Bank of Atlanta.
- Brock, William A. & Durlauf, Steven N. & Nason, James M. & Rondina, Giacomo, 2007. "Simple versus optimal rules as guides to policy," Journal of Monetary Economics, Elsevier, vol. 54(5), pages 1372-1396, July.
- Miguel Casares, 2006. "A close look at model-dependent monetary policy design," Review, Federal Reserve Bank of St. Louis, vol. 88(Sep), pages 451-470.
- Oros, Cornel & Zimmer, Blandine, 2020. "Budget uncertainty in a monetary union," European Journal of Political Economy, Elsevier, vol. 63(C).
- Kai Leitemo & Ulf Söderstrom, 2005.
"Robust Monetary Policy in a Small Open Economy,"
Working Papers
290, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Leitemo, Kai & Söderström, Ulf, 2008. "Robust monetary policy in a small open economy," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3218-3252, October.
- Leitemo, Kai & Söderström, Ulf, 2005. "Robust monetary policy in a small open economy," Bank of Finland Research Discussion Papers 20/2005, Bank of Finland.
- Söderström, Ulf & Leitemo, Kai, 2005. "Robust Monetary Policy in a Small Open Economy," CEPR Discussion Papers 5071, C.E.P.R. Discussion Papers.
- Marine Charlotte André & Meixing Dai, 2016.
"Learning, robust monetray policy and the merit of precaution,"
Working Papers of BETA
2016-54, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Marine Charlotte André & Meixing Dai, 2018. "Learning, robust monetary policy and the merit of precaution," Post-Print hal-03030047, HAL.
- André Marine Charlotte & Dai Meixing, 2018. "Learning, robust monetary policy and the merit of precaution," The B.E. Journal of Macroeconomics, De Gruyter, vol. 18(2), pages 1-20, June.
- Onatski, Alexei, 2006. "Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 323-345, February.
- William A. Brock & Steven N. Durlauf & Kenneth D. West, 2003.
"Policy Evaluation in Uncertain Economic Environments,"
NBER Working Papers
10025, National Bureau of Economic Research, Inc.
- William A. Brock & Steven N. Durlauf & Kenneth D. West, 2003. "Policy Evaluation in Uncertain Economic Environments," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 235-322.
- Brock,W.A. & Durlauf,S.N. & West,K.D., 2003. "Policy evaluation in uncertain economic environments," Working papers 15, Wisconsin Madison - Social Systems.
- Lieven Baele & et al., 2012.
"Macroeconomic Regimes,"
Faculty Working Papers
03/12, School of Economics and Business Administration, University of Navarra.
- Baele, Lieven & Bekaert, Geert & Cho, Seonghoon & Inghelbrecht, Koen & Moreno, Antonio, 2015. "Macroeconomic regimes," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 51-71.
- Seonghoon Cho & Koen Inghelbrecht & Geert Bekaert & Antonio Moreno & Lieven Baele, 2011. "Macroeconomic Regimes," 2011 Meeting Papers 817, Society for Economic Dynamics.
- Lieven Baele & Geert Bekaert & Seonghoon Cho & Koen Inghelbrecht & Antonio Moreno, 2011. "Macroeconomic Regimes," NBER Working Papers 17090, National Bureau of Economic Research, Inc.
- L. Baele & G. Bekaert & S. Cho & K. Inghelbrecht & A. Moreno, 2013. "Macroeconomic Regimes," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 13/870, Ghent University, Faculty of Economics and Business Administration.
- Arabinda Basistha & Richard Startz, 2005.
"Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach,"
Computing in Economics and Finance 2005
46, Society for Computational Economics.
- Arabinda Basistha & Richard Startz, 2004. "Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach," Working Papers UWEC-2004-22, University of Washington, Department of Economics.
- Glenn D. Rudebusch, 1999.
"Is the Fed too timid? Monetary policy in an uncertain world,"
Working Papers in Applied Economic Theory
99-05, Federal Reserve Bank of San Francisco.
- Glenn D. Rudebusch, 2001. "Is The Fed Too Timid? Monetary Policy In An Uncertain World," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 203-217, May.
- Fabio Milani, 2004.
"Monetary Policy with a Wider Information Set: a Bayesian Model Averaging Approach,"
Macroeconomics
0401004, University Library of Munich, Germany.
- Fabio Milani, 2008. "Monetary Policy With A Wider Information Set: A Bayesian Model Averaging Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(1), pages 1-30, February.
- Camilla Lupiani, 2024. "Taylor Rule and Shadow Rates: theory and empirical analysis," BAFFI CAREFIN Working Papers 24218, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Robert Tetlow & Peter von zur Muehlen, 2004.
"Avoiding Nash Inflation: Bayesian and Robus Responses to Model Uncertainty,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(4), pages 869-899, October.
- Robert J. Tetlow & Peter Von zur Muehlen, 2002. "Avoiding Nash inflation: Bayesian and robust responses to model uncertainty," Finance and Economics Discussion Series 2002-9, Board of Governors of the Federal Reserve System (U.S.).
- Robert J. Tetlow & Peter Von zur Muehlen, 2003. "Avoiding Nash Inflation : Bayesian and Robust Responses to Model Uncertainty," Finance and Economics Discussion Series 2002-09, Board of Governors of the Federal Reserve System (U.S.).
- Tetlow, Robert J. & von zur Muehlen, Peter, 2006.
"Robustifying learnability,"
Working Paper Series
593, European Central Bank.
- Robert J. Tetlow & Peter von zur Muehlen, 2006. "Robustifying Learnability," 2006 Meeting Papers 439, Society for Economic Dynamics.
- Peter von zur Muehlen & Robert J. Tetlow, 2005. "Robustifying Learnability," Computing in Economics and Finance 2005 437, Society for Computational Economics.
- Robert J. Tetlow & Peter Von zur Muehlen, 2005. "Robustifying learnability," Finance and Economics Discussion Series 2005-58, Board of Governors of the Federal Reserve System (U.S.).
- Tetlow, Robert J. & von zur Muehlen, Peter, 2009. "Robustifying learnability," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 296-316, February.
- Andrew T. Levin & Alexei Onatski & John Williams & Noah M. Williams, 2006.
"Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models,"
NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 229-312,
National Bureau of Economic Research, Inc.
- Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Working Papers 11523, National Bureau of Economic Research, Inc.
- Noah Williams & Andrew Levin & Alexei Onatski, 2005. "Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models," Computing in Economics and Finance 2005 478, Society for Computational Economics.
- Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary policy under uncertainty in micro-founded macroeconometric models," Working Paper Series 2005-15, Federal Reserve Bank of San Francisco.
- Amélie Barbier-Gauchard & Meixing Dai & Claire Mainguy & Jamel Saadaoui & Moïse Sidiropoulos & Isabelle Terraz & Jamel Trabelsi, 2021.
"Towards a more resilient European Union after the COVID-19 crisis,"
Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(2), pages 321-348, June.
- Amélie Barbier-Gauchard & Meixing Dai & Claire Mainguy & Jamel Saadaoui & Moïse Sidiropoulos & Isabelle Terraz & Jamel Trabelsi, 2020. "Towards a more resilient European Union after the COVID-19 crisis," Working Papers of BETA 2020-33, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Amélie Barbier-Gauchard & Meixing Dai & Claire Mainguy & Jamel Saadaoui & Moïse Sidiropoulos & Isabelle Terraz & Jamel Trabelsi, 2021. "Towards a more resilient European Union after the COVID-19 crisis," Post-Print hal-03196689, HAL.
- Gavin, William T. & Keen, Benjamin D. & Pakko, Michael R., 2009.
"Inflation Risk And Optimal Monetary Policy,"
Macroeconomic Dynamics, Cambridge University Press, vol. 13(S1), pages 58-75, May.
- William T. Gavin & Benjamin D. Keen & Michael R. Pakko, 2007. "Inflation risk and optimal monetary policy," Working Papers 2006-035, Federal Reserve Bank of St. Louis.
- Eric T. Swanson, 2000.
"On signal extraction and non-certainty-equivalence in optimal monetary policy rules,"
Proceedings, Federal Reserve Bank of San Francisco.
- Swanson, Eric T., 2004. "Signal Extraction And Non-Certainty-Equivalence In Optimal Monetary Policy Rules," Macroeconomic Dynamics, Cambridge University Press, vol. 8(1), pages 27-50, February.
- Eric Swanson, 2000. "On Signal Extraction and Non-Certainty-Equivalence in Optimal Monetary Policy Rules," Econometric Society World Congress 2000 Contributed Papers 1085, Econometric Society.
- Eric T. Swanson, 2000. "On signal extraction and non-certainty-equivalence in optimal monetary policy rules," Finance and Economics Discussion Series 2000-32, Board of Governors of the Federal Reserve System (U.S.).
- Shin-ichi Fukuda, 2012.
"Infrequent Changes of the Policy Target: Robust Optimal Monetary Policy under Ambiguity,"
CIRJE F-Series
CIRJE-F-863, CIRJE, Faculty of Economics, University of Tokyo.
- Shin-ichi Fukuda, 2012. "Infrequent Changes of the Policy Target: Robust Optimal Monetary Policy under Ambiguity," CARF F-Series CARF-F-295, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Shin-Ichi Fukuda, 2012. "Infrequent Changes Of The Policy Target: Robust Optimal Monetary Policy Under Ambiguity," Global Journal of Economics (GJE), World Scientific Publishing Co. Pte. Ltd., vol. 1(02), pages 1-27.
- Alexei Onatski & Noah Williams, 2003.
"Modeling Model Uncertainty,"
Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1087-1122, September.
- Onatski, Alexei & Williams, Noah, 2002. "Modeling model uncertainty," Working Paper Series 169, European Central Bank.
- Alexei Onatski & Noah Williams, 2003. "Modeling Model Uncertainty," NBER Working Papers 9566, National Bureau of Economic Research, Inc.
- Lars E.O. Svensson, 1999.
"Price Stability as a Target for Monetary Policy: Defining and Maintaining Price Stability,"
NBER Working Papers
7276, National Bureau of Economic Research, Inc.
- Sevensson, L.E.O., 1999. "Price Stability as a Target for Monetary Policy: Defining and Maintaining Price Stability," Papers 673, Stockholm - International Economic Studies.
- Svensson, Lars E O, 1999. "Price Stability as a Target for Monetary Policy: Defining and Maintaining Price Stability," CEPR Discussion Papers 2196, C.E.P.R. Discussion Papers.
- Svensson, Lars, 1999. "Price Stability as a Target for Monetary Policy: Defining and Maintaining Price Stability," Seminar Papers 673, Stockholm University, Institute for International Economic Studies.
- Lars E. O. Svensson, 2001. "Price Stability as a Target for Monetary Policy: Defining and Maintaining Price Stability," Palgrave Macmillan Books, in: Deutsche Bundesbank (ed.), The Monetary Transmission Process, chapter 2, pages 60-111, Palgrave Macmillan.
- Svensson, Lars E. O., 1999. "Price Stability as a Target for Monetary Policy: Defining and Maintaining Price Stability," Working Paper Series 91, Sveriges Riksbank (Central Bank of Sweden).
- Paul Levine & Peter McAdam & Joseph Pearlman, 2007.
"Inflation-Forecast-Based Rules and Indeterminacy: A Puzzle and a Resolution,"
International Journal of Central Banking, International Journal of Central Banking, vol. 3(4), pages 77-110, December.
- McAdam, Peter & Levine, Paul & Pearlman, Joseph G., 2006. "Inflation forecast-based-rules and indeterminacy: a puzzle and a resolution," Working Paper Series 643, European Central Bank.
- Ekaterina Pirozhkova, 2017. "Financial frictions and robust monetary policy in the models of New Keynesian framework," BCAM Working Papers 1701, Birkbeck Centre for Applied Macroeconomics.
- Mésonnier, J-S. & Renne, J-P., 2004. "A Time-Varying Natural Rate for the Euro Area," Working papers 115, Banque de France.
- Brock,W.A. & Durlauf,S.N. & West,K.D., 2004.
"Model uncertainty and policy evaluation : some theory and empirics,"
Working papers
19, Wisconsin Madison - Social Systems.
- William A. Brock & Steven N. Durlauf & Kenneth D. West, 2005. "Model uncertainty and policy evaluation: some theory and empirics," Proceedings, Federal Reserve Bank of San Francisco.
- William A. Brock & Steven N. Durlauf & Kenneth D. West, 2004. "Model Uncertainty and Policy Evaluation: Some Theory and Empirics," NBER Working Papers 10916, National Bureau of Economic Research, Inc.
- Brock, William A. & Durlauf, Steven N. & West, Kenneth D., 2007. "Model uncertainty and policy evaluation: Some theory and empirics," Journal of Econometrics, Elsevier, vol. 136(2), pages 629-664, February.
- van der Ploeg, Frederick, 2004. "Prudent Monetary Policy: Applications of Cautious LQG Control and Prediction," CEPR Discussion Papers 4222, C.E.P.R. Discussion Papers.
- Söderström, Ulf, 1999.
"Monetary policy with uncertain parameters,"
Working Paper Series
83, Sveriges Riksbank (Central Bank of Sweden).
- Ulf Söderström, 2002. "Monetary Policy with Uncertain Parameters," Scandinavian Journal of Economics, Wiley Blackwell, vol. 104(1), pages 125-145, March.
- Söderström, Ulf, 1999. "Monetary policy with uncertain parameters," SSE/EFI Working Paper Series in Economics and Finance 308, Stockholm School of Economics.
- Söderström, Ulf, 2000. "Monetary policy with uncertain parameters," Working Paper Series 13, European Central Bank.
- Li Qin & Moïse SIDIROPOULOS & Eleftherios Spyromitros, 2009.
"Robust Monetary Policy under Model Uncertainty and Inflation Persistence,"
Working Papers of BETA
2009-09, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Qin, Li & Sidiropoulos, Moïse & Spyromitros, Eleftherios, 2013. "Robust monetary policy under model uncertainty and inflation persistence," Economic Modelling, Elsevier, vol. 30(C), pages 721-728.
- Li Qin & Moïse Sidiropoulos & Eleftherios Spyromitros, 2013. "Robust monetary policy under model uncertainty and inflation persistence," Post-Print hal-03692269, HAL.
- Kilponen, Juha, 2004.
"Robust expectations and uncertain models: a robust contol approach with application to the new Keynesian economy,"
Bank of Finland Research Discussion Papers
5/2004, Bank of Finland.
- Juha Kilponen, 2004. "Robust expectations and uncertain models – A robust control approach with application to the New Keynesian economy," GE, Growth, Math methods 0404004, University Library of Munich, Germany.
- Gadi Barlevy, 2011.
"Robustness and Macroeconomic Policy,"
Annual Review of Economics, Annual Reviews, vol. 3(1), pages 1-24, September.
- Gadi Barlevy, 2010. "Robustness and macroeconomic policy," Working Paper Series WP-2010-04, Federal Reserve Bank of Chicago.
- Adam Cagliarini & Alexandra Heath, 2000. "Monetary Policy-making in the Presence of Knightian Uncertainty," RBA Research Discussion Papers rdp2000-10, Reserve Bank of Australia.
- Gino Cateau, 2005. "Monetary Policy under Model and Data-Parameter Uncertainty," Staff Working Papers 05-6, Bank of Canada.
- Coenen, Gunter, 2007.
"Inflation persistence and robust monetary policy design,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 111-140, January.
- Coenen, Günter, 2003. "Inflation persistence and robust monetary policy design," Working Paper Series 290, European Central Bank.
- Hansen, Lars Peter & Sargent, Thomas J., 2003. "Robust control of forward-looking models," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 581-604, April.
- Juha Kilponen, 2004.
"A positive theory of monetary policy and robust control,"
Macroeconomics
0404036, University Library of Munich, Germany.
- Juha Kilponen, 2004. "A positive theory of monetary policy and robust control," Macroeconomics 0404014, University Library of Munich, Germany.
- Kilponen, Juha, 2003. "A Positive theory of monetary policy and robust control," Bank of Finland Research Discussion Papers 18/2003, Bank of Finland.
- Michael Paetz, 2007. "Robust Control and Persistence in the New Keynesian Economy," Quantitative Macroeconomics Working Papers 20711, Hamburg University, Department of Economics.
- Marco P. Tucci, 2009. "How Robust is Robust Control in the Time Domain?," Department of Economics University of Siena 569, Department of Economics, University of Siena.
- Sargent, Thomas & Ellison, Martin, 2009.
"A defence of the FOMC,"
CEPR Discussion Papers
7510, C.E.P.R. Discussion Papers.
- Martin Ellison & Thomas J. Sargent, 2012. "A Defense Of The Fomc," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(4), pages 1047-1065, November.
- Martin Ellison & Thomas J. Sargent, 2009. "A defence of the FOMC," Economics Series Working Papers 457, University of Oxford, Department of Economics.
- Chahrour, Ryan & Svec, Justin, 2014.
"Optimal capital taxation and consumer uncertainty,"
Journal of Macroeconomics, Elsevier, vol. 41(C), pages 178-198.
- Ryan Chahrour & Justin Svec, 2014. "Optimal Capital Taxation and Consumer Uncertainty," Boston College Working Papers in Economics 854, Boston College Department of Economics.
- Justin Svec & Ryan Chahrour, 2011. "Optimal Capital Taxation and Consumer Uncertainty," Working Papers 1108, College of the Holy Cross, Department of Economics.
- Epstein, Larry G. & Schneider, Martin, 2003.
"Recursive multiple-priors,"
Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
- Larry G. Epstein & Martin Schneider, 2001. "Recursive Multiple-Priors," RCER Working Papers 485, University of Rochester - Center for Economic Research (RCER).
- Altavilla, Carlo & Ciccarelli, Matteo, 2009.
"The effects of monetary policy on unemployment dynamics under model uncertainty: evidence from the US and the euro area,"
Working Paper Series
1089, European Central Bank.
- Carlo Altavilla & Matteo Ciccarelli, 2009. "The Effects of Monetary Policy on Unemployment Dynamics Under Model Uncertainty. Evidence from the US and the Euro Area," CSEF Working Papers 231, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Carlo Altavilla & Matteo Ciccarelli, 2009. "The Effects of Monetary Policy on Unemployment Dynamics under Model Uncertainty - Evidence from the US and the Euro Area," CESifo Working Paper Series 2575, CESifo.
- William A. Brock & Steven N. Durlauf, 2004.
"Elements of a Theory of Design Limits to Optimal Policy,"
Manchester School, University of Manchester, vol. 72(s1), pages 1-18, September.
- William A. Brock & Steven N. Durlauf, 2004. "Elements of a Theory of Design Limits to Optimal Policy," NBER Working Papers 10495, National Bureau of Economic Research, Inc.
- Brock,W.A. & Durlauf,S.N., 2003. "Elements of a theory of design limits to optimal policy," Working papers 25, Wisconsin Madison - Social Systems.
- Giannis Vardas & Anastasios Xepapadeas, 2015.
"Uncertainty aversion, robust control and asset holdings,"
Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 477-491, March.
- Anastasios Xepapadeas & Giannis Vardas, 2004. "Uncertainty Aversion, Robust Control and Asset Holdings," Working Papers 2004.66, Fondazione Eni Enrico Mattei.
- Giannis Vardas & Anastasios Xepapadeas, 2004. "Uncertainty Aversion, Robust Control and Asset Holdings," Working Papers 0402, University of Crete, Department of Economics.
- André Marine Charlotte & Medina Espidio Sebastián, 2022. "Optimal Robust Monetary Policy in a Small Open Economy," Working Papers 2022-17, Banco de México.
- A. Hakan Kara, 2004.
"Optimal Monetary Policy, Commitment, and Imperfect Credibility,"
Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 4(1), pages 31-66.
- A. Hakan Kara, 2003. "Optimal Monetary Policy, Commitment, and Imperfect Credibility," Working Papers 0301, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Guy Debelle & Adam Cagliarini, 2000.
"The Effect of Uncertainty on Monetary Policy: How Good are the Brakes?,"
RBA Research Discussion Papers
rdp2000-07, Reserve Bank of Australia.
- Adam Cagliarini & Guy Debelle, 2002. "The Effect of Uncertainty on Monetary Policy: How Good are the Brakes?," Central Banking, Analysis, and Economic Policies Book Series, in: Norman Loayza & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy: Rules and Transmission Mechanisms, edition 1, volume 4, chapter 7, pages 167-196, Central Bank of Chile.
- Adam Cagliarini & Guy Debelle, 2000. "The Effect of Uncertainty on Monetary Policy: How Good are the Brakes?," Working Papers Central Bank of Chile 74, Central Bank of Chile.
- Tristani, Oreste, 2007.
"Model misspecification, the equilibrium natural interest rate and the equity premium,"
Working Paper Series
808, European Central Bank.
- Oreste Tristani, 2009. "Model Misspecification, the Equilibrium Natural Interest Rate, and the Equity Premium," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1453-1479, October.
- Oreste Tristani, 2009. "Model Misspecification, the Equilibrium Natural Interest Rate, and the Equity Premium," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1453-1479, October.
- Kunting Chen & Changbiao Zhong, 2011. "The effect mechanism of credit constraint on cycle's formation," China Finance Review International, Emerald Group Publishing Limited, vol. 1(4), pages 408-424, September.
- S. Zakovic & V. Wieland & B. Rustem, 2004.
"Stochastic Optimisation and Worst Case Analysis in Monetary Policy Design,"
Computing in Economics and Finance 2004
213, Society for Computational Economics.
- Stan Žaković & Volker Wieland & Berc Rustem, 2007. "Stochastic Optimization and Worst-Case Analysis in Monetary Policy Design," Computational Economics, Springer;Society for Computational Economics, vol. 30(4), pages 329-347, November.
- Rustem, Berc & Wieland, Volker & Zakovic, Stan, 2005. "Stochastic optimization and worst-case analysis in monetary policy design," CFS Working Paper Series 2005/14, Center for Financial Studies (CFS).
- Rustem, Berc & Wieland, Volker & Zakovic, Stan, 2005. "Stochastic Optimization and Worst Case Analysis in Monetary Policy Design," CEPR Discussion Papers 5019, C.E.P.R. Discussion Papers.
- Agénor, Pierre-Richard & Flamini, Alessandro, 2022.
"Institutional mandates for macroeconomic and financial stability,"
Journal of Financial Stability, Elsevier, vol. 62(C).
- Pierre-Richard Agénor & Alessandro Flamini, 2016. "Institutional Mandates for Macroeconomic and Financial Stability," Centre for Growth and Business Cycle Research Discussion Paper Series 231, Economics, The University of Manchester.
- Orphanides, Athanasios & Wieland, Volker, 2000.
"Inflation zone targeting,"
European Economic Review, Elsevier, vol. 44(7), pages 1351-1387, June.
- Orphanides, Athanasios & Wieland, Volker, 1999. "Inflation zone targeting," Working Paper Series 8, European Central Bank.
- Zampolli, Fabrizio, 2006.
"Optimal monetary policy in a regime-switching economy: The response to abrupt shifts in exchange rate dynamics,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1527-1567.
- Fabrizio Zampolli, 2006. "Optimal monetary policy in a regime-switching economy: the response to abrupt shifts in exchange rate dynamics," Bank of England working papers 297, Bank of England.
- Wieland, Volker & Küster, Keith, 2005.
"Insurance Policies for Monetary Policy in the Euro Area,"
CEPR Discussion Papers
4956, C.E.P.R. Discussion Papers.
- Küster, Keith & Wieland, Volker, 2005. "Insurance policies for monetary policy in the Euro area," CFS Working Paper Series 2005/13, Center for Financial Studies (CFS).
- Keith Kuester & Volker Wieland, 2010. "Insurance Policies for Monetary Policy in the Euro Area," Journal of the European Economic Association, European Economic Association, vol. 8(4), pages 872-912, June.
- Volker Wieland & Keith Kuester, 2005. "Insurance Policies for Monetary Policy in the Euro Area," Computing in Economics and Finance 2005 100, Society for Computational Economics.
- Wieland, Volker & Kuester, Keith, 2005. "Insurance policies for monetary policy in the euro area," Working Paper Series 480, European Central Bank.
- Keith Kuester & Volker Wieland, 2008. "Insurance Policies for Monetary Policy in the Euro Area," Discussion Papers 07-044, Stanford Institute for Economic Policy Research.
- Keith Kuester & Volker W. Wieland, 2008. "Insurance policies for monetary policy in the euro area," Working Papers 08-29, Federal Reserve Bank of Philadelphia.
- Keith Kuester & Volker Wieland, 2010. "Insurance Policies for Monetary Policy in the Euro Area," Journal of the European Economic Association, MIT Press, vol. 8(4), pages 872-912, June.
- Cateau, Gino, 2007. "Monetary policy under model and data-parameter uncertainty," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2083-2101, October.
- Efrem CASTELNUOVO, 2010.
"Regime Shifts and the Stability of Backward Looking Phillips Curves in Open Economies,"
EcoMod2004
330600035, EcoMod.
- Castelnuovo, Efrem, 2008. "Regime shifts and the stability of backward-looking Phillips curves in open economies," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 40-53, February.
- Efrem Castelnuovo, 2005. "Regime Shifts and the Stability of Backward Looking Phillips Curves in Open Economies," Macroeconomics 0506017, University Library of Munich, Germany.
- Efrem Castelnuovo, 2004. "Regime Shifts and the Stability of Backward Looking Phillips Curves in Open Economies," Computing in Economics and Finance 2004 49, Society for Computational Economics.
- Efrem Castelnuovo, 2006. "Regime Shifts and the Stability of Backward Looking Phillips Curves in Open Economies," "Marco Fanno" Working Papers 0015, Dipartimento di Scienze Economiche "Marco Fanno".
- Felipe Morandé & Mauricio Tejada, 2009. "Sources of Uncertainty in Conducting Monetary Policy in Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 12, pages 451-509, Central Bank of Chile.
- Hans M. Amman & David A. Kendrick, 2003.
"A Classification System for Economic Stochastic Control Models,"
Computing in Economics and Finance 2003
114, Society for Computational Economics.
- David Kendrick & Hans Amman, 2006. "A Classification System for Economic Stochastic Control Models," Computational Economics, Springer;Society for Computational Economics, vol. 27(4), pages 453-481, June.
- Orphanides, Athanasios, 1999.
"The Quest for Prosperity Without Inflation,"
Working Paper Series
93, Sveriges Riksbank (Central Bank of Sweden).
- Orphanides, Athanasios, 2000. "The quest for prosperity without inflation," Working Paper Series 15, European Central Bank.
- Orphanides, Athanasios, 2003. "The quest for prosperity without inflation," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 633-663, April.
- Rudebusch, Glenn D, 2005.
"Assessing the Lucas Critique in Monetary Policy Models,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(2), pages 245-272, April.
- Glenn D. Rudebusch, 2002. "Assessing the Lucas critique in monetary policy models," Working Paper Series 2002-02, Federal Reserve Bank of San Francisco.
- Roberto M. Billi, 2006.
"The Optimal Long-Run Inflation Rate for the U.S. Economy,"
Computing in Economics and Finance 2006
72, Society for Computational Economics.
- Roberto M. Billi, 2007. "Optimal inflation for the U.S," Research Working Paper RWP 07-03, Federal Reserve Bank of Kansas City.
- Crowley, Patrick M. & Hudgins, David, 2015.
"Fiscal policy tracking design in the time–frequency domain using wavelet analysis,"
Economic Modelling, Elsevier, vol. 51(C), pages 502-514.
- Crowley, Patrick M. & Hudgins, David, 2014. "Fiscal policy tracking design in the time frequency domain using wavelet analysis," Bank of Finland Research Discussion Papers 32/2014, Bank of Finland.
- Meixing Dai & Eleftherios Spyromitros, 2009.
"Accountability and Transparency about Central Bank Preferences for Model Robustness,"
Working Papers of BETA
2009-18, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Meixing Dai & Eleftherios Spyromitros, 2010. "Accountability And Transparency About Central Bank Preferences For Model Robustness," Scottish Journal of Political Economy, Scottish Economic Society, vol. 57(2), pages 212-237, May.
- Ben Martin, 1999. "Caution and gradualism in monetary policy under uncertainty," Bank of England working papers 105, Bank of England.
- Castelnuovo, Efrem & Paolo Surico, 2003. "Why are Federal Funds Rates so Smooth?," Royal Economic Society Annual Conference 2003 39, Royal Economic Society.
- Mariusz Górajski, 2018. "Robust Monetary Policy in a Model of the Polish Economy: Is the Uncertainty Responsible for the Interest Rate Smoothing Effect?," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 313-340, August.
- Anton Muscatelli & Carmine Trecroci, 2000. "Monetary Policy Rules, Policy Preferences, and Uncertainty: Recent Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 14(5), pages 597-627, December.
- Brock,W.A. & Durlauf,S.N., 2004.
"Local robustness analysis : theory and application,"
Working papers
22, Wisconsin Madison - Social Systems.
- Brock, William A. & Durlauf, Steven N., 2005. "Local robustness analysis: Theory and application," Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 2067-2092, November.
- Marco P. Tucci, 2024. "A Critical Introduction to the Usual Robust Control Framework in Macroeconomics," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 625-641, August.
- Cohen-Cole,E.B. & Durlauf,S.N. & Rondina,G., 2005.
"Nonlinearities in growth : from evidence to policy,"
Working papers
9, Wisconsin Madison - Social Systems.
- Cohen-Cole, Ethan B. & Durlauf, Steven N. & Rondina, Giacomo, 2012. "Nonlinearities in growth: From evidence to policy," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 42-58.
- Dai, Meixing & Spyromitros, Eleftherios, 2012. "A Note On Monetary Policy, Asset Prices, And Model Uncertainty," Macroeconomic Dynamics, Cambridge University Press, vol. 16(5), pages 777-790, November.
- Vitale, Paolo, 2018. "Optimal monetary policy for a pessimistic central bank," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 39-59.
- Humala, Alberto & Rodríguez, Gabriel, 2009.
"Estimation of a Time Varying Natural Interest Rate for Peru,"
Working Papers
2009-009, Banco Central de Reserva del Perú.
- Alberto Humala & Gabriel Rodríguez, 2011. "Estimation Of A Time Varying Natural Interest Rate For Peru," Documentos de Trabajo / Working Papers 2011-316, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Carlo A. Favero, "undated". "Parameters´ Instability, Model Uncertainty and Optimal Monetary Policy," Working Papers 196, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Francesco Giuli, 2007. "Robust control in a Sticky information economy," Working Papers in Public Economics 98, Department of Economics and Law, Sapienza University of Roma.
- Moral-Benito, Enrique, 2010.
"Model averaging in economics,"
MPRA Paper
26047, University Library of Munich, Germany.
- Enrique Moral-Benito, 2010. "Model Averaging in Economics," Working Papers wp2010_1008, CEMFI.
- Enrique Moral-Benito, 2011. "Model averaging in economics," Working Papers 1123, Banco de España.
- Adriana Grasso & Guido Traficante, 2021. "Optimal robust monetary policy with parameters and output gap uncertainty," Temi di discussione (Economic working papers) 1339, Bank of Italy, Economic Research and International Relations Area.
- Williams, Noah, 2012. "Monetary policy under financial uncertainty," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 449-465.
- David Hudgins & Patrick M. Crowley, 2019. "Stress-Testing U.S. Macroeconomic Policy: A Computational Approach Using Stochastic and Robust Designs in a Wavelet-Based Optimal Control Framework," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1509-1546, April.
- van der Ploeg, Frederick, 2009. "Prudent monetary policy and prediction of the output gap," Journal of Macroeconomics, Elsevier, vol. 31(2), pages 217-230, June.
- Ippei Fujiwara & Naoko Hara & Naohisa Hirakata & Takeshi Kimura & Shinichiro Watanabe, 2007.
"Japanese Monetary Policy during the Collapse of the Bubble Economy: A View of Policymaking under Uncertainty,"
Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 25(2), pages 89-128, November.
- Ippei Fujiwara & Naoko Hara & Naohisa Hirakata & Takeshi Kimura & Shinichiro Watanabe, 2007. "Japanese Monetary Policy during the Collapse of the Bubble Economy: A View of Policy-making under Uncertainty," IMES Discussion Paper Series 07-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
- Marco Paolo Tucci, 2019. "The usual robust control framework in discrete time: Some interesting results," Department of Economics University of Siena 815, Department of Economics, University of Siena.
- Carlo Altavilla & Matteo Ciccarelli, 2009.
"The Effects of Monetary Policy on Unemployment Dynamics under Model Uncertainty: Evidence from the United States and the Euro Area,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1265-1300, October.
- Carlo Altavilla & Matteo Ciccarelli, 2009. "The Effects of Monetary Policy on Unemployment Dynamics under Model Uncertainty: Evidence from the United States and the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1265-1300, October.
- Peter Tillmann, 2007.
"Robust Monetary Policy with the Cost Channel,"
European Economy - Economic Papers 2008 - 2015
278, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Peter Tillmann, 2009. "Robust Monetary Policy with the Cost Channel," Economica, London School of Economics and Political Science, vol. 76(303), pages 486-504, July.
- Rodríguez Arnulfo & Rodríguez Pedro N., 2007. "Recursive Thick Modeling and the Choice of Monetary Policy in Mexico," Working Papers 2007-04, Banco de México.
- Giannoni, Marc P., 2002. "Does Model Uncertainty Justify Caution? Robust Optimal Monetary Policy In A Forward-Looking Model," Macroeconomic Dynamics, Cambridge University Press, vol. 6(1), pages 111-144, February.
- Kirdan Lees, 2006. "What do robust policies look like for open economy inflation targeters?," Reserve Bank of New Zealand Discussion Paper Series DP2006/08, Reserve Bank of New Zealand.
- Arnulfo Rodriguez & Pedro N. Rodriguez, 2006. "Recursive Thick Modeling and the Choice of Monetary Policy in Mexico," Computing in Economics and Finance 2006 30, Society for Computational Economics.
- David Hudgins & Patrick M. Crowley, 2023. "Resilient Control for Macroeconomic Models," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1403-1431, April.
- Efrem Castelnuovo, 2002.
"Squeezing the Interest Rate Smoothing Weight with a Hybrid Expectations Model,"
Macroeconomics
0211006, University Library of Munich, Germany.
- Efrem Castelnuovo, 2003. "Squeezing the Interest Rate Smoothing Weight with a Hybrid Expectations Model," Working Papers 2003.6, Fondazione Eni Enrico Mattei.
- Sack, Brian & Wieland, Volker, 2000.
"Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence,"
Journal of Economics and Business, Elsevier, vol. 52(1-2), pages 205-228.
- Brian P. Sack & Volker W. Wieland, 1999. "Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence," Finance and Economics Discussion Series 1999-39, Board of Governors of the Federal Reserve System (U.S.).
- Kirdan Lees, 2004. "Uncertainty and the open economy: a view through two different lenses," Econometric Society 2004 Australasian Meetings 235, Econometric Society.
- Michael Funke & Michael Paetz, 2007.
"Environmental Policy Under Model Uncertainty: A Robust Optimal Control Approach,"
Quantitative Macroeconomics Working Papers
20703, Hamburg University, Department of Economics.
- Michael Funke & Michael Paetz, 2007. "Environmental Policy Under Model Uncertainty: A Robust Optimal Control Approach," CESifo Working Paper Series 1938, CESifo.
- Michael Funke & Michael Paetz, 2011. "Environmental policy under model uncertainty: a robust optimal control approach," Climatic Change, Springer, vol. 107(3), pages 225-239, August.
- Michael Funke & Michael Paetz, 2011. "Environmental policy under model uncertainty: a robust optimal control approach," Quantitative Macroeconomics Working Papers 21108, Hamburg University, Department of Economics.
- Stephen G. Cecchetti & Stefan Krause, 2006.
"Inflation Targeting versus Price-Path Targeting: Looking For Improvements,"
Working Papers Central Bank of Chile
399, Central Bank of Chile.
- Stephen G. Cecchetti & Stefan Krause, 2007. "Inflation Targeting versus Price-Path Targeting: Looking for Improvements," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 8, pages 265-290, Central Bank of Chile.
- Adam, Klaus, 2004.
"On the relation between robust and Bayesian decision making,"
Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2105-2117, September.
- Adam, Klaus, 2003. "On the Relation between Robust and Bayesian Decision Making," CFS Working Paper Series 2003/02, Center for Financial Studies (CFS).
- Klaus Adam, 2001. "On the Relation between Robust and Bayesian Decision Making," CSEF Working Papers 68, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Walsh, Carl E., 2005. "Parameter misspecification and robust monetary policy rules," Working Paper Series 477, European Central Bank.
- Dennis, Richard, 2010. "How robustness can lower the cost of discretion," Journal of Monetary Economics, Elsevier, vol. 57(6), pages 653-667, September.
- João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
- Alina Carare & Robert Tchaidze, 2008.
"The Use and Abuse of Taylor Rules: How Precisely Can We Estimate Them?,"
Working Papers
006-08, International School of Economics at TSU, Tbilisi, Republic of Georgia.
- Robert Tchaidze & Alina Carare, 2004. "The Use and Abuse of Taylor Rules: How precisely can we estimate them?," Econometric Society 2004 Latin American Meetings 132, Econometric Society.
- Marco P. Tucci, 2021. "How Robust is Robust Control in Discrete Time?," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 279-309, August.
- Meixing Dai & Moïse Sidiropoulos, 2017. "How multiplicative uncertainty affects the tradeoff between information disclosure and stabilisation policy?," Working Papers of BETA 2017-15, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Gonzalez F. & Rodriguez A. & Gonzalez-Garcia J.R., 2005. "Uncertainty about the Persistence of Periods with Large Price Shocks and the Optimal Reaction of the Monetary Authority," Computing in Economics and Finance 2005 402, Society for Computational Economics.
- J. Tetlow, Robert & von zur Muehlen, Peter, 2001.
"Robust monetary policy with misspecified models: Does model uncertainty always call for attenuated policy?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 911-949, June.
- Robert J. Tetlow & Peter Von zur Muehlen, 2000. "Robust monetary policy with misspecified models: does model uncertainty always call for attenuated policy?," Finance and Economics Discussion Series 2000-28, Board of Governors of the Federal Reserve System (U.S.).
- Marco Del Negro & Frank Schorfheide, 2004.
"Policy predictions if the model doesn’t fit,"
FRB Atlanta Working Paper
2004-38, Federal Reserve Bank of Atlanta.
- Marco Del Negro & Frank Schorfheide, 2005. "Policy Predictions if the Model Does Not Fit," Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 434-443, 04/05.
- Efrem Castelnuovo, 2003. "Taylor Rules and Interest Rate Smoothing in the US and EMU," Macroeconomics 0303002, University Library of Munich, Germany.
- Meixing Dai, 2020.
"La réponse de la BCE face à la pandémie de Covid-19,"
Post-Print
hal-04080460, HAL.
- Meixing Dai, 2020. "La réponse de la BCE face à la pandémie de Covid-19," Bulletin de l'Observatoire des politiques économiques en Europe, Observatoire des Politiques Économiques en Europe (OPEE), vol. 42(1), pages 5-14, July.
- André Marine Charlotte & Dai Meixing, 2020.
"The limits to robust monetary policy in a small open economy with learning agents,"
Working Papers
2020-12, Banco de México.
- Marine Charlotte André & Meixing Dai, 2018. "The limits to robust monetary policy in a small open economy with learning agents," Working Papers of BETA 2018-45, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Daniel Kienzler & Kai D. Schmid, 2014.
"Hysteresis in Potential Output and Monetary Policy,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(4), pages 371-396, September.
- Kienzler, Daniel & Schmid, Kai D., 2013. "Hysteresis in Potential Output and Monetary Policy," Working Papers on Finance 1328, University of St. Gallen, School of Finance.
- Frederick van der Ploeg, 2007. "Prudent Monetary Policy and Cautious Prediction of the Output Gap," Economics Working Papers ECO2007/40, European University Institute.
- Gadi Barlevy, 2009. "Policymaking under uncertainty: Gradualism and robustness," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 33(Q II), pages 38-55.
- Baele, L.T.M. & Bekaert, G.R.J. & Cho, S. & Inghelbrecht, K. & Moreno, A., 2015. "Macroeconomic regimes," Other publications TiSEM e92a1993-778e-4ce2-b603-6, Tilburg University, School of Economics and Management.
- Clarida, Richard & Galí, Jordi & Gertler, Mark, 1999.
"The Science of Monetary Policy: A New Keynesian Perspective,"
CEPR Discussion Papers
2139, C.E.P.R. Discussion Papers.
- Mark Gertler & Jordi Gali & Richard Clarida, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," Journal of Economic Literature, American Economic Association, vol. 37(4), pages 1661-1707, December.
- Richard Clarida & Jordi Galí & Mark Gertler, 1997. "The science of monetary policy: A new Keynesian perspective," Economics Working Papers 356, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 1999.
- Richard Clarida & Jordi Gali & Mark Gertler, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," NBER Working Papers 7147, National Bureau of Economic Research, Inc.
- Kindy R. Sjahrir, 2018. "Formulating Regional Competitiveness Fiscal Policy based upon Leverage Factors for Indonesian Data," Working Papers in Economics and Development Studies (WoPEDS) 201804, Department of Economics, Padjadjaran University, revised Dec 2018.
- William A. Brock & Steven N. Durlauf & Giacomo Rondina, 2008.
"Design Limits and Dynamic Policy Analysis,"
NBER Working Papers
14357, National Bureau of Economic Research, Inc.
- Brock, William A. & Durlauf, Steven N. & Rondina, Giacomo, 2013. "Design limits and dynamic policy analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2710-2728.
- Mesonnier, Jean-Stephane & Renne, Jean-Paul, 2007.
"A time-varying "natural" rate of interest for the euro area,"
European Economic Review, Elsevier, vol. 51(7), pages 1768-1784, October.
- Jean-Stephane Mesonnier & Jean-Paul Renne, 2004. "A Time Varying Natural Rate of Interest for the Euro Area," Money Macro and Finance (MMF) Research Group Conference 2004 42, Money Macro and Finance Research Group.
- Bahaj, Saleem & Foulis, Angus, 2016.
"Macroprudential policy under uncertainty,"
Bank of England working papers
584, Bank of England.
- Saleem Bahaj & Angus Foulis, 2017. "Macroprodential Policy under Uncertainty," International Journal of Central Banking, International Journal of Central Banking, vol. 13(3), pages 119-154, September.
- Aaron Tornell, 2000. "Robust-H-infinity Forecasting and Asset Pricing Anomalies," NBER Working Papers 7753, National Bureau of Economic Research, Inc.
- Alexei Onatski, 2000. "Minimax Analysis of Monetary Policy Under Model Uncertainty," Econometric Society World Congress 2000 Contributed Papers 1818, Econometric Society.
- Traficante, Guido, 2013. "Monetary policy, parameter uncertainty and welfare," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 73-80.
- Meixing DAI & Eleftherios SPYROMITROS, 2008. "Monetary policy, asset prices and model uncertainty," Working Papers of BETA 2008-15, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Gnabo, Jean-Yves & Moccero, Diego Nicolas, 2015. "Risk management, nonlinearity and aggressiveness in monetary policy: The case of the US Fed," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 281-294.
- Daniel O. Beltran & David Draper, 2008. "Estimating the parameters of a small open economy DSGE model: identifiability and inferential validity," International Finance Discussion Papers 955, Board of Governors of the Federal Reserve System (U.S.).
- Han, Junhee & Lee, Keun, 2022. "Heterogeneous technology and specialization for economic growth beyond the middle-income stage," Economic Modelling, Elsevier, vol. 112(C).
- Mr. Helmut Wagner, 2001. "Implications of Globalization for Monetary Policy," IMF Working Papers 2001/184, International Monetary Fund.
- Cornel OROS & Blandine ZIMMER, 2019. "Myopic governments and conservative central banks: are they compatible?," Working Papers of LaRGE Research Center 2019-06, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
- Ha, Yuong, 1999.
"Uncertainty about Length of the Monetary Policy Transmission Lag: Implications for Monetary Policy,"
Working Paper Series
94, Sveriges Riksbank (Central Bank of Sweden).
- Yuong Ha, 2000. "Uncertainty about the length of the monetary policy transmission lag: implications for monetary policy," Reserve Bank of New Zealand Discussion Paper Series DP2000/01, Reserve Bank of New Zealand.
- Kriwoluzky, Alexander & Stoltenberg, Christian, 2007. "Optimal policy under model uncertainty: A structural-bayesian estimation approach," SFB 649 Discussion Papers 2007-040, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Giannis Vardas & Anastasios Xepapadeas, 2004. "Uncertainty Aversion and Robust Portfolio Choices," Working Papers 0408, University of Crete, Department of Economics.
- Joe Haslag & R.W. Hafer & Garett Jones, 2003. "The Effect of Monetary Policy on Economic Output," Working Papers 0311, Department of Economics, University of Missouri.
- A. Hakan Kara, 2002. "Robust Targeting Rules for Monetary Policy," Discussion Papers 0208, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Marc Giannoni, 2006. "Robust Optimal Policy in a Forward-Looking Model with Parameter and Shock Uncertainty," NBER Working Papers 11942, National Bureau of Economic Research, Inc.
- Mr. Robert Tchaidze & Ms. Alina Carare, 2005. "The Use and Abuse of Taylor Rules: How Precisely Can We Estimate Them?," IMF Working Papers 2005/148, International Monetary Fund.
- Benjamin Hunt & Peter Isard, 2003. "Some implications for monetary policy of uncertain exchange rate pass‐through," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(5), pages 567-584, November.
- Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Mariusz Górajski & Zbigniew Kuchta, 2022. "Which hallmarks of optimal monetary policy rules matter in Poland? A stochastic dominance approach," Bank i Kredyt, Narodowy Bank Polski, vol. 53(2), pages 149-182.
- Régis Barnichon & Geert Mesters, 2022.
"A Sufficient Statistics Approach for Macro Policy Evaluation,"
Working Paper Series
2022, Federal Reserve Bank of San Francisco.
- Régis Barnichon & Geert Mesters, 2020. "A Sufficient Statistics Approach for Macro Policy Evaluation," Working Papers 1171, Barcelona School of Economics.
- Hardik A. Marfatia, 2021. "Is the future really observable? A practical approach to model monetary policy rules," Empirical Economics, Springer, vol. 61(3), pages 1189-1223, September.
- Aaron Tornell, 2003. "Robust-H_infinity Forecasting and Asset Pricing Anomalies (December 2001)," UCLA Economics Online Papers 237, UCLA Department of Economics.
- Zhao, Mingjun, 2007. "Monetary policy under misspecified expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1278-1299, April.
- Mariusz Gorajski, 2016. "Robust monetary policy in a linear model of the polish economy: is the uncertainty in the model responsible for the interest rate smoothing effect?," Lodz Economics Working Papers 1/2016, University of Lodz, Faculty of Economics and Sociology.
- Claudio E. V. Borio & Wiliam English & Andrew Filardo, 2003.
"A tale of two perspectives: old or new challenges for monetary policy?,"
BIS Working Papers
127, Bank for International Settlements.
- Claudio Borio & William English & Andrew Filardo, 2003. "A tale of two perspectives: old or new challenges for monetary policy?," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 1-59, Bank for International Settlements.
- Rageh, Rania, 2010. "Interest rate rule for the conduct of monetary policy: analysis for Egypt (1997:2007)," MPRA Paper 26639, University Library of Munich, Germany.
- André P. Calmon & Thomas Vallée & João B. R. Do Val, 2009. "Monetary policy as a source of uncertainty," Working Papers hal-00422454, HAL.
- Sims, Christopher A., 2003. "Implications of rational inattention," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 665-690, April.
- Górajski Mariusz & Kuchta Zbigniew, 2018. "Measuring Uncertainty of Optimal Simple Monetary Policy Rules in DSGE models," Lodz Economics Working Papers 6/2018, University of Lodz, Faculty of Economics and Sociology.
- Enrique Moral-Benito, 2015. "Model Averaging In Economics: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 46-75, February.
- Fatemeh Labafi Feriz & Saeed Samadi & khadijeh Nasrollahi & Rasul Bakhshi Dastjerdi, 2018. "Robust Discretionary Monetary Policy under Cost-Push Shock Uncertainty of Iran’s Economy," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 22(2), pages 503-526, Spring.
- Peter Tillmann, 2009. "Optimal Monetary Policy with an Uncertain Cost Channel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(5), pages 885-906, August.
- Olalla, Myriam García & Gómez, Alejandro Ruiz, 2011. "Robust control and central banking behaviour," Economic Modelling, Elsevier, vol. 28(3), pages 1265-1278, May.
- Felipe Morandé Lavín & Mauricio Tejada, 2008.
"Sources of Uncertainty for Conducting Monetary Policy in Chile,"
Working Papers
wp285, University of Chile, Department of Economics.
- Felipe Morandé & Mauricio Tejada, 2008. "Sources of Uncertainty for Conducting Monetary Policy in Chile," Working Papers Central Bank of Chile 492, Central Bank of Chile.
- Matteo Cacciatore & Dmitry Matveev & Rodrigo Sekkel, 2022. "Uncertainty and Monetary Policy Experimentation: Empirical Challenges and Insights from Academic Literature," Discussion Papers 2022-9, Bank of Canada.
- Kaiwen Hou, 2022. "Inference for Model Misspecification in Interest Rate Term Structure using Functional Principal Component Analysis," Papers 2212.10790, arXiv.org.
- Paulo R. Mota & Abel L. C. Fernandes, 2019. "The Dynamic Adjustment Of Central Banks’ Target Interest Rate: The Case Of The Ecb," FEP Working Papers 613, Universidade do Porto, Faculdade de Economia do Porto.
- Marco Tucci, 2006. "Understanding the Difference Between Robust Control and Optimal Control in a Linear Discrete-Time System with Time-Varying Parameters," Computational Economics, Springer;Society for Computational Economics, vol. 27(4), pages 533-558, June.
- Rodríguez Arnulfo & González Fidel & González García Jesús R., 2007. "Uncertainty about the Persistence of Cost-Push Shocks and the Optimal Reaction of the Monetary Authority," Working Papers 2007-05, Banco de México.
- Felipe Morandé L. & Mauricio Tejada G., 2008. "Sources of Uncertainty in Monetary Policy Conduct in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(3), pages 45-80, December.
- Brock,W.A. & Durlauf,S.N., 2004. "Macroeconomics and model uncertainty," Working papers 20, Wisconsin Madison - Social Systems.
- Kurozumi, Takushi, 2010. "Optimal Monetary Policy Under Parameter Uncertainty In A Simple Microfounded Model," Macroeconomic Dynamics, Cambridge University Press, vol. 14(2), pages 257-268, April.
- Górajski, Mariusz & Kuchta, Zbigniew, 2023. "Coordination and non-coordination risks of monetary and macroprudential authorities: A robust welfare analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
- Górajski, Mariusz & Kuchta, Zbigniew & Leszczyńska-Paczesna, Agnieszka, 2023. "Price-setting heterogeneity and robust monetary policy in a two-sector DSGE model of a small open economy," Economic Modelling, Elsevier, vol. 122(C).
Articles
- Alexei Onatski & Chen Wang, 2021.
"Spurious Factor Analysis,"
Econometrica, Econometric Society, vol. 89(2), pages 591-614, March.
See citations under working paper version above.
- Onatski, A. & Wang, C., 2020. "Spurious Factor Analysis," Cambridge Working Papers in Economics 2003, Faculty of Economics, University of Cambridge.
- Onatski, Alexei & Wang, Chen, 2019.
"Extreme canonical correlations and high-dimensional cointegration analysis,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 307-322.
See citations under working paper version above.
- Onatski, A. & Wang, C., 2018. "Extreme canonical correlations and high-dimensional cointegration analysis," Cambridge Working Papers in Economics 1805, Faculty of Economics, University of Cambridge.
- Alexei Onatski & Chen Wang, 2018.
"Alternative Asymptotics for Cointegration Tests in Large VARs,"
Econometrica, Econometric Society, vol. 86(4), pages 1465-1478, July.
See citations under working paper version above.
- Alexei Onatski & Chen Wang, 2016. "Alternative Asymptotics for Cointegration Tests in Large VARs," Cambridge Working Papers in Economics 1637, Faculty of Economics, University of Cambridge.
- Onatski, Alexei, 2015.
"Asymptotic analysis of the squared estimation error in misspecified factor models,"
Journal of Econometrics, Elsevier, vol. 186(2), pages 388-406.
Cited by:
- Marine Carrasco & Barbara Rossi, 2016.
"In-sample inference and forecasting in misspecified factor models,"
Economics Working Papers
1530, Department of Economics and Business, Universitat Pompeu Fabra.
- Marine Carrasco & Barbara Rossi, 2016. "In-Sample Inference and Forecasting in Misspecified Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 313-338, July.
- Rossi, Barbara & Carrasco, Marine, 2016. "In-sample Inference and Forecasting in Misspecified Factor Models," CEPR Discussion Papers 11388, C.E.P.R. Discussion Papers.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2017.
"Determining the number of factors after stationary univariate transformations,"
Empirical Economics, Springer, vol. 53(1), pages 351-372, August.
- Corona, Francisco & Poncela, Maria Pilar, 2016. "Determining the number of factors after stationary univariate transformations," DES - Working Papers. Statistics and Econometrics. WS ws1602, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2022.
"Eigenvalue tests for the number of latent factors in short panels,"
Papers
2210.16042, arXiv.org.
- Alain-Philippe Fortin & Patrick Gagliardini & O. Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Swiss Finance Institute Research Paper Series 22-81, Swiss Finance Institute.
- Freyaldenhoven, Simon, 2022.
"Factor models with local factors — Determining the number of relevant factors,"
Journal of Econometrics, Elsevier, vol. 229(1), pages 80-102.
- Simon Freyaldenhoven, 2021. "Factor Models with Local Factors—Determining the Number of Relevant Factors," Working Papers 21-15, Federal Reserve Bank of Philadelphia.
- Jie Wei & Yonghui Zhang, 2023. "Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?," Papers 2305.05934, arXiv.org, revised Nov 2024.
- Norman R. Swanson, 2016. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 348-353, July.
- Guo, Xiao & Chen, Yu & Tang, Cheng Yong, 2023. "Information criteria for latent factor models: A study on factor pervasiveness and adaptivity," Journal of Econometrics, Elsevier, vol. 233(1), pages 237-250.
- Norman R. Swanson & Weiqi Xiong, 2018.
"Big data analytics in economics: What have we learned so far, and where should we go from here?,"
Canadian Journal of Economics, Canadian Economics Association, vol. 51(3), pages 695-746, August.
- Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(3), pages 695-746, August.
- Gregory Connor & Robert A. Korajczyk, 2019.
"Semi-strong factors in asset returns,"
Economics Department Working Paper Series
n294-19.pdf, Department of Economics, National University of Ireland - Maynooth.
- Gregory Connor & Robert A Korajczyk, 2024. "Semi-Strong Factors in Asset Returns," Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 70-93.
- Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016.
"A diagnostic criterion for approximate factor structure,"
Papers
1612.04990, arXiv.org, revised Aug 2017.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "A diagnostic criterion for approximate factor structure," Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
- James Sampi, 2016. "High Dimensional Factor Models: An Empirical Bayes Approach," Working Papers 75, Peruvian Economic Association.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018.
"Simultaneous multiple change-point and factor analysis for high-dimensional time series,"
LSE Research Online Documents on Economics
88110, London School of Economics and Political Science, LSE Library.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 206(1), pages 187-225.
- Alexei Onatski & Chen Wang, 2021.
"Spurious Factor Analysis,"
Econometrica, Econometric Society, vol. 89(2), pages 591-614, March.
- Onatski, A. & Wang, C., 2020. "Spurious Factor Analysis," Cambridge Working Papers in Economics 2003, Faculty of Economics, University of Cambridge.
- Andrés Sagner, 2020. "Measuring Systemic Risk: A Quantile Factor Analysis," Working Papers Central Bank of Chile 874, Central Bank of Chile.
- Allen, David, 2022. "Asset Pricing Tests, Endogeneity issues and Fama-French factors," MPRA Paper 113610, University Library of Munich, Germany.
- Marco Avarucci & Paolo Zaffaroni, 2019. "Robust Nearly-Efficient Estimation of Large Panels with Factor Structures," Papers 1902.11181, arXiv.org.
- Sampi Bravo,James Robert Ezequiel & Jooste,Charl, 2020. "Nowcasting Economic Activity in Times of COVID-19 : An Approximation from the Google Community Mobility Report," Policy Research Working Paper Series 9247, The World Bank.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
- Marine Carrasco & Barbara Rossi, 2016.
"In-sample inference and forecasting in misspecified factor models,"
Economics Working Papers
1530, Department of Economics and Business, Universitat Pompeu Fabra.
- Alexei Onatski & Francisco Ruge‐Murcia, 2013.
"Factor Analysis Of A Large Dsge Model,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(6), pages 903-928, September.
See citations under working paper version above.
- ONATSKI, Alexei & RUGE-MURCIA, Francisco J., 2010. "Factor Analysis of a Large DSGE Model," Cahiers de recherche 17-2010, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Alexei Onatski & Francisco J. Ruge-Murcia, 2010. "Factor Analysis of a Large DSGE Model," Working Paper series 50_10, Rimini Centre for Economic Analysis.
- ONATSKI, Alexei & RUGE-MURCIA, Francisco J., 2010. "Factor Analysis of a Large DSGE Model," Cahiers de recherche 2010-08, Universite de Montreal, Departement de sciences economiques.
- Onatski, Alexei & Uhlig, Harald, 2012.
"Unit Roots In White Noise,"
Econometric Theory, Cambridge University Press, vol. 28(3), pages 485-508, June.
See citations under working paper version above.
- Onatski, Alexei & Uhlig, Harald, 2009. "Unit Roots in White Noise," MPRA Paper 14057, University Library of Munich, Germany.
- Onatski, Alexei, 2012.
"Asymptotics of the principal components estimator of large factor models with weakly influential factors,"
Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.
Cited by:
- Xun Lu & Su Liangjun, 2015.
"Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects,"
Working Papers
02-2015, Singapore Management University, School of Economics.
- Lu, Xun & Su, Liangjun, 2016. "Shrinkage estimation of dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 190(1), pages 148-175.
- Matteo Barigozzi & Lorenzo Trapani, 2018.
"Determining the dimension of factor structures in non-stationary large datasets,"
Papers
1806.03647, arXiv.org.
- Matteo Barigozzi & Lorenzo Trapani, 2018. "Determining the dimension of factor structures in non-stationary large datasets," Discussion Papers 18/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Ma, Shujie & Su, Liangjun, 2018. "Estimation of large dimensional factor models with an unknown number of breaks," Journal of Econometrics, Elsevier, vol. 207(1), pages 1-29.
- Badi Baltagi & Chihwa Kao & Fa wang, 2016.
"Asymptotic Power of the Sphericity Test Under Weak and Strong Factors in a Fixed Effects Panel Data Model,"
Center for Policy Research Working Papers
189, Center for Policy Research, Maxwell School, Syracuse University.
- Badi H. Baltagi & Chihwa Kao & Fa Wang, 2017. "Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 853-882, October.
- Onatski, Alexei, 2015. "Asymptotic analysis of the squared estimation error in misspecified factor models," Journal of Econometrics, Elsevier, vol. 186(2), pages 388-406.
- Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
- Matteo Barigozzi & Marc Hallin, 2024.
"The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series,"
Papers
2407.10653, arXiv.org.
- Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series," Working Papers ECARES 2024-14, ULB -- Universite Libre de Bruxelles.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2017.
"Determining the number of factors after stationary univariate transformations,"
Empirical Economics, Springer, vol. 53(1), pages 351-372, August.
- Corona, Francisco & Poncela, Maria Pilar, 2016. "Determining the number of factors after stationary univariate transformations," DES - Working Papers. Statistics and Econometrics. WS ws1602, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Jushan Bai & Serena Ng, 2021.
"Approximate Factor Models with Weaker Loadings,"
Papers
2109.03773, arXiv.org, revised Mar 2023.
- Bai, Jushan & Ng, Serena, 2023. "Approximate factor models with weaker loadings," Journal of Econometrics, Elsevier, vol. 235(2), pages 1893-1916.
- Christian Brownlees & Gu{dh}mundur Stef'an Gu{dh}mundsson, 2021. "Performance of Empirical Risk Minimization for Linear Regression with Dependent Data," Papers 2104.12127, arXiv.org, revised May 2023.
- Anna Bykhovskaya & Vadim Gorin, 2023. "High-Dimensional Canonical Correlation Analysis," Papers 2306.16393, arXiv.org, revised Aug 2023.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2021.
"Measurement of factor strength: Theory and practice,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 587-613, August.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2020. "Measurement of Factor Strenght: Theory and Practice," CESifo Working Paper Series 8146, CESifo.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2020. "Measurement of Factor Strength: Theory and Practice," Monash Econometrics and Business Statistics Working Papers 7/20, Monash University, Department of Econometrics and Business Statistics.
- Matteo Barigozzi & Christian Brownlees, 2013.
"Nets: Network Estimation for Time Series,"
Working Papers
723, Barcelona School of Economics.
- Barigozzi, Matteo & Brownlees, Christian T., 2018. "Nets: network estimation for time series," LSE Research Online Documents on Economics 90493, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Christian T. Brownlees, 2013. "Nets: Network estimation for time series," Economics Working Papers 1391, Department of Economics and Business, Universitat Pompeu Fabra.
- Matteo Barigozzi & Christian Brownlees, 2019. "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
- Freeman, Hugo & Weidner, Martin, 2023. "Linear panel regressions with two-way unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 237(1).
- Pilar Poncela & Esther Ruiz, 2016.
"Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 401-434,
Emerald Group Publishing Limited.
- Poncela, Pilar, 2015. "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS ws1502, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Yoshimasa Uematsu & Takashi Yamagata, 2019. "Estimation of Weak Factor Models," ISER Discussion Paper 1053r, Institute of Social and Economic Research, Osaka University, revised Mar 2020.
- Hyungsik Roger Roger Moon & Martin Weidner, 2013. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers 49/13, Institute for Fiscal Studies.
- Denis Chetverikov & Elena Manresa, 2022. "Spectral and post-spectral estimators for grouped panel data models," Papers 2212.13324, arXiv.org, revised Dec 2022.
- Gobillon, Laurent & Magnac, Thierry, 2013.
"Regional Policy Evaluation:Interactive Fixed Effects and Synthetic Controls,"
TSE Working Papers
13-419, Toulouse School of Economics (TSE).
- Gobillon, Laurent & Magnac, Thierry, 2013. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," IZA Discussion Papers 7493, Institute of Labor Economics (IZA).
- Laurent Gobillon & Thierry Magnac, 2016. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," PSE-Ecole d'économie de Paris (Postprint) halshs-01509743, HAL.
- Laurent Gobillon & Thierry Magnac, 2014. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Control," CESifo Working Paper Series 5077, CESifo.
- Laurent Gobillon & Thierry Magnac, 2013. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," Working Papers halshs-00849071, HAL.
- Laurent Gobillon & Thierry Magnac, 2013. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," PSE Working Papers halshs-00849071, HAL.
- Laurent Gobillon & Thierry Magnac, 2016. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," Post-Print halshs-01509743, HAL.
- Gobillon, Laurent & Magnac, Thierry, 2013. "Regional Policy Evaluation:Interactive Fixed Effects and Synthetic Controls," IDEI Working Papers 786, Institut d'Économie Industrielle (IDEI), Toulouse.
- Laurent Gobillon & Thierry Magnac, 2016. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," The Review of Economics and Statistics, MIT Press, vol. 98(3), pages 535-551, July.
- Magnac, Thierry & Gobillon, Laurent, 2014. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," CEPR Discussion Papers 10253, C.E.P.R. Discussion Papers.
- Nicola Borri & Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2024.
"One Factor to Bind the Cross-Section of Returns,"
Cowles Foundation Discussion Papers
2386, Cowles Foundation for Research in Economics, Yale University.
- Nicola Borri & Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2024. "One Factor to Bind the Cross-Section of Returns," NBER Working Papers 32365, National Bureau of Economic Research, Inc.
- Nicola Borri & Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2024. "One Factor to Bind the Cross-Section of Returns," Papers 2404.08129, arXiv.org.
- Hyungsik Roger Roger Moon & Martin Weidner, 2014. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers 35/14, Institute for Fiscal Studies.
- Jiti Gao & Guangming Pan & Yanrong Yang & Bo Zhang, 2019. "Estimation of Cross-Sectional Dependence in Large Panels," Papers 1904.06843, arXiv.org.
- Anatolyev, Stanislav & Mikusheva, Anna, 2021.
"Limit Theorems For Factor Models,"
Econometric Theory, Cambridge University Press, vol. 37(5), pages 1034-1074, October.
- Stanislav Anatolyev & Anna Mikusheva, 2018. "Limit Theorems for Factor Models," Papers 1807.06338, arXiv.org, revised Sep 2020.
- Martin Lettau & Markus Pelger, 2018.
"Estimating Latent Asset-Pricing Factors,"
NBER Working Papers
24618, National Bureau of Economic Research, Inc.
- Lettau, Martin & Pelger, Markus, 2020. "Estimating latent asset-pricing factors," Journal of Econometrics, Elsevier, vol. 218(1), pages 1-31.
- Lettau, Martin & Pelger, Markus, 2018. "Estimating Latent Asset-Pricing Factors," CEPR Discussion Papers 12926, C.E.P.R. Discussion Papers.
- Horváth, Lajos & Trapani, Lorenzo, 2016. "Statistical inference in a random coefficient panel model," Journal of Econometrics, Elsevier, vol. 193(1), pages 54-75.
- Cheng, Xu & Hansen, Bruce E., 2015.
"Forecasting with factor-augmented regression: A frequentist model averaging approach,"
Journal of Econometrics, Elsevier, vol. 186(2), pages 280-293.
- Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach," PIER Working Paper Archive 12-046, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2022.
"Eigenvalue tests for the number of latent factors in short panels,"
Papers
2210.16042, arXiv.org.
- Alain-Philippe Fortin & Patrick Gagliardini & O. Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Swiss Finance Institute Research Paper Series 22-81, Swiss Finance Institute.
- Kleibergen, Frank & Zhan, Zhaoguo, 2015.
"Unexplained factors and their effects on second pass R-squared’s,"
Journal of Econometrics, Elsevier, vol. 189(1), pages 101-116.
- Frank Kleibergen & Zhaoguo Zhan, 2014. "Unexplained factors and their effects on second pass R-squared’s," UvA-Econometrics Working Papers 14-05, Universiteit van Amsterdam, Dept. of Econometrics.
- Lettau, Martin & Pelger, Markus, 2018.
"Factors that Fit the Time Series and Cross-Section of Stock Returns,"
CEPR Discussion Papers
13049, C.E.P.R. Discussion Papers.
- Martin Lettau & Markus Pelger, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," NBER Working Papers 24858, National Bureau of Economic Research, Inc.
- Martin Lettau & Markus Pelger & Stijn Van Nieuwerburgh, 2020. "Factors That Fit the Time Series and Cross-Section of Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2274-2325.
- Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
- Freyaldenhoven, Simon, 2022.
"Factor models with local factors — Determining the number of relevant factors,"
Journal of Econometrics, Elsevier, vol. 229(1), pages 80-102.
- Simon Freyaldenhoven, 2021. "Factor Models with Local Factors—Determining the Number of Relevant Factors," Working Papers 21-15, Federal Reserve Bank of Philadelphia.
- Jie Wei & Yonghui Zhang, 2023. "Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?," Papers 2305.05934, arXiv.org, revised Nov 2024.
- Nathan Bedock & Dalibor Stevanovic, 2012.
"An Empirical Study of Credit Shock Transmission in a Small Open Economy,"
CIRANO Working Papers
2012s-16, CIRANO.
- Nathan Bedock & Dalibor Stevanović, 2017. "An empirical study of credit shock transmission in a small open economy," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(2), pages 541-570, May.
- Nathan Bedock & Dalibor Stevanovic, 2017. "An empirical study of credit shock transmission in a small open economy," Canadian Journal of Economics, Canadian Economics Association, vol. 50(2), pages 541-570, May.
- Poncela, Pilar & Ruiz, Esther, 2020. "A comment on the dynamic factor model with dynamic factors," Economics Discussion Papers 2020-7, Kiel Institute for the World Economy (IfW Kiel).
- Luca Margaritella & Ovidijus Stauskas, 2024. "New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings," Papers 2409.20415, arXiv.org, revised Oct 2024.
- Stanislav Anatolyev & Anna Mikusheva, 2018.
"Factor models with many assets: strong factors, weak factors, and the two-pass procedure,"
Papers
1807.04094, arXiv.org, revised Apr 2019.
- Anatolyev, Stanislav & Mikusheva, Anna, 2022. "Factor models with many assets: Strong factors, weak factors, and the two-pass procedure," Journal of Econometrics, Elsevier, vol. 229(1), pages 103-126.
- Hugo Freeman & Martin Weidner, 2021. "Linear Panel Regressions with Two-Way Unobserved Heterogeneity," Papers 2109.11911, arXiv.org, revised Aug 2022.
- Jin, Sainan & Miao, Ke & Su, Liangjun, 2021.
"On factor models with random missing: EM estimation, inference, and cross validation,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 745-777.
- Su, Liangjun & Miao, Ke & Jin, Sainan, 2019. "On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation," Economics and Statistics Working Papers 4-2019, Singapore Management University, School of Economics.
- Andrii Babii & Eric Ghysels & Junsu Pan, 2022. "Tensor Principal Component Analysis," Papers 2212.12981, arXiv.org, revised Aug 2023.
- Guo, Xiao & Chen, Yu & Tang, Cheng Yong, 2023. "Information criteria for latent factor models: A study on factor pervasiveness and adaptivity," Journal of Econometrics, Elsevier, vol. 233(1), pages 237-250.
- Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
- Marko Mlikota, 2022. "Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications," Papers 2211.13610, arXiv.org, revised Sep 2024.
- Dashan Huang & Fuwei Jiang & Kunpeng Li & Guoshi Tong & Guofu Zhou, 2022.
"Scaled PCA: A New Approach to Dimension Reduction,"
CEMA Working Papers
678, China Economics and Management Academy, Central University of Finance and Economics.
- Dashan Huang & Fuwei Jiang & Kunpeng Li & Guoshi Tong & Guofu Zhou, 2022. "Scaled PCA: A New Approach to Dimension Reduction," Management Science, INFORMS, vol. 68(3), pages 1678-1695, March.
- Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
- Jianqing Fan & Yuan Ke & Yuan Liao, 2016.
"Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia,"
Papers
1603.07041, arXiv.org, revised Sep 2018.
- Fan, Jianqing & Ke, Yuan & Liao, Yuan, 2021. "Augmented factor models with applications to validating market risk factors and forecasting bond risk premia," Journal of Econometrics, Elsevier, vol. 222(1), pages 269-294.
- Giovanni Ballarin & Petros Dellaportas & Lyudmila Grigoryeva & Marcel Hirt & Sophie van Huellen & Juan-Pablo Ortega, 2022.
"Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data,"
Papers
2211.00363, arXiv.org, revised Jan 2024.
- Ballarin, Giovanni & Dellaportas, Petros & Grigoryeva, Lyudmila & Hirt, Marcel & van Huellen, Sophie & Ortega, Juan-Pablo, 2024. "Reservoir computing for macroeconomic forecasting with mixed-frequency data," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1206-1237.
- Servén, Luis & Abate, Girum Dagnachew, 2020.
"Adding space to the international business cycle,"
Journal of Macroeconomics, Elsevier, vol. 65(C).
- Abate,Girum Dagnachew & Serven,Luis, 2019. "Adding Space to the International Business Cycle," Policy Research Working Paper Series 8786, The World Bank.
- Jushan Bai & Serena Ng, 2020. "Simpler Proofs for Approximate Factor Models of Large Dimensions," Papers 2008.00254, arXiv.org.
- Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016.
"A diagnostic criterion for approximate factor structure,"
Papers
1612.04990, arXiv.org, revised Aug 2017.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "A diagnostic criterion for approximate factor structure," Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
- James Sampi, 2016. "High Dimensional Factor Models: An Empirical Bayes Approach," Working Papers 75, Peruvian Economic Association.
- Christian Brownlees & Gu{dh}mundur Stef'an Gu{dh}mundsson & Yaping Wang, 2024. "Performance of Empirical Risk Minimization For Principal Component Regression," Papers 2409.03606, arXiv.org, revised Sep 2024.
- Simon Freyaldenhoven, 2017.
"A Generalized Factor Model with Local Factors,"
2017 Papers
pfr361, Job Market Papers.
- Simon Freyaldenhoven, 2019. "A Generalized Factor Model with Local Factors," Working Papers 19-23, Federal Reserve Bank of Philadelphia.
- Matteo Barigozzi & Lorenzo Trapani, 2018.
"Sequential testing for structural stability in approximate factor models,"
Discussion Papers
18/04, University of Nottingham, Granger Centre for Time Series Econometrics.
- Matteo Barigozzi & Lorenzo Trapani, 2017. "Sequential testing for structural stability in approximate factor models," Papers 1708.02786, arXiv.org, revised Mar 2020.
- Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2020.
"Estimating Non-stationary Common Factors: Implications for Risk Sharing,"
Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 37-60, January.
- Corona, Francisco & Poncela, Pilar, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Mohitosh Kejriwal & Xiaoxiao Li & Linh Nguyen & Evan Totty, 2024. "The efficacy of ability proxies for estimating the returns to schooling: A factor model‐based evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 3-21, January.
- Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021.
"Inferential Theory for Generalized Dynamic Factor Models,"
Working Papers ECARES
2021-20, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
- Yinchu Zhu, 2019. "How well can we learn large factor models without assuming strong factors?," Papers 1910.10382, arXiv.org, revised Nov 2019.
- Hugo Freeman & Martin Weidner, 2021. "Linear panel regressions with two-way unobserved heterogeneity," CeMMAP working papers CWP39/21, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Gregory Cox, 2022. "Weak Identification in Low-Dimensional Factor Models with One or Two Factors," Papers 2211.00329, arXiv.org, revised Mar 2024.
- Hyungsik Roger Moon & Martin Weidner, 2013.
"Linear regression for panel with unknown number of factors as interactive fixed effects,"
CeMMAP working papers
CWP49/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hyungsik Roger Moon & Martin Weidner, 2015. "Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects," Econometrica, Econometric Society, vol. 83(4), pages 1543-1579, July.
- Hyungsik Roger Moon & Martin Weidner, 2014. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers CWP35/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Farnè, Matteo & Montanari, Angela, 2024. "Large factor model estimation by nuclear norm plus ℓ1 norm penalization," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
- Philipp Gersing & Christoph Rust & Manfred Deistler, 2023. "Weak Factors are Everywhere," Papers 2307.10067, arXiv.org, revised Jan 2024.
- Jushan Bai, 2023. "Efficiency of QMLE for dynamic panel data models with interactive effects," Papers 2312.07881, arXiv.org, revised Apr 2024.
- Doemeland,Doerte & Estevão,Marcello & Jooste,Charl & Sampi Bravo,James Robert Ezequiel & Tsiropoulos,Vasileios, 2022. "Debt Vulnerability Analysis : A Multi-Angle Approach," Policy Research Working Paper Series 9929, The World Bank.
- Mariano González-Sánchez & M. Encina Morales de Vega, 2021. "Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector," Mathematics, MDPI, vol. 9(4), pages 1-21, February.
- António Rua, 2016.
"A wavelet-based multivariate multiscale approach for forecasting,"
Working Papers
w201612, Banco de Portugal, Economics and Research Department.
- Rua, António, 2017. "A wavelet-based multivariate multiscale approach for forecasting," International Journal of Forecasting, Elsevier, vol. 33(3), pages 581-590.
- Adamek, Robert & Smeekes, Stephan & Wilms, Ines, 2023.
"Lasso inference for high-dimensional time series,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1114-1143.
- Robert Adamek & Stephan Smeekes & Ines Wilms, 2020. "Lasso Inference for High-Dimensional Time Series," Papers 2007.10952, arXiv.org, revised Sep 2022.
- Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
- Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version," PIER Working Paper Archive 13-061, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 03 Sep 2013.
- Jianqing Fan & Yuan Liao & Han Liu, 2016. "An overview of the estimation of large covariance and precision matrices," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
- Alj, Abdelkamel & Azrak, Rajae & Mélard, Guy, 2014. "On conditions in central limit theorems for martingale difference arrays," Economics Letters, Elsevier, vol. 123(3), pages 305-307.
- Horváth, Lajos & Rice, Gregory, 2019. "Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 138-165.
- Jungjun Choi & Hyukjun Kwon & Yuan Liao, 2023. "Inference for Low-rank Models without Estimating the Rank," Papers 2311.16440, arXiv.org, revised Oct 2024.
- Fan, Jianqing & Wang, Weichen & Zhong, Yiqiao, 2019. "Robust covariance estimation for approximate factor models," Journal of Econometrics, Elsevier, vol. 208(1), pages 5-22.
- James H. Stock, 2016. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 339-341, July.
- Hsiao, Cheng, 2018. "Panel models with interactive effects," Journal of Econometrics, Elsevier, vol. 206(2), pages 645-673.
- Jungjun Choi & Ming Yuan, 2024. "High Dimensional Factor Analysis with Weak Factors," Papers 2402.05789, arXiv.org.
- Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu, 2019. "Variable selection in panel models with breaks," Journal of Econometrics, Elsevier, vol. 212(1), pages 323-344.
- Dalibor Stevanovic & Charles Olivier Mao Takongmo, 2014.
"Selection of the number of factors in presence of structural instability: a Monte Carlo study,"
CIRANO Working Papers
2014s-44, CIRANO.
- Mao Takongmo, Charles Olivier & Stevanovic, Dalibor, 2015. "Selection Of The Number Of Factors In Presence Of Structural Instability: A Monte Carlo Study," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 177-233, Mars-Juin.
- Otter, Pieter W. & Jacobs, Jan P.A.M. & Reijer, Ard H.J. de, 2014. "A criterion for the number of factors in a data-rich environment," Research Report 14008-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- Alonso, Andrés M. & Galeano, Pedro & Peña, Daniel, 2020. "A robust procedure to build dynamic factor models with cluster structure," Journal of Econometrics, Elsevier, vol. 216(1), pages 35-52.
- Alexander Chudik & M. Hashem Pesaran, 2013.
"Large panel data models with cross-sectional dependence: a survey,"
Globalization Institute Working Papers
153, Federal Reserve Bank of Dallas.
- Alexander Chudik & M. Hashem Pesaran, 2013. "Large Panel Data Models with Cross-Sectional Dependence: A Survey," CESifo Working Paper Series 4371, CESifo.
- Christian Brownlees & Geert Mesters, 2017.
"Detecting Granular Time Series in Large Panels,"
Working Papers
991, Barcelona School of Economics.
- Brownlees, Christian & Mesters, Geert, 2021. "Detecting granular time series in large panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 544-561.
- Yuefeng Han & Rong Chen & Cun-Hui Zhang, 2020. "Rank Determination in Tensor Factor Model," Papers 2011.07131, arXiv.org, revised May 2022.
- Lingwei Kong, 2023. "Weak (Proxy) Factors Robust Hansen-Jagannathan Distance For Linear Asset Pricing Models," Papers 2307.14499, arXiv.org.
- Silvia Gonçalves & Benoit Perron, 2012.
"Bootstrapping factor-augmented regression models,"
CIRANO Working Papers
2012s-12, CIRANO.
- Gonçalves, Sílvia & Perron, Benoit, 2014. "Bootstrapping factor-augmented regression models," Journal of Econometrics, Elsevier, vol. 182(1), pages 156-173.
- He, Yi & Jaidee, Sombut & Gao, Jiti, 2023. "Most powerful test against a sequence of high dimensional local alternatives," Journal of Econometrics, Elsevier, vol. 234(1), pages 151-177.
- Corona, Francisco & Orraca, Pedro, 2016.
"Remittances in Mexico and their unobserved components,"
DES - Working Papers. Statistics and Econometrics. WS
22674, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Francisco Corona & Pedro Orraca, 2019. "Remittances in Mexico and their unobserved components," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 28(8), pages 1047-1066, November.
- Sampi Bravo,James Robert Ezequiel & Jooste,Charl, 2020. "Nowcasting Economic Activity in Times of COVID-19 : An Approximation from the Google Community Mobility Report," Policy Research Working Paper Series 9247, The World Bank.
- Kelly, Bryan & Pruitt, Seth, 2015. "The three-pass regression filter: A new approach to forecasting using many predictors," Journal of Econometrics, Elsevier, vol. 186(2), pages 294-316.
- Xin-Bing Kong, 2017. "On the number of common factors with high-frequency data," Biometrika, Biometrika Trust, vol. 104(2), pages 397-410.
- Perez, M. Fabricio & Shkilko, Andriy & Sokolov, Konstantin, 2015. "Factor models for binary financial data," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 177-188.
- Matteo Luciani, 2011.
"Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks,"
Working Papers ECARES
ECARES 2011‐022, ULB -- Universite Libre de Bruxelles.
- Luciani, Matteo, 2014. "Forecasting with approximate dynamic factor models: The role of non-pervasive shocks," International Journal of Forecasting, Elsevier, vol. 30(1), pages 20-29.
- Wanbo Lu & Guanglin Huang & Kris Boudt, 2024. "Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1085, Ghent University, Faculty of Economics and Business Administration.
- M. Hashem Pesaran & Ron P. Smith, 2021. "Factor Strengths, Pricing Errors, and Estimation of Risk Premia," CESifo Working Paper Series 8947, CESifo.
- Yi He & Sombut Jaidee & Jiti Gao, 2020. "Most Powerful Test against High Dimensional Free Alternatives," Monash Econometrics and Business Statistics Working Papers 13/20, Monash University, Department of Econometrics and Business Statistics.
- Wang, Qinwen & Silverstein, Jack W. & Yao, Jian-feng, 2014. "A note on the CLT of the LSS for sample covariance matrix from a spiked population model," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 194-207.
- Bai, Jushan & Liao, Yuan, 2016. "Efficient estimation of approximate factor models via penalized maximum likelihood," Journal of Econometrics, Elsevier, vol. 191(1), pages 1-18.
- Ruoxuan Xiong & Markus Pelger, 2019.
"Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference,"
Papers
1910.08273, arXiv.org, revised Jan 2022.
- Xiong, Ruoxuan & Pelger, Markus, 2023. "Large dimensional latent factor modeling with missing observations and applications to causal inference," Journal of Econometrics, Elsevier, vol. 233(1), pages 271-301.
- Hou, Lei & Li, Kunpeng & Li, Qi & Ouyang, Min, 2021. "Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks," Journal of Econometrics, Elsevier, vol. 221(2), pages 483-509.
- Bada, Oualid & Kneip, Alois, 2014. "Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 95-115.
- Matthieu Stigler & David Lobell, 2024. "Optimal index insurance and basis risk decomposition: an application to Kenya," American Journal of Agricultural Economics, John Wiley & Sons, vol. 106(1), pages 306-329, January.
- Abdelkamel Alj & Rajae Azrak & Guy Melard, 2014. "On Conditions in Central Limit Theorems for Martingale Difference Arrays Long Version," Working Papers ECARES ECARES 2014-05, ULB -- Universite Libre de Bruxelles.
- Zhao Zhao & Guowei Cui & Shaoping Wang, 2017. "A Monte Carlo comparison of estimating the number of dynamic factors," Empirical Economics, Springer, vol. 53(3), pages 1217-1241, November.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
- Jiti Gao & Guangming Pan & Yanrong Yang & Bo Zhang, 2019. "An Integrated Panel Data Approach to Modelling Economic Growth," Monash Econometrics and Business Statistics Working Papers 9/19, Monash University, Department of Econometrics and Business Statistics.
- Maurizio Daniele & Julie Schnaitmann, 2019. "A Regularized Factor-augmented Vector Autoregressive Model," Papers 1912.06049, arXiv.org.
- Kapetanios, G. & Pesaran, M.H. & Reese, S., 2021. "Detection of units with pervasive effects in large panel data models," Journal of Econometrics, Elsevier, vol. 221(2), pages 510-541.
- Li, Kunpeng & Cui, Guowei & Lu, Lina, 2020. "Efficient estimation of heterogeneous coefficients in panel data models with common shocks," Journal of Econometrics, Elsevier, vol. 216(2), pages 327-353.
- Xun Lu & Su Liangjun, 2015.
"Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects,"
Working Papers
02-2015, Singapore Management University, School of Economics.
- Henry, Marc & Onatski, Alexei, 2012.
"Set coverage and robust policy,"
Economics Letters, Elsevier, vol. 115(2), pages 256-257.
See citations under working paper version above.
- Marc Henry & Alexei Onatski, 2011. "Set Coverage and Robust Policy," CIRJE F-Series CIRJE-F-821, CIRJE, Faculty of Economics, University of Tokyo.
- Marc Henry & Alexei Onatski, 2011. "Set Coverage and Robust Policy," CIRANO Working Papers 2011s-61, CIRANO.
- Marc Henry & Alexei Onatski, 2021. "Set coverage and robust policy," Papers 2106.09784, arXiv.org.
- Alexei Onatski, 2010.
"Determining the Number of Factors from Empirical Distribution of Eigenvalues,"
The Review of Economics and Statistics, MIT Press, vol. 92(4), pages 1004-1016, November.
Cited by:
- Xun Lu & Su Liangjun, 2015.
"Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects,"
Working Papers
02-2015, Singapore Management University, School of Economics.
- Lu, Xun & Su, Liangjun, 2016. "Shrinkage estimation of dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 190(1), pages 148-175.
- Matteo Barigozzi & Lorenzo Trapani, 2018.
"Determining the dimension of factor structures in non-stationary large datasets,"
Papers
1806.03647, arXiv.org.
- Matteo Barigozzi & Lorenzo Trapani, 2018. "Determining the dimension of factor structures in non-stationary large datasets," Discussion Papers 18/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Guo, Wenwen & Cui, Hengjian, 2019. "Projection tests for high-dimensional spiked covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 21-32.
- Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
- Shi Yafeng & Ai Chunrong & Yanlong Shi & Ying Tingting & Xu Qunfang, 2023. "Large covariance estimation using a factor model with common and group‐specific factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2217-2248, December.
- Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
- Poncela, Pilar, 2021. "Dynamic factor models: does the specification matter?," DES - Working Papers. Statistics and Econometrics. WS 32210, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Alessi, Lucia & Elisa, Ossola & Panzica, Roberto, 2021. "When do investors go green? Evidence from a time-varying asset-pricing model," JRC Working Papers in Economics and Finance 2021-13, Joint Research Centre, European Commission.
- Sungurtekin Hallam, Bahar, 2022. "Emerging market responses to external shocks: A cross-country analysis," Economic Modelling, Elsevier, vol. 115(C).
- De Simone, Francisco Nadal, 2024. "The transmission of U.S. monetary policy to small open economies," Journal of International Money and Finance, Elsevier, vol. 142(C).
- GUO-FITOUSSI, Liang, 2013. "A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets," MPRA Paper 50005, University Library of Munich, Germany.
- Onatski, Alexei, 2015. "Asymptotic analysis of the squared estimation error in misspecified factor models," Journal of Econometrics, Elsevier, vol. 186(2), pages 388-406.
- Matteo Luciani, 2015.
"Monetary Policy and the Housing Market: A Structural Factor Analysis,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 199-218, March.
- Matteo LUCIANI, "undated". "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers wp2010-7, Department of the Treasury, Ministry of the Economy and of Finance.
- Matteo Luciani, 2012. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers ECARES ECARES 2012-035, ULB -- Universite Libre de Bruxelles.
- Matteo Luciani, 2013. "Monetary Policy, and the Housing Market: A Structural Factor Analysis," ULB Institutional Repository 2013/153324, ULB -- Universite Libre de Bruxelles.
- Yan Zhou & Peter X.‐K. Song & Xiaoquan Wen, 2021. "Structural factor equation models for causal network construction via directed acyclic mixed graphs," Biometrics, The International Biometric Society, vol. 77(2), pages 573-586, June.
- Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2024.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2017.
"Determining the number of factors after stationary univariate transformations,"
Empirical Economics, Springer, vol. 53(1), pages 351-372, August.
- Corona, Francisco & Poncela, Maria Pilar, 2016. "Determining the number of factors after stationary univariate transformations," DES - Working Papers. Statistics and Econometrics. WS ws1602, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Duan, Jiangtao & Bai, Jushan & Han, Xu, 2023.
"Quasi-maximum likelihood estimation of break point in high-dimensional factor models,"
Journal of Econometrics, Elsevier, vol. 233(1), pages 209-236.
- Jiangtao Duan & Jushan Bai & Xu Han, 2021. "Quasi-maximum likelihood estimation of break point in high-dimensional factor models," Papers 2102.12666, arXiv.org, revised Mar 2021.
- Daniel A. Dias & João B. Duarte, 2019.
"Monetary policy, housing rents, and inflation dynamics,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 673-687, August.
- Daniel A. Dias & Joao B. Duarte, 2019. "Monetary Policy, Housing Rents and Inflation Dynamics," International Finance Discussion Papers 1248, Board of Governors of the Federal Reserve System (U.S.).
- Jushan Bai & Serena Ng, 2021.
"Approximate Factor Models with Weaker Loadings,"
Papers
2109.03773, arXiv.org, revised Mar 2023.
- Bai, Jushan & Ng, Serena, 2023. "Approximate factor models with weaker loadings," Journal of Econometrics, Elsevier, vol. 235(2), pages 1893-1916.
- Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2018.
"Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices,"
Working Paper Series of the Department of Economics, University of Konstanz
2018-07, Department of Economics, University of Konstanz.
- Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2020. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper series 20-03, Rimini Centre for Economic Analysis.
- Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2019. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Papers 1906.05545, arXiv.org.
- Wei Shi & Lung-fei Lee, 2018. "The effects of gun control on crimes: a spatial interactive fixed effects approach," Empirical Economics, Springer, vol. 55(1), pages 233-263, August.
- Yoshimasa Uematsu & Takashi Yamagata, 2020. "Inference in Weak Factor Models," ISER Discussion Paper 1080, Institute of Social and Economic Research, Osaka University.
- Kabundi, Alain & De Simone, Francisco Nadal, 2022. "Euro area banking and monetary policy shocks in the QE era," Journal of Financial Stability, Elsevier, vol. 63(C).
- Pietro Dallari & Antonio Ribba, 2015.
"Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis,"
Center for Economic Research (RECent)
115, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2016. "Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis," EIEF Working Papers Series 1607, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2016.
- Lippi, Marco & Hallin, Marc & Forni, Mario & Zaffaroni, Paolo, 2015. "Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis," CEPR Discussion Papers 10618, C.E.P.R. Discussion Papers.
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2015. "Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis," Working Papers ECARES ECARES 2015-23, ULB -- Universite Libre de Bruxelles.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2017. "Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis," Journal of Econometrics, Elsevier, vol. 199(1), pages 74-92.
- Daniel Czarnowske & Amrei Stammann, 2020. "Inference in Unbalanced Panel Data Models with Interactive Fixed Effects," Papers 2004.03414, arXiv.org.
- Galbraith, John W. & Zinde-Walsh, Victoria, 2020. "Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects," Journal of Econometrics, Elsevier, vol. 218(2), pages 609-632.
- Freeman, Hugo & Weidner, Martin, 2023. "Linear panel regressions with two-way unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 237(1).
- Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.
- Han, Xu & Inoue, Atsushi, 2015.
"Tests For Parameter Instability In Dynamic Factor Models,"
Econometric Theory, Cambridge University Press, vol. 31(5), pages 1117-1152, October.
- Xu Han & Atsushi Inoue, 2011. "Tests for Parameter Instability in Dynamic Factor Models," TERG Discussion Papers 306, Graduate School of Economics and Management, Tohoku University, revised May 2013.
- Xu Han & Atsushi Inoue, 2013. "Tests for Parameter Instability in Dynamic Factor Models," DSSR Discussion Papers 10, Graduate School of Economics and Management, Tohoku University.
- Pilar Poncela & Esther Ruiz, 2016.
"Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 401-434,
Emerald Group Publishing Limited.
- Poncela, Pilar, 2015. "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS ws1502, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Yoshimasa Uematsu & Takashi Yamagata, 2019. "Estimation of Weak Factor Models," ISER Discussion Paper 1053r, Institute of Social and Economic Research, Osaka University, revised Mar 2020.
- Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2013.
"Understanding global liquidity,"
Discussion Papers
03/2013, Deutsche Bundesbank.
- Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2014. "Understanding global liquidity," European Economic Review, Elsevier, vol. 68(C), pages 1-18.
- Sandra Eickmeier & Leonardo Gambacorta & Boris Hofmann, 2013. "Understanding Global Liquidity," BIS Working Papers 402, Bank for International Settlements.
- Forni, Mario & Di Bonaventura, Luca & Pattarin, Francesco, 2018.
"The Forcasting Performance of Dynamic Factor Models with Vintage Data,"
CEPR Discussion Papers
13034, C.E.P.R. Discussion Papers.
- Luca Di Bonaventura & Mario Forni & Francesco Pattarin, 2018. "The Forecasting Performance of Dynamic Factor Models with Vintage Data," Center for Economic Research (RECent) 138, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Luca Di Bonaventura & Mario Forni & Francesco Pattarin, 2018. "The Forecasting Performance of Dynamic Factor Models with Vintage Data," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0070, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Hindrayanto, Irma & Koopman, Siem Jan & de Winter, Jasper, 2016. "Forecasting and nowcasting economic growth in the euro area using factor models," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1284-1305.
- Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012.
"Do Euro area countries respond asymmetrically to the common monetary policy?,"
LSE Research Online Documents on Economics
43344, London School of Economics and Political Science, LSE Library.
- Matteo Luciani & Antoniomaria Conti & Matteo Barigozzi, 2013. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," ULB Institutional Repository 2013/153330, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2013. "Do euro area countries respond asymmetrically to the common monetary policy?," Temi di discussione (Economic working papers) 923, Bank of Italy, Economic Research and International Relations Area.
- Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2014. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(5), pages 693-714, October.
- Alessandro Giovannelli & Tommaso Proietti, 2014.
"On the Selection of Common Factors for Macroeconomic Forecasting,"
CREATES Research Papers
2014-46, Department of Economics and Business Economics, Aarhus University.
- Giovannelli, Alessandro & Proietti, Tommaso, 2014. "On the Selection of Common Factors for Macroeconomic Forecasting," MPRA Paper 60673, University Library of Munich, Germany.
- Alessandro Giovannelli & Tommaso Proietti, 2015. "On the Selection of Common Factors for Macroeconomic Forecasting," CEIS Research Paper 332, Tor Vergata University, CEIS, revised 12 Mar 2015.
- Tommaso Proietti, 2016. "On the Selection of Common Factors for Macroeconomic Forecasting," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 593-628, Emerald Group Publishing Limited.
- Olivier Fortin-Gagnon & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2018.
"A Large Canadian Database for Macroeconomic Analysis,"
CIRANO Working Papers
2018s-25, CIRANO.
- Olivier Fortin-Gagnon & Maxime Leroux & Dalibor Stevanovic & Stephane Surprenant, 2020. "A Large Canadian Database for Macroeconomic Analysis," Working Papers 20-07, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
- Olivier Fortin‐Gagnon & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2022. "A large Canadian database for macroeconomic analysis," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(4), pages 1799-1833, November.
- Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014.
"Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 367-378.
- Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 201351, University of Pretoria, Department of Economics.
- Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 2013-20, Department of Research, Ipag Business School.
- Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2014. "Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?," Working Papers 2014-436, Department of Research, Ipag Business School.
- Wei Zhang, 2024. "Bayesian Dynamic Factor Models for High-dimensional Matrix-valued Time Series," Papers 2409.08354, arXiv.org, revised Nov 2024.
- Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.
- Li, Hongjun & Li, Qi & Shi, Yutang, 2017. "Determining the number of factors when the number of factors can increase with sample size," Journal of Econometrics, Elsevier, vol. 197(1), pages 76-86.
- Telila, Henok Fasil, 2023. "Frontier markets sovereign risk: New evidence from spatial econometric models," Finance Research Letters, Elsevier, vol. 58(PD).
- Miao, Ke & Phillips, Peter C.B. & Su, Liangjun, 2023.
"High-dimensional VARs with common factors,"
Journal of Econometrics, Elsevier, vol. 233(1), pages 155-183.
- Ke Miao & Peter C.B. Phillips & Liangjun Su, 2020. "High-Dimensional VARs with Common Factors," Cowles Foundation Discussion Papers 2252, Cowles Foundation for Research in Economics, Yale University.
- Yongfu Huang & Muhammad G. Quibria, 2015.
"The global partnership for sustainable development,"
Natural Resources Forum, Blackwell Publishing, vol. 39(3-4), pages 157-174, August.
- Yongfu Huang & M. G. Quibria, 2013. "The Global Partnership for Sustainable Development," WIDER Working Paper Series wp-2013-057, World Institute for Development Economic Research (UNU-WIDER).
- Ergemen, Yunus Emre, 2022. "Forecasting inflation rates with multi-level international dependence," Economics Letters, Elsevier, vol. 214(C).
- Eichengreen, Barry & Mody, Ashoka & Nedeljkovic, Milan & Sarno, Lucio, 2012.
"How the Subprime Crisis went global: Evidence from bank credit default swap spreads,"
Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1299-1318.
- Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2009. "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads," NBER Working Papers 14904, National Bureau of Economic Research, Inc.
- Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2012. "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads," Working papers 21, National Bank of Serbia.
- AMMOURI, Bilel & TOUMI, Hassen & Zitouna, Habib, 2015. "Forecasting Inflation in Tunisia Using Dynamic Factors Model," MPRA Paper 65514, University Library of Munich, Germany.
- Francisco Corona & Graciela González-Farías & Pedro Orraca, 2017. "A dynamic factor model for the Mexican economy: are common trends useful when predicting economic activity?," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 26(1), pages 1-35, December.
- Y Chen & X Li, 2022. "Determining the number of factors in high-dimensional generalized latent factor models [Eigenvalue ratio test for the number of factors]," Biometrika, Biometrika Trust, vol. 109(3), pages 769-782.
- Hyungsik Roger Roger Moon & Martin Weidner, 2014. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers 35/14, Institute for Fiscal Studies.
- Barigozzi, Matteo & Moneta, Alessio, 2016.
"Identifying the independent sources of consumption variation,"
LSE Research Online Documents on Economics
60979, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Alessio Moneta, 2012. "Identifying the Independent Sources of Consumption Variation," LEM Papers Series 2012/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Matteo Barigozzi & Alessio Moneta, 2016. "Identifying the Independent Sources of Consumption Variation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(2), pages 420-449, March.
- Moon, Hyungsik Roger & Shum, Matthew & Weidner, Martin, 2018.
"Estimation of random coefficients logit demand models with interactive fixed effects,"
Journal of Econometrics, Elsevier, vol. 206(2), pages 613-644.
- Hyungsik Roger Moon & Matthew Shum & Martin Weidner, 2014. "Estimation of random coefficients logit demand models with interactive fixed effects," CeMMAP working papers CWP20/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hyungsik Roger Moon & Matthew Shum & Martin Weidner, 2017. "Estimation of random coefficients logit demand models with interactive fixed effects," CeMMAP working papers CWP12/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hyungsik Roger Moon & Matthew Shum & Martin Weidner, 2012. "Estimation of random coefficients logit demand models with interactive fixed effects," CeMMAP working papers CWP08/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2020. "Macroeconomic forecasting using approximate factor models with outliers," International Journal of Forecasting, Elsevier, vol. 36(2), pages 267-291.
- Jiti Gao & Guangming Pan & Yanrong Yang & Bo Zhang, 2019. "Estimation of Cross-Sectional Dependence in Large Panels," Papers 1904.06843, arXiv.org.
- Seung C. Ahn & Alex R. Horenstein, 2017. "Asset Pricing and Excess Returns over the Market Return," Working Papers 2017-12, University of Miami, Department of Economics.
- Dovonon, Prosper & Taamouti, Abderrahim & Williams, Julian, 2022. "Testing the eigenvalue structure of spot and integrated covariance," Journal of Econometrics, Elsevier, vol. 229(2), pages 363-395.
- Shuquan Yang & Nengxiang Ling & Yulin Gong, 2022. "Robust estimation of the number of factors for the pair-elliptical factor models," Computational Statistics, Springer, vol. 37(3), pages 1495-1522, July.
- Giannoni, Marc & Boivin, Jean & Stevanovic, Dalibor, 2013.
"Dynamic Effects of Credit Shocks in a Data-Rich Environment,"
CEPR Discussion Papers
9470, C.E.P.R. Discussion Papers.
- Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2013. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CIRANO Working Papers 2013s-11, CIRANO.
- Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2016. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CIRANO Working Papers 2016s-55, CIRANO.
- Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2013. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," Cahiers de recherche 1324, CIRPEE.
- Jean Boivin & Marc P. Giannoni & Dalibor Stevanović, 2020. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 272-284, April.
- Jean Boivin & Marc Giannoni & Dalibor Stevanovic, 2013. "Dynamic effects of credit shocks in a data-rich environment," Staff Reports 615, Federal Reserve Bank of New York.
- Martin Lettau & Markus Pelger, 2018.
"Estimating Latent Asset-Pricing Factors,"
NBER Working Papers
24618, National Bureau of Economic Research, Inc.
- Lettau, Martin & Pelger, Markus, 2020. "Estimating latent asset-pricing factors," Journal of Econometrics, Elsevier, vol. 218(1), pages 1-31.
- Lettau, Martin & Pelger, Markus, 2018. "Estimating Latent Asset-Pricing Factors," CEPR Discussion Papers 12926, C.E.P.R. Discussion Papers.
- Aßmann, Christian & Boysen-Hogrefe, Jens & Pape, Markus, 2016. "Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem," Journal of Econometrics, Elsevier, vol. 192(1), pages 190-206.
- Liang Chen & Juan Dolado & Jesus Gonzalo, 2013.
"Detecting Big Structural Breaks in Large Factor Models,"
Economics Series Working Papers
677, University of Oxford, Department of Economics.
- Chen, Liang, 2011. "Detecting big structural breaks in large factor models," UC3M Working papers. Economics we1141, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
- Chen, Liang & Dolado, Juan Jose & Gonzalo, Jesus, 2011. "Detecting big structural breaks in large factor models," MPRA Paper 31344, University Library of Munich, Germany.
- Bai, Jushan & Liao, Yuan, 2012. "Efficient Estimation of Approximate Factor Models," MPRA Paper 41558, University Library of Munich, Germany.
- Sergio Ortobelli & Noureddine Kouaissah & Tomáš Tichý, 2017. "On the impact of conditional expectation estimators in portfolio theory," Computational Management Science, Springer, vol. 14(4), pages 535-557, October.
- Mattia Guerini & Mauro Napoletano & Claudio Barbieri, 2024.
"The anatomy of government bond yields synchronization in the Eurozone,"
SciencePo Working papers Main
hal-04530954, HAL.
- Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2021. "The anatomy of government bond yields synchronization in the Eurozone," Working Papers hal-03373853, HAL.
- Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2021. "The Anatomy of Government Bond Yields Synchronization in the Eurozone," GREDEG Working Papers 2021-08, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2021. "The anatomy of government bond yields synchronization in the Eurozone," SciencePo Working papers Main hal-03373853, HAL.
- Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2021. "The Anatomy of Government Bond Yields Synchronization in the Eurozone," LEM Papers Series 2021/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Mattia Guerini & Mauro Napoletano & Claudio Barbieri, 2024. "The anatomy of government bond yields synchronization in the Eurozone," Post-Print hal-04530954, HAL.
- Hyungsik Roger Moon & Martin Weidner, 2019.
"Nuclear norm regularized estimation of panel regression models,"
CeMMAP working papers
CWP14/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hyungsik Roger Moon & Martin Weidner, 2018. "Nuclear Norm Regularized Estimation of Panel Regression Models," Papers 1810.10987, arXiv.org, revised Jun 2023.
- Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2015.
"Risks of large portfolios,"
Journal of Econometrics, Elsevier, vol. 186(2), pages 367-387.
- Jianqing Fan & Yuan Liao & Xiaofeng Shi, 2013. "Risks of Large Portfolios," Papers 1302.0926, arXiv.org.
- Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013. "Risks of large portfolios," MPRA Paper 44206, University Library of Munich, Germany.
- Aït-Sahalia, Yacine & Xiu, Dacheng, 2017. "Using principal component analysis to estimate a high dimensional factor model with high-frequency data," Journal of Econometrics, Elsevier, vol. 201(2), pages 384-399.
- Karen Miranda & Pilar Poncela & Esther Ruiz, 2022. "Dynamic factor models: Does the specification matter?," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 397-428, May.
- Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2022.
"Eigenvalue tests for the number of latent factors in short panels,"
Papers
2210.16042, arXiv.org.
- Alain-Philippe Fortin & Patrick Gagliardini & O. Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Swiss Finance Institute Research Paper Series 22-81, Swiss Finance Institute.
- Wei, Jie & Chen, Hui, 2020. "Determining the number of factors in approximate factor models by twice K-fold cross validation," Economics Letters, Elsevier, vol. 191(C).
- In Choi & Dukpa Kim & Yun Jung Kim & Noh-Sun Kwark, 2016.
"A Multilevel Factor Model: Identification, Asymptotic Theory and Applications,"
Working Papers
1609, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- In Choi & Dukpa Kim & Yun Jung Kim & Noh‐Sun Kwark, 2018. "A multilevel factor model: Identification, asymptotic theory and applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 355-377, April.
- Badi H. Baltagi & Chihwa Kao & Fa Wang, 2016.
"The Identification and Estimation of a Large Factor Model with Structural Instability,"
Center for Policy Research Working Papers
194, Center for Policy Research, Maxwell School, Syracuse University.
- Baltagi, Badi H. & Kao, Chihwa & Wang, Fa, 2017. "Identification and estimation of a large factor model with structural instability," Journal of Econometrics, Elsevier, vol. 197(1), pages 87-100.
- Badi H. Baltagi & Chihwa Kao & Fa Wang, 2016. "Identification and Estimation of a Large Factor Model with Structural Instability," Working papers 2016-34, University of Connecticut, Department of Economics.
- Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024.
"The likelihood ratio test for structural changes in factor models,"
Journal of Econometrics, Elsevier, vol. 238(2).
- Jushan Bai & Jiangtao Duan & Xu Han, 2022. "Likelihood ratio test for structural changes in factor models," Papers 2206.08052, arXiv.org, revised Dec 2023.
- Bastian Gribisch, 2018. "A latent dynamic factor approach to forecasting multivariate stock market volatility," Empirical Economics, Springer, vol. 55(2), pages 621-651, September.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019.
"Estimation of large dimensional conditional factor models in finance,"
Working Papers
unige:125031, University of Geneva, Geneva School of Economics and Management.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.
- Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
- Freyaldenhoven, Simon, 2022.
"Factor models with local factors — Determining the number of relevant factors,"
Journal of Econometrics, Elsevier, vol. 229(1), pages 80-102.
- Simon Freyaldenhoven, 2021. "Factor Models with Local Factors—Determining the Number of Relevant Factors," Working Papers 21-15, Federal Reserve Bank of Philadelphia.
- Yunjung Kim & Cheolbeom Park, 2020.
"Are exchange rates disconnected from macroeconomic variables? Evidence from the factor approach,"
Empirical Economics, Springer, vol. 58(4), pages 1713-1747, April.
- Yunjung Kim & Cheolbeom Park, 2016. "Are Exchange Rates Disconnected from Macroeconomic Variables? Evidence from the Factor Approach," Discussion Paper Series 1606, Institute of Economic Research, Korea University.
- Antonia Arsova & Deniz Dilan Karaman Örsal, 2018.
"Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence,"
Econometric Reviews, Taylor & Francis Journals, vol. 37(10), pages 1033-1050, November.
- Antonia Arsova & Deniz Dilan Karaman Oersal, 2013. "Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence," Working Paper Series in Economics 280, University of Lüneburg, Institute of Economics.
- Jie Wei & Yonghui Zhang, 2023. "Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?," Papers 2305.05934, arXiv.org, revised Nov 2024.
- Demir, Ishak & Eroglu, Burak A. & Yildirim-Karaman, Secil, 2021.
"Heterogeneous effects of unconventional monetary policy on bond yields across the euro area,"
LEAF Working Paper Series
19-06, University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF), revised 2021.
- İshak Demi̇r & Burak A. Eroğlu & Seçi̇l Yildirim‐Karaman, 2022. "Heterogeneous Effects of Unconventional Monetary Policy on the Bond Yields across the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1425-1457, August.
- Norman R. Swanson, 2016. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 348-353, July.
- Fu, Zhonghao & Hong, Yongmiao & Wang, Xia, 2023. "Testing for structural changes in large dimensional factor models via discrete Fourier transform," Journal of Econometrics, Elsevier, vol. 233(1), pages 302-331.
- Nathan Bedock & Dalibor Stevanovic, 2012.
"An Empirical Study of Credit Shock Transmission in a Small Open Economy,"
CIRANO Working Papers
2012s-16, CIRANO.
- Nathan Bedock & Dalibor Stevanović, 2017. "An empirical study of credit shock transmission in a small open economy," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(2), pages 541-570, May.
- Nathan Bedock & Dalibor Stevanovic, 2017. "An empirical study of credit shock transmission in a small open economy," Canadian Journal of Economics, Canadian Economics Association, vol. 50(2), pages 541-570, May.
- Poncela, Pilar & Ruiz, Esther, 2020. "A comment on the dynamic factor model with dynamic factors," Economics Discussion Papers 2020-7, Kiel Institute for the World Economy (IfW Kiel).
- Ginama, Isamu & Hayakawa, Kazuhiko & Kanmei, Takahiro, 2018. "Examining the Feldstein–Horioka puzzle using common factor panels and interval estimation," Japan and the World Economy, Elsevier, vol. 48(C), pages 11-21.
- FATUM, Rasmus & YAMAMOTO, Yohei & CHEN, Binwei, 2023. "The Trend Effect of Foreign Exchange Intervention," Discussion paper series HIAS-E-132, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Vogt, M. & Walsh, C. & Linton, O., 2022. "CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects," Janeway Institute Working Papers 2218, Faculty of Economics, University of Cambridge.
- Antonia Arsova, 2019. "Exchange rate pass-through to import prices in Europe: A panel cointegration approach," Working Paper Series in Economics 384, University of Lüneburg, Institute of Economics.
- Richard D. F. Harris & Anh T. H. Nguyen, 2017. "Dynamic factor long memory volatility," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1205-1221, August.
- Mao, Guangyu & Shen, Yan, 2019. "Bubbles or fundamentals? Modeling provincial house prices in China allowing for cross-sectional dependence," China Economic Review, Elsevier, vol. 53(C), pages 53-64.
- Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
- Ke, Shuyao & Phillips, Peter C.B. & Su, Liangjun, 2024. "Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach," Journal of Econometrics, Elsevier, vol. 241(2).
- Xin-Bing Kong & Yong-Xin Liu & Long Yu & Peng Zhao, 2022. "Matrix Quantile Factor Model," Papers 2208.08693, arXiv.org, revised Aug 2024.
- Matteo Barigozzi, 2023. "Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models," Papers 2307.09864, arXiv.org, revised Jun 2024.
- Steffen Henzel & Malte Rengel, 2013.
"Dimensions of macroeconomic uncertainty: A common factor analysis,"
ifo Working Paper Series
167, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Steffen Henzel & Malte Rengel, 2014. "Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis," CESifo Working Paper Series 4991, CESifo.
- Henzel, Steffen R. & Rengel, Malte, 2017. "Dimensions of macroeconomic uncertainty: a common factor analysis," Munich Reprints in Economics 49932, University of Munich, Department of Economics.
- Steffen R. Henzel & Malte Rengel, 2017. "Dimensions Of Macroeconomic Uncertainty: A Common Factor Analysis," Economic Inquiry, Western Economic Association International, vol. 55(2), pages 843-877, April.
- Mattia Guerini & Fabio Vanni & Mauro Napoletano, 2022.
"E pluribus, quaedam. Gross domestic product out of a dashboard of indicators,"
LEM Papers Series
2022/15, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Guerini, Mattia & Vanni, Fabio & Napoletano, Mauro, 2022. "E pluribus, quaedam. Gross domestic product out of a dashboard of indicators," FEEM Working Papers 324043, Fondazione Eni Enrico Mattei (FEEM).
- Mattia Guerini & Fabio Vanni & Mauro Napoletano, 2022. "E pluribus, quaedam. Gross domestic product out of a dashboard of indicators," Working Papers 2022.15, Fondazione Eni Enrico Mattei.
- Karaman Örsal, Deniz Dilan, 2014. "Do the global stochastic trends drive the real house prices in OECD countries?," Economics Letters, Elsevier, vol. 123(1), pages 9-13.
- Juan, Aranzazu de & Poncela, Maria Pilar, 2023. "Economic activity and C02 emissions in Spain," DES - Working Papers. Statistics and Econometrics. WS 37975, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Hugo Freeman & Martin Weidner, 2021. "Linear Panel Regressions with Two-Way Unobserved Heterogeneity," Papers 2109.11911, arXiv.org, revised Aug 2022.
- Joakim Westerlund & Sagarika Mishra, 2017. "On the determination of the number of factors using information criteria with data-driven penalty," Statistical Papers, Springer, vol. 58(1), pages 161-184, March.
- Elizabeth Bucacos, 2017. "Impact of International Monetary Policy in Uruguay: A favar Approach," Investigación Conjunta-Joint Research, in: Ángel Estrada García & Alberto Ortiz Bolaños (ed.), International Spillovers of Monetary Policy, edition 1, chapter 10, pages 321-367, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
- Jin, Sainan & Miao, Ke & Su, Liangjun, 2021.
"On factor models with random missing: EM estimation, inference, and cross validation,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 745-777.
- Su, Liangjun & Miao, Ke & Jin, Sainan, 2019. "On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation," Economics and Statistics Working Papers 4-2019, Singapore Management University, School of Economics.
- Ali Babikir & Henry Mwambi, 2016. "Evaluating the combined forecasts of the dynamic factor model and the artificial neural network model using linear and nonlinear combining methods," Empirical Economics, Springer, vol. 51(4), pages 1541-1556, December.
- Sung Hoon Choi & Donggyu Kim, 2023. "Large Global Volatility Matrix Analysis Based on Observation Structural Information," Papers 2305.01464, arXiv.org, revised Feb 2024.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
- Jianqing Fan & Yuan Liao & Martina Mincheva, 2013.
"Large covariance estimation by thresholding principal orthogonal complements,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
- Fan, Jianqing & Liao, Yuan & Mincheva, Martina, 2011. "Large covariance estimation by thresholding principal orthogonal complements," MPRA Paper 38697, University Library of Munich, Germany.
- Saman Banafti & Tae-Hwy Lee, 2022.
"Inferential Theory for Granular Instrumental Variables in High Dimensions,"
Papers
2201.06605, arXiv.org, revised Sep 2023.
- Saman Banafti & Tae-Hwy Lee, 2022. "Inferential Theory for Granular Instrumental Variables in High Dimensions," Working Papers 202203, University of California at Riverside, Department of Economics.
- Saman Banafti & Tae-Hwy Lee, 2023. "Inferential Theory for Granular Instrumental Variables in High Dimensions," Working Papers 202308, University of California at Riverside, Department of Economics.
- Hartigan, Luke & Morley, James, 2019.
"A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting,"
Working Papers
2019-10, University of Sydney, School of Economics, revised Nov 2019.
- Luke Hartigan & James Morley, 2020. "A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 271-293, September.
- Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023.
"Latent Factor Analysis in Short Panels,"
Papers
2306.14004, arXiv.org, revised May 2024.
- Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023. "Latent Factor Analysis in Short Panels," Swiss Finance Institute Research Paper Series 23-44, Swiss Finance Institute.
- Guo, Xiao & Chen, Yu & Tang, Cheng Yong, 2023. "Information criteria for latent factor models: A study on factor pervasiveness and adaptivity," Journal of Econometrics, Elsevier, vol. 233(1), pages 237-250.
- Zhaoxing Gao & Ruey S. Tsay, 2023. "Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors," Papers 2307.07689, arXiv.org.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021.
"Factor extraction using Kalman filter and smoothing: This is not just another survey,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Poncela Blanco, Maria Pilar, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gábor Pellényi, 2012. "The Sectoral Effects of Monetary Policy in Hungary: A Structural Factor Analysis," MNB Working Papers 2012/1, Magyar Nemzeti Bank (Central Bank of Hungary).
- Roman Matkovskyy, 2016.
"Arbitrary temporal heterogeneity in time of European countries panel model,"
Economics Bulletin, AccessEcon, vol. 36(1), pages 576-587.
- Roman Matkovskyy, 2016. "Arbitrary temporal heterogeneity in time of European countries panel model," Post-Print hal-02010689, HAL.
- Giancarlo Corsetti & Joao B. Duarte & Samuel Mann, 2018.
"One Money, Many Markets,"
Discussion Papers
1805, Centre for Macroeconomics (CFM).
- Giancarlo Corsetti & Joao B Duarte & Samuel Mann, 2022. "One Money, Many Markets [Fixed Rate Versus Adjustable Rate Mortgages: Evidence from Euro Area Banks]," Journal of the European Economic Association, European Economic Association, vol. 20(1), pages 513-548.
- Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
- Jianqing Fan & Yuling Yan & Yuheng Zheng, 2024. "When can weak latent factors be statistically inferred?," Papers 2407.03616, arXiv.org, revised Sep 2024.
- Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023.
"Estimation of a dynamic multi-level factor model with possible long-range dependence,"
International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
- Rodríguez Caballero, Carlos Vladimir, 2017. "Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence," DES - Working Papers. Statistics and Econometrics. WS 24614, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Joel Bun & Jean-Philippe Bouchaud & Marc Potters, 2016. "Cleaning large correlation matrices: tools from random matrix theory," Papers 1610.08104, arXiv.org.
- Kunpeng Li & Qi Li & Lina Lu, 2018.
"Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models,"
Supervisory Research and Analysis Working Papers
RPA 18-2, Federal Reserve Bank of Boston.
- Li, Kunpeng & Li, Qi & Lu, Lina, 2016. "Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models," MPRA Paper 75676, University Library of Munich, Germany.
- Li, Kunpeng & Li, Qi & Lu, Lina, 2018. "Quasi maximum likelihood analysis of high dimensional constrained factor models," Journal of Econometrics, Elsevier, vol. 206(2), pages 574-612.
- Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel [The sectoral effects of monetary policy in Hungary: a structural factor]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
- Nancy Kong & Uwe Dulleck & Adam B. Jaffe & Shupeng Sun & Sowmya Vajjala, 2020.
"Linguistic Metrics for Patent Disclosure: Evidence from University Versus Corporate Patents,"
NBER Working Papers
27803, National Bureau of Economic Research, Inc.
- Nancy Kong & Uwe Dulleck & Adam Jaffe & Shupeng Sun & Sowmya Vajjala, 2020. "Linguistic Metrics for Patent Disclosure: Evidence from University versus Corporate Patents," CESifo Working Paper Series 8571, CESifo.
- Kong, Nancy & Dulleck, Uwe & Jaffe, Adam B. & Sun, Shupeng & Vajjala, Sowmya, 2023. "Linguistic metrics for patent disclosure: Evidence from university versus corporate patents," Research Policy, Elsevier, vol. 52(2).
- Francesca Di Iorio & Stefano Fachin, 2017.
"Evaluating Restricted Common Factor models for non-stationary data,"
DSS Empirical Economics and Econometrics Working Papers Series
2017/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Di Iorio, Francesca & Fachin, Stefano, 2021. "Evaluating restricted common factor models for non-stationary data," Econometrics and Statistics, Elsevier, vol. 17(C), pages 64-75.
- Uluc Aysun & Takeshi Yagihashi, 2017.
"The common sources of business cycles in Trans-Pacific countries and the U.S.? A comparison with NAFTA,"
Working Papers
2017-03, University of Central Florida, Department of Economics.
- Uluc Aysun & Takeshi Yagihashi, 2019. "The common sources of business cycles in Trans‐Pacific countries and the US? A comparison with NAFTA," The World Economy, Wiley Blackwell, vol. 42(4), pages 1077-1109, April.
- Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016.
"A diagnostic criterion for approximate factor structure,"
Papers
1612.04990, arXiv.org, revised Aug 2017.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "A diagnostic criterion for approximate factor structure," Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
- Christian Brownlees & Gu{dh}mundur Stef'an Gu{dh}mundsson & Yaping Wang, 2024. "Performance of Empirical Risk Minimization For Principal Component Regression," Papers 2409.03606, arXiv.org, revised Sep 2024.
- Jiang, Pan & Perez, M. Fabricio, 2021. "Follow the leader: Index tracking with factor models," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 337-350.
- Antonia Arsova, 2021. "Exchange rate pass-through to import prices in Europe: a panel cointegration approach," Empirical Economics, Springer, vol. 61(1), pages 61-100, July.
- Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2012. "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads," Working papers 21, National Bank of Serbia.
- Matteo Barigozzi & Claudio Lissona & Lorenzo Tonni, 2024. "Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy," Papers 2410.05082, arXiv.org.
- Simon Freyaldenhoven, 2017.
"A Generalized Factor Model with Local Factors,"
2017 Papers
pfr361, Job Market Papers.
- Simon Freyaldenhoven, 2019. "A Generalized Factor Model with Local Factors," Working Papers 19-23, Federal Reserve Bank of Philadelphia.
- Wu, Jianhong, 2016. "Robust determination for the number of common factors in the approximate factor models," Economics Letters, Elsevier, vol. 144(C), pages 102-106.
- Matteo Barigozzi & Lorenzo Trapani, 2018.
"Sequential testing for structural stability in approximate factor models,"
Discussion Papers
18/04, University of Nottingham, Granger Centre for Time Series Econometrics.
- Matteo Barigozzi & Lorenzo Trapani, 2017. "Sequential testing for structural stability in approximate factor models," Papers 1708.02786, arXiv.org, revised Mar 2020.
- Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
- Hyungsik Roger Moon & Matthew Shum & Martin Weidner, 2017. "Estimation of random coefficients logit demand models with interactive fixed effects," CeMMAP working papers 12/17, Institute for Fiscal Studies.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2020.
"Estimating Non-stationary Common Factors: Implications for Risk Sharing,"
Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 37-60, January.
- Corona, Francisco & Poncela, Pilar, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Catherine Doz & Peter Fuleky, 2019.
"Dynamic Factor Models,"
Working Papers
halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," Post-Print halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Ron Alquist & Olivier Coibion, 2014.
"Commodity Price Co-Movement and Global Economic Activity,"
Staff Working Papers
14-32, Bank of Canada.
- Alquist, Ron & Bhattarai, Saroj & Coibion, Olivier, 2020. "Commodity-price comovement and global economic activity," Journal of Monetary Economics, Elsevier, vol. 112(C), pages 41-56.
- Ron Alquist & Saroj Bhattarai & Olivier Coibion, 2014. "Commodity-Price Comovement and Global Economic Activity," NBER Working Papers 20003, National Bureau of Economic Research, Inc.
- Hyungsik Roger Roger Moon & Matthew Shum & Martin Weidner, 2012. "Estimation of random coefficients logit demand models with interactive fixed effects," CeMMAP working papers 08/12, Institute for Fiscal Studies.
- Vogt, M. & Walsh, C. & Linton, O., 2022. "CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects," Cambridge Working Papers in Economics 2242, Faculty of Economics, University of Cambridge.
- Kabundi, Alain & De Simone, Francisco Nadal, 2020. "Monetary policy and systemic risk-taking in the euro area banking sector," Economic Modelling, Elsevier, vol. 91(C), pages 736-758.
- Luke Hartigan, 2015. "Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?," Discussion Papers 2015-17, School of Economics, The University of New South Wales.
- Choi, In & Lin, Rui & Shin, Yongcheol, 2023.
"Canonical correlation-based model selection for the multilevel factors,"
Journal of Econometrics, Elsevier, vol. 233(1), pages 22-44.
- In Choi & Rui Lin & Yongcheol Shin, 2020. "Canonical Correlation-based Model Selection for the Multilevel Factors," Working Papers 2008, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- Ryan Greenaway‐McGrevy & Nelson C. Mark & Donggyu Sul & Jyh‐Lin Wu, 2018.
"Identifying Exchange Rate Common Factors,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(4), pages 2193-2218, November.
- Ryan Greenaway-McGrevy & Donggyu Sul & Nelson Mark & Jyh-Lin Wu, 2017. "Identifying Exchange Rate Common Factors," NBER Working Papers 23726, National Bureau of Economic Research, Inc.
- Funke, Michael & Tsang, Andrew, 2019. "The direction and intensity of China's monetary policy conduct: A dynamic factor modelling approach," BOFIT Discussion Papers 8/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
- Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021.
"Inferential Theory for Generalized Dynamic Factor Models,"
Working Papers ECARES
2021-20, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
- Eibinger, Tobias & Deixelberger, Beate & Manner, Hans, 2024. "Panel data in environmental economics: Econometric issues and applications to IPAT models," Journal of Environmental Economics and Management, Elsevier, vol. 125(C).
- Hugo Freeman & Martin Weidner, 2021. "Linear panel regressions with two-way unobserved heterogeneity," CeMMAP working papers CWP39/21, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- In Choi, 2012.
"Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons,"
Working Papers
1209, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- In Choi & Hanbat Jeong, 2019. "Model selection for factor analysis: Some new criteria and performance comparisons," Econometric Reviews, Taylor & Francis Journals, vol. 38(6), pages 577-596, July.
- In Choi & Rui Lin & Yongcheol Shin, 2020. "Online Appendix for Canonical Correlation-based Model Selection for the Multilevel Factors," Working Papers 2009, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- Hyodo, Masashi & Nishiyama, Takahiro & Pavlenko, Tatjana, 2023. "A Behrens–Fisher problem for general factor models in high dimensions," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
- Chen, Binbin & Huang, Shih-Feng & Pan, Guangming, 2015. "High dimensional mean–variance optimization through factor analysis," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 140-159.
- Hyungsik Roger Moon & Martin Weidner, 2013.
"Linear regression for panel with unknown number of factors as interactive fixed effects,"
CeMMAP working papers
CWP49/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hyungsik Roger Moon & Martin Weidner, 2015. "Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects," Econometrica, Econometric Society, vol. 83(4), pages 1543-1579, July.
- Hyungsik Roger Moon & Martin Weidner, 2014. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers CWP35/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Picchio, Matteo, 2021.
"Microchip Bags and Waste Sorting,"
GLO Discussion Paper Series
772, Global Labor Organization (GLO).
- Matteo Picchio, 2021. "Microchip bags and waste sorting," Working Papers 449, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Matteo Barigozzi & Marc Hallin, 2023.
"Dynamic Factor Models: a Genealogy,"
Papers
2310.17278, arXiv.org, revised Jan 2024.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
- Gribisch, Bastian, 2013. "A latent dynamic factor approach to forecasting multivariate stock market volatility," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79823, Verein für Socialpolitik / German Economic Association.
- Noureddine Kouaissah & Sergio Ortobelli Lozza & Ikram Jebabli, 2022. "Portfolio Selection Using Multivariate Semiparametric Estimators and a Copula PCA-Based Approach," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 833-859, October.
- Laumer, Sebastian & Violaris, Andreas-Entony, 2024. "Unconventional monetary policy and policy foresight," Journal of Economic Dynamics and Control, Elsevier, vol. 164(C).
- Chen, Liang, 2012. "Identifying observed factors in approximate factor models: estimation and hypothesis testing," MPRA Paper 37514, University Library of Munich, Germany.
- Chen, Yunxiao & Li, Xiaoou, 2022. "Determining the number of factors in high-dimensional generalized latent factor models," LSE Research Online Documents on Economics 111574, London School of Economics and Political Science, LSE Library.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018.
"Simultaneous multiple change-point and factor analysis for high-dimensional time series,"
LSE Research Online Documents on Economics
88110, London School of Economics and Political Science, LSE Library.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 206(1), pages 187-225.
- Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Quising, Pilipinas F., 2007. "Measuring Regional Market Integration in Developing Asia: a Dynamic Factor Error Correction Model (DF-ECM) Approach," Working Papers on Regional Economic Integration 8, Asian Development Bank.
- Porshakov, Alexey & Deryugina, Elena & Ponomarenko, Alexey & Sinyakov, Andrey, 2015.
"Nowcasting and short-term forecasting of Russian GDP with a dynamic factor model,"
BOFIT Discussion Papers
19/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
- Alexey Porshakov & Elena Deryugina & Alexey Ponomarenko & Andrey Sinyakov, 2015. "Nowcasting and Short-Term Forecasting of Russian GDP with a Dynamic Factor Model," Bank of Russia Working Paper Series wps2, Bank of Russia.
- Porshakov, A. & Ponomarenko, A. & Sinyakov, A., 2016. "Nowcasting and Short-Term Forecasting of Russian GDP with a Dynamic Factor Model," Journal of the New Economic Association, New Economic Association, vol. 30(2), pages 60-76.
- Kerry B. Hudson & Joaquin L. Vespignani, 2014.
"Understanding the Deviations of the Taylor Rule: A New Methodology with an Application to Australia,"
CAMA Working Papers
2014-78, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Hudson, Kerry & Vespignani, Joaquin, 2015. "Understanding the deviations of the Taylor Rule: a new methodology with an application to Australia," Working Papers 2015-06, University of Tasmania, Tasmanian School of Business and Economics.
- Mingli Chen & Ivan Fernandez-Val & Martin Weidner, 2018.
"Nonlinear factor models for network and panel data,"
CeMMAP working papers
CWP38/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chen, Mingli & Fernández-Val, Iván & Weidner, Martin, 2021. "Nonlinear factor models for network and panel data," Journal of Econometrics, Elsevier, vol. 220(2), pages 296-324.
- Mingli Chen & Iv'an Fern'andez-Val & Martin Weidner, 2014. "Nonlinear Factor Models for Network and Panel Data," Papers 1412.5647, arXiv.org, revised Oct 2019.
- Mingli Chen & Ivan Fernandez-Val & Martin Weidner, 2019. "Nonlinear factor models for network and panel data," CeMMAP working papers CWP18/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Markus Pelger & Jiacheng Zou, 2022. "Inference for Large Panel Data with Many Covariates," Papers 2301.00292, arXiv.org, revised Mar 2023.
- António Rua, 2016.
"A wavelet-based multivariate multiscale approach for forecasting,"
Working Papers
w201612, Banco de Portugal, Economics and Research Department.
- Rua, António, 2017. "A wavelet-based multivariate multiscale approach for forecasting," International Journal of Forecasting, Elsevier, vol. 33(3), pages 581-590.
- Xialu Liu & John Guerard & Rong Chen & Ruey Tsay, 2024. "Improving Estimation of Portfolio Risk Using New Statistical Factors," Papers 2409.17182, arXiv.org.
- Di Casola, Paola & Habib, Maurizio Michael & Tercero-Lucas, David, 2023. "Global and local drivers of Bitcoin trading vis-à-vis fiat currencies," Working Paper Series 2868, European Central Bank.
- Marc Hallin & Marcelo Moreira J. & Alexei Onatski, 2013. "Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model," Working Papers ECARES ECARES 2013-04, ULB -- Universite Libre de Bruxelles.
- Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
- Oliver Linton & Maximilian Ruecker & Michael Vogt & Christopher Walsh, 2022. "Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects," Papers 2206.12152, arXiv.org, revised Nov 2024.
- Venetis, Ioannis & Ladas, Avgoustinos, 2022. "Co-movement and global factors in sovereign bond yields," MPRA Paper 115801, University Library of Munich, Germany.
- Pelger, Markus, 2019. "Large-dimensional factor modeling based on high-frequency observations," Journal of Econometrics, Elsevier, vol. 208(1), pages 23-42.
- Rachida Ouysse, 2019.
"Constrained principal components estimation of large approximate factor models,"
Discussion Papers
2017-12a, School of Economics, The University of New South Wales.
- Rachida Ouysse, 2017. "Constrained principal components estimation of large approximate factor models," Discussion Papers 2017-12, School of Economics, The University of New South Wales.
- Tan, Ying & Sha, Wenbiao & Paudel, Krishna, 2017. "The Impact of Monetary Policy on Agricultural Price Index in China: A FAVAR Approach," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252676, Southern Agricultural Economics Association.
- Mehmet Caner & Xu Han, 2014. "Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 359-374, July.
- Franz Ruch & Mehmet Balcilar Author-Name-First Mehmet & Mampho P. Modise & Rangan Gupta, 2015.
"Forecasting Core Inflation: The Case of South Africa,"
Working Papers
15-08, Eastern Mediterranean University, Department of Economics.
- Franz Ruch & Mehmet Balcilar & Rangan Gupta & Mampho P. Modise, 2020. "Forecasting core inflation: the case of South Africa," Applied Economics, Taylor & Francis Journals, vol. 52(28), pages 3004-3022, June.
- Franz Ruch & Mehmet Balcilar & Mampho P. Modise & Rangan Gupta, 2015. "Forecasting Core Inflation: The Case of South Africa," Working Papers 201543, University of Pretoria, Department of Economics.
- Francisco Corona & Nelson Muriel & Jesús López-Pérez, 2023. "Who is the greatest team in Liga MX? A dynamic analysis/¿Cuál es el equipo más grande de la Liga MX? Un análisis dinámico," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 38(2), pages 225–260-2.
- Corsetti, Giancarlo & Duarte, Joao B. & Mann, Samuel, 2018.
"One money, many markets: a factor model approach to monetary policy in the Euro Area with high-frequency identification,"
LSE Research Online Documents on Economics
87182, London School of Economics and Political Science, LSE Library.
- Corsetti, G. & Duarte, J. B. & Mann, S., 2018. "One Money, Many Markets - A Factor Model Approach to Monetary Policy in the Euro Area with High-Frequency Identification," Cambridge Working Papers in Economics 1816, Faculty of Economics, University of Cambridge.
- Hudson, Kerry & Vespignani, Joaquin L., 2015. "Understanding the Taylor Rule in Australia," MPRA Paper 104679, University Library of Munich, Germany.
- Sung Hoon Choi & Donggyu Kim, 2022.
"Large Volatility Matrix Analysis Using Global and National Factor Models,"
Papers
2208.12323, arXiv.org, revised Dec 2022.
- Choi, Sung Hoon & Kim, Donggyu, 2023. "Large volatility matrix analysis using global and national factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1917-1933.
- Bo Zhang & Jiti Gao & Guangming Pan & Yanrong Yang, 2019. "Spiked Eigenvalues of High-Dimensional Separable Sample Covariance Matrices," Monash Econometrics and Business Statistics Working Papers 31/19, Monash University, Department of Econometrics and Business Statistics.
- Baltagi, Badi H. & Kao, Chihwa & Wang, Fa, 2016.
"Estimating and testing high dimensional factor models with multiple structural changes,"
MPRA Paper
98489, University Library of Munich, Germany, revised 26 Jul 2019.
- Baltagi, Badi H. & Kao, Chihwa & Wang, Fa, 2021. "Estimating and testing high dimensional factor models with multiple structural changes," Journal of Econometrics, Elsevier, vol. 220(2), pages 349-365.
- Yu, Long & He, Yong & Zhang, Xinsheng, 2019. "Robust factor number specification for large-dimensional elliptical factor model," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
- Evren Erdogan Cosar & Sevim Kosem & Cagri Sarikaya, 2013. "Do We Really Need Filters In Estimating Output Gap? : Evidence From Turkey," Working Papers 1333, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Hörmann, Siegfried & Jammoul, Fatima, 2023. "Prediction in functional regression with discretely observed and noisy covariates," Computational Statistics & Data Analysis, Elsevier, vol. 178(C).
- Mr. Ron Alquist & Mr. Olivier Coibion, 2013. "The Comovement in Commodity Prices: Sources and Implications," IMF Working Papers 2013/140, International Monetary Fund.
- Michael Funke & Andrew Tsang, 2021. "The Direction and Intensity of China’s Monetary Policy: A Dynamic Factor Modelling Approach," The Economic Record, The Economic Society of Australia, vol. 97(316), pages 100-122, March.
- Gao, Zhaoxing & Tsay, Ruey S., 2023. "A Two-Way Transformed Factor Model for Matrix-Variate Time Series," Econometrics and Statistics, Elsevier, vol. 27(C), pages 83-101.
- Jack Fosten, 2016.
"Model selection with factors and variables,"
University of East Anglia School of Economics Working Paper Series
2016-07, School of Economics, University of East Anglia, Norwich, UK..
- Jack Fosten, 2017. "Model selection with estimated factors and idiosyncratic components," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1087-1106, September.
- Noureddine Kouaissah & Amin Hocine, 2021. "Forecasting systemic risk in portfolio selection: The role of technical trading rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 708-729, July.
- In Choi & Jorg Breitung, 2011.
"Factor models,"
Working Papers
1121, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Dec 2011.
- Jörg Breitung & In Choi, 2013. "Factor models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 11, pages 249-265, Edward Elgar Publishing.
- Forni, Mario & Cavicchioli, Maddalena & Lippi, Marco & Zaffaroni, Paolo, 2016. "Eigenvalue Ratio Estimators for the Number of Common Factors," CEPR Discussion Papers 11440, C.E.P.R. Discussion Papers.
- Isabel Casas & Jiti Gao & Shangyu Xie, 2018.
"Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD,"
CREATES Research Papers
2018-29, Department of Economics and Business Economics, Aarhus University.
- Isabel Casas & Jiti Gao & Shangyu Xie, 2018. "Modelling time-varying income elasticities of health care expenditure for the OECD," Monash Econometrics and Business Statistics Working Papers 22/18, Monash University, Department of Econometrics and Business Statistics.
- De Vos, Ignace & Everaert, Gerdie & Sarafidis, Vasilis, 2021.
"A method for evaluating the rank condition for CCE estimators,"
MPRA Paper
112305, University Library of Munich, Germany, revised 09 Mar 2022.
- Ignace De Vos & Gerdie Everaert & Vasilis Sarafidis, 2021. "A method for evaluating the rank condition for CCE estimators," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1013, Ghent University, Faculty of Economics and Business Administration.
- Matteo Picchio, 2023. "Microchipped bags and waste sorting," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 25(1), pages 1-30, January.
- Andrés García-Medina & Graciela González Farías, 2020. "Transfer entropy as a variable selection methodology of cryptocurrencies in the framework of a high dimensional predictive model," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-31, January.
- Simon Freyaldenhoven, 2020. "Identification Through Sparsity in Factor Models," Working Papers 20-25, Federal Reserve Bank of Philadelphia.
- Daniel Armeanu & Jean Vasile Andrei & Leonard Lache & Mirela Panait, 2017. "A multifactor approach to forecasting Romanian gross domestic product (GDP) in the short run," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-23, July.
- Miao, Ke & Li, Kunpeng & Su, Liangjun, 2020. "Panel threshold models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 219(1), pages 137-170.
- Zhang, Yixiao & Yu, Cindy L. & Li, Haitao, 2022. "Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach," Econometrics and Statistics, Elsevier, vol. 24(C), pages 75-93.
- Kazuhiko Hayakawa & M. Hashem Pesaran & L. Vanessa Smith, 2023. "Short T dynamic panel data models with individual, time and interactive effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 940-967, September.
- Barbarino, Alessandro & Bura, Efstathia, 2024. "Forecasting Near-equivalence of Linear Dimension Reduction Methods in Large Panels of Macro-variables," Econometrics and Statistics, Elsevier, vol. 31(C), pages 1-18.
- Dalibor Stevanovic & Charles Olivier Mao Takongmo, 2014.
"Selection of the number of factors in presence of structural instability: a Monte Carlo study,"
CIRANO Working Papers
2014s-44, CIRANO.
- Mao Takongmo, Charles Olivier & Stevanovic, Dalibor, 2015. "Selection Of The Number Of Factors In Presence Of Structural Instability: A Monte Carlo Study," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 177-233, Mars-Juin.
- Otter, Pieter W. & Jacobs, Jan P.A.M. & Reijer, Ard H.J. de, 2014. "A criterion for the number of factors in a data-rich environment," Research Report 14008-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- Alexander Chudik & M. Hashem Pesaran, 2013.
"Large panel data models with cross-sectional dependence: a survey,"
Globalization Institute Working Papers
153, Federal Reserve Bank of Dallas.
- Alexander Chudik & M. Hashem Pesaran, 2013. "Large Panel Data Models with Cross-Sectional Dependence: A Survey," CESifo Working Paper Series 4371, CESifo.
- Hörmann, Siegfried & Jammoul, Fatima, 2022. "Consistently recovering the signal from noisy functional data," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
- Christian Brownlees & Geert Mesters, 2017.
"Detecting Granular Time Series in Large Panels,"
Working Papers
991, Barcelona School of Economics.
- Brownlees, Christian & Mesters, Geert, 2021. "Detecting granular time series in large panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 544-561.
- Magdalena Erdem & Kostas Tsatsaronis, 2013. "Financial conditions and economic activity: a statistical approach," BIS Quarterly Review, Bank for International Settlements, March.
- Yamamoto, Yohei & Tanaka, Shinya, 2015.
"Testing for factor loading structural change under common breaks,"
Journal of Econometrics, Elsevier, vol. 189(1), pages 187-206.
- YAMAMOTO, Yohei & 山本, 庸平 & TANAKA, Shinya & 田中, 晋也, 2013. "Testing for Factor Loading Structural Change under Common Breaks," Discussion Papers 2013-17, Graduate School of Economics, Hitotsubashi University.
- Martin Solberger & Erik Spånberg, 2020. "Estimating a Dynamic Factor Model in EViews Using the Kalman Filter and Smoother," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 875-900, March.
- Forni, Mario & Gambetti, Luca, 2011.
"Testing for Sufficient Information in Structural VARs,"
CEPR Discussion Papers
8209, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti, 2011. "Testing for Sufficient Information in Structural VARs," UFAE and IAE Working Papers 863.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Mario Forni & Luca Gambetti, 2011. "Testing for Sufficient Information in Structural VARs," Working Papers 536, Barcelona School of Economics.
- Smeekes, Stephan & Wijler, Etiënne, 2016.
"Macroeconomic Forecasting Using Penalized Regression Methods,"
Research Memorandum
039, Maastricht University, Graduate School of Business and Economics (GSBE).
- Smeekes, Stephan & Wijler, Etienne, 2018. "Macroeconomic forecasting using penalized regression methods," International Journal of Forecasting, Elsevier, vol. 34(3), pages 408-430.
- Corsetti, Giancarlo & Duarte, Joao B. & Mann, Samuel, 2020.
"One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area,"
CEPR Discussion Papers
14968, C.E.P.R. Discussion Papers.
- Giancarlo Corsetti & Joao B. Duarte & Samuel Mann, 2020. "One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area," IMF Working Papers 2020/108, International Monetary Fund.
- Marco Avarucci & Paolo Zaffaroni, 2019. "Robust Nearly-Efficient Estimation of Large Panels with Factor Structures," Papers 1902.11181, arXiv.org.
- Roman Matkovskyy, 2016. "A comparison of pre- and post-crisis efficiency of OECD countries: evidence from a model with temporal heterogeneity in time and unobservable individual effect," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 13(2), pages 135-167, December.
- Forni, Mario & Gambetti, Luca, 2014.
"Sufficient information in structural VARs,"
Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
- Mario Forni & Luca Gambetti, 2011. "Sufficient information in structural VARs," Center for Economic Research (RECent) 062, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Corona, Francisco & Orraca, Pedro, 2016.
"Remittances in Mexico and their unobserved components,"
DES - Working Papers. Statistics and Econometrics. WS
22674, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Francisco Corona & Pedro Orraca, 2019. "Remittances in Mexico and their unobserved components," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 28(8), pages 1047-1066, November.
- Karaman Örsal, Deniz Dilan & Arsova, Antonia, 2017.
"Meta-analytic cointegrating rank tests for dependent panels,"
Econometrics and Statistics, Elsevier, vol. 2(C), pages 61-72.
- Deniz Dilan Karaman Örsal & Antonia Arsova, 2015. "Meta-analytic cointegrating rank tests for dependent panels," Working Paper Series in Economics 349, University of Lüneburg, Institute of Economics.
- Osman Dou{g}an & Raffaele Mattera & Philipp Otto & Suleyman Tac{s}p{i}nar, 2024. "A Dynamic Spatiotemporal and Network ARCH Model with Common Factors," Papers 2410.16526, arXiv.org.
- Xia, Qiang & Liang, Rubing & Wu, Jianhong, 2017. "Transformed contribution ratio test for the number of factors in static approximate factor models," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 235-241.
- Wang, Cindy S.H. & Chen, Yi-Chi & Lo, Hsin-Yu, 2021. "A fresh look at the risk-return tradeoff," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
- Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
- Y. -F. Li & G. Papanicolaou, 2024. "Statistical Arbitrage in Rank Space," Papers 2410.06568, arXiv.org.
- Pilar Poncela & Eva Senra & Lya Paola Sierra, 2020. "Global vs Sectoral Factors and the Impact of the Financialization in Commodity Price Changes," Open Economies Review, Springer, vol. 31(4), pages 859-879, September.
- Ángel Estrada García & Alberto Ortiz Bolaños (ed.), 2017. "International Spillovers of Monetary Policy," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, edition 1, volume 1, number 3, December.
- Henok Fasil Telila, 2024. "Frontier markets sovereign risk: New evidence from spatial econometric models," French Stata Users' Group Meetings 2024 10, Stata Users Group.
- Perez, M. Fabricio & Shkilko, Andriy & Sokolov, Konstantin, 2015. "Factor models for binary financial data," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 177-188.
- Elizabeth Bucacos, 2015. "Impact of international monetary policy in Uruguay: a FAVAR approach," Documentos de trabajo 2015003, Banco Central del Uruguay.
- Dai, Chaoxing & Lu, Kun & Xiu, Dacheng, 2019. "Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data," Journal of Econometrics, Elsevier, vol. 208(1), pages 43-79.
- Demir, Ishak, 2019.
"International Spillovers of U.S. Monetary Policy,"
LEAF Working Paper Series
19-02, University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF).
- Demir, Ishak, 2019. "International Spillovers of U.S. Monetary Policy," EconStor Preprints 193968, ZBW - Leibniz Information Centre for Economics.
- Atak, Alev & Kapetanios, George, 2013. "A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors," Economics Letters, Elsevier, vol. 120(2), pages 224-228.
- Xu Lin & Lizi Wu, 2021. "Interdependence among mental health care providers: evidence from a spatial dynamic panel data model with interactive fixed effects," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 67(1), pages 131-165, August.
- Yoshiki Nakajima & Naoya Sueishi, 2022. "Forecasting the Japanese macroeconomy using high-dimensional data," The Japanese Economic Review, Springer, vol. 73(2), pages 299-324, April.
- Liu, Hao, 2019. "The communication and European Regional economic growth: The interactive fixed effects approach," Economic Modelling, Elsevier, vol. 83(C), pages 299-311.
- Markus Pelger, 2020. "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, vol. 75(4), pages 2179-2220, August.
- Shi, Wei & Lee, Lung-fei, 2017. "Spatial dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 197(2), pages 323-347.
- Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2017. "Risk evaluations with robust approximate factor models," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 244-264.
- Kihwan Kim & Norman Swanson, 2013. "Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets," Departmental Working Papers 201315, Rutgers University, Department of Economics.
- Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.
- Hong, Shengjie & Su, Liangjun & Jiang, Tao, 2023. "Profile GMM estimation of panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 927-948.
- Zhaoxing Gao & Ruey S. Tsay, 2020. "A Two-Way Transformed Factor Model for Matrix-Variate Time Series," Papers 2011.09029, arXiv.org.
- Wanbo Lu & Guanglin Huang & Kris Boudt, 2024. "Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1085, Ghent University, Faculty of Economics and Business Administration.
- Bo Zhang & Jiti Gao & Guangming Pan & Yanrong Yang, 2023. "Eigen-Analysis for High-Dimensional Time Series Clustering," Monash Econometrics and Business Statistics Working Papers 22/23, Monash University, Department of Econometrics and Business Statistics.
- Bodnar, Taras & Reiß, Markus, 2016. "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 125-151.
- Wang, Qinwen & Silverstein, Jack W. & Yao, Jian-feng, 2014. "A note on the CLT of the LSS for sample covariance matrix from a spiked population model," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 194-207.
- Takeshi Yagihashi & David D. Selover, 2017. "How Do the Trans-Pacific Economies Affect the USA? An Industrial Sector Approach," The World Economy, Wiley Blackwell, vol. 40(10), pages 2097-2124, October.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016.
"Dynamic Factor Models, Cointegration, and Error Correction Mechanisms,"
Finance and Economics Discussion Series
2016-018, Board of Governors of the Federal Reserve System (U.S.).
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014. "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
- Bai, Jushan & Liao, Yuan, 2016. "Efficient estimation of approximate factor models via penalized maximum likelihood," Journal of Econometrics, Elsevier, vol. 191(1), pages 1-18.
- Huang, Dashan & Jiang, Fuwei & Li, Kunpeng & Tong, Guoshi & Zhou, Guofu, 2023. "Are bond returns predictable with real-time macro data?," Journal of Econometrics, Elsevier, vol. 237(2).
- Zhonghui Zhang & Huarui Jing & Chihwa Kao, 2023. "High-Dimensional Distributionally Robust Mean-Variance Efficient Portfolio Selection," Mathematics, MDPI, vol. 11(5), pages 1-16, March.
- Kevin Sheppard & Wen Xu, 2019. "Factor High-Frequency-Based Volatility (HEAVY) Models," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 33-65.
- Shi, Wei & Lee, Lung-fei, 2018. "A spatial panel data model with time varying endogenous weights matrices and common factors," Regional Science and Urban Economics, Elsevier, vol. 72(C), pages 6-34.
- Hyungsik Roger Roger Moon & Matthew Shum & Martin Weidner, 2014. "Estimation of random coefficients logit demand models with interactive fixed effects," CeMMAP working papers 20/14, Institute for Fiscal Studies.
- Bresson, Georges & Etienne, Jean-Michel & Lacroix, Guy, 2023.
"Nighttime Light Pollution and Economic Activities: A Spatio-Temporal Model with Common Factors for US Counties,"
IZA Discussion Papers
16342, Institute of Labor Economics (IZA).
- Georges Bresson & Jean-Michel Etienne & Guy Lacroix, 2023. "Nighttime light pollution and economic activities: A spatio-temporal model with common factors for US counties," CIRANO Working Papers 2023s-18, CIRANO.
- Ashish Patel & Dipender Gill & Paul Newcombe & Stephen Burgess, 2023. "Conditional inference in cis‐Mendelian randomization using weak genetic factors," Biometrics, The International Biometric Society, vol. 79(4), pages 3458-3471, December.
- Yunus Emre Ergemen, 2022. "Parametric Estimation of Long Memory in Factor Models," CREATES Research Papers 2022-10, Department of Economics and Business Economics, Aarhus University.
- António Rua & Francisco Dias, 2020. "A non-hierarchical dynamic factor model for three-way data," Working Papers w202007, Banco de Portugal, Economics and Research Department.
- Ding, Yi & Li, Yingying & Zheng, Xinghua, 2021. "High dimensional minimum variance portfolio estimation under statistical factor models," Journal of Econometrics, Elsevier, vol. 222(1), pages 502-515.
- Yunus Emre Ergemen & Carlos Vladimir Rodríguez-Caballero, 2016. "A Dynamic Multi-Level Factor Model with Long-Range Dependence," CREATES Research Papers 2016-23, Department of Economics and Business Economics, Aarhus University.
- Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
- Hou, Lei & Li, Kunpeng & Li, Qi & Ouyang, Min, 2021. "Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks," Journal of Econometrics, Elsevier, vol. 221(2), pages 483-509.
- Younghoon Kim & Marie-Christine Duker & Zachary F. Fisher & Vladas Pipiras, 2023. "Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series," Papers 2307.10454, arXiv.org, revised Jul 2024.
- Dominik Bertsche, 2019. "The effects of oil supply shocks on the macroeconomy: a Proxy-FAVAR approachThe effects of oil supply shocks on the macroeconomy: a Proxy-FAVAR approach," Working Paper Series of the Department of Economics, University of Konstanz 2019-06, Department of Economics, University of Konstanz.
- Sebastian Linde, 2023. "Hospital cost efficiency: an examination of US acute care inpatient hospitals," International Journal of Health Economics and Management, Springer, vol. 23(3), pages 325-344, September.
- Barhoumi, K. & Darné, O. & Ferrara, L., 2013.
"Dynamic Factor Models: A review of the Literature ,"
Working papers
430, Banque de France.
- Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2014. "Dynamic factor models: A review of the literature," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 73-107.
- Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2013. "Dynamic factor models: A review of the literature," Post-Print hal-01385974, HAL.
- Bada, Oualid & Kneip, Alois, 2014. "Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 95-115.
- Boot, Tom, 2023. "Joint inference based on Stein-type averaging estimators in the linear regression model," Journal of Econometrics, Elsevier, vol. 235(2), pages 1542-1563.
- Gu, Shihao & Kelly, Bryan & Xiu, Dacheng, 2021. "Autoencoder asset pricing models," Journal of Econometrics, Elsevier, vol. 222(1), pages 429-450.
- Anthony N. Rezitis, 2015. "Empirical Analysis of Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates using Panel Data Econometric Methods," International Journal of Energy Economics and Policy, Econjournals, vol. 5(3), pages 851-868.
- Schanne, Norbert, 2015. "A Global Vector Autoregression (GVAR) model for regional labour markets and its forecasting performance with leading indicators in Germany," IAB-Discussion Paper 201513, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Mohan Subbiah & Frank J Fabozzi, 2016. "Equity style allocation: A nonparametric approach," Journal of Asset Management, Palgrave Macmillan, vol. 17(3), pages 141-164, May.
- Alessandro Barbarino & Efstathia Bura, 2017. "A Unified Framework for Dimension Reduction in Forecasting," Finance and Economics Discussion Series 2017-004, Board of Governors of the Federal Reserve System (U.S.).
- Matthieu Stigler & David Lobell, 2024. "Optimal index insurance and basis risk decomposition: an application to Kenya," American Journal of Agricultural Economics, John Wiley & Sons, vol. 106(1), pages 306-329, January.
- Zhao Zhao & Guowei Cui & Shaoping Wang, 2017. "A Monte Carlo comparison of estimating the number of dynamic factors," Empirical Economics, Springer, vol. 53(3), pages 1217-1241, November.
- Francisco Corona & Graciela Gonz'alez-Far'ias & Jes'us L'opez-P'erez, 2021. "A nowcasting approach to generate timely estimates of Mexican economic activity: An application to the period of COVID-19," Papers 2101.10383, arXiv.org.
- Matthew Harding & Carlos Lamarche & Chris Muris, 2022. "Estimation of a Factor-Augmented Linear Model with Applications Using Student Achievement Data," Papers 2203.03051, arXiv.org.
- Jiti Gao & Guangming Pan & Yanrong Yang & Bo Zhang, 2019. "An Integrated Panel Data Approach to Modelling Economic Growth," Monash Econometrics and Business Statistics Working Papers 9/19, Monash University, Department of Econometrics and Business Statistics.
- Xin Shi & Robert Qiu, 2019. "Estimation of high-dimensional factor models and its application in power data analysis," Papers 1905.02061, arXiv.org, revised Oct 2019.
- Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
- Bada, Oualid & Liebl, Dominik, 2014. "phtt: Panel Data Analysis with Heterogeneous Time Trends in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 59(i06).
- Baek, Changryong & Gates, Katheleen M. & Leinwand, Benjamin & Pipiras, Vladas, 2021. "Two sample tests for high-dimensional autocovariances," Computational Statistics & Data Analysis, Elsevier, vol. 153(C).
- Mouloud El Hafidi & Marouane Daoui, 2019. "Chocs de la politique monétaire et croissance économique au Maroc : une approche en terme de modèles FAVAR," Post-Print hal-03311354, HAL.
- Xun Lu & Su Liangjun, 2015.
"Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects,"
Working Papers
02-2015, Singapore Management University, School of Economics.
- Alexei Onatski, 2009.
"Testing Hypotheses About the Number of Factors in Large Factor Models,"
Econometrica, Econometric Society, vol. 77(5), pages 1447-1479, September.
Cited by:
- Alessi, Lucia & Kerssenfischer, Mark, 2016.
"The response of asset prices to monetary policy shocks: stronger than thought,"
Working Paper Series
1967, European Central Bank.
- Lucia Alessi & Mark Kerssenfischer, 2019. "The response of asset prices to monetary policy shocks: Stronger than thought," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 661-672, August.
- Mario Forni & Luca Gambetti & Luca Sala, 2011.
"No News in Business Cycles,"
Working Papers
535, Barcelona School of Economics.
- Mario Forni & Luca Gambetti & Luca Sala, 2013. "No News in Business Cycles," Working Papers 491, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Mario Forni & Luca Gambetti & Luca Sala, 2014. "No News in Business Cycles," Economic Journal, Royal Economic Society, vol. 124(581), pages 1168-1191, December.
- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," UFAE and IAE Working Papers 862.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No news in business cycles," Center for Economic Research (RECent) 063, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Forni, Mario & Sala, Luca & Gambetti, Luca, 2011. "No News in Business Cycles," CEPR Discussion Papers 8274, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 383, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Xun Lu & Su Liangjun, 2015.
"Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects,"
Working Papers
02-2015, Singapore Management University, School of Economics.
- Lu, Xun & Su, Liangjun, 2016. "Shrinkage estimation of dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 190(1), pages 148-175.
- Matteo Barigozzi & Lorenzo Trapani, 2018.
"Determining the dimension of factor structures in non-stationary large datasets,"
Papers
1806.03647, arXiv.org.
- Matteo Barigozzi & Lorenzo Trapani, 2018. "Determining the dimension of factor structures in non-stationary large datasets," Discussion Papers 18/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Guo, Wenwen & Cui, Hengjian, 2019. "Projection tests for high-dimensional spiked covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 21-32.
- Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
- Qin, Duo & He, Xinhua, 2012. "Modelling the impact of aggregate financial shocks external to the Chinese economy," BOFIT Discussion Papers 25/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
- De Simone, Francisco Nadal, 2024. "The transmission of U.S. monetary policy to small open economies," Journal of International Money and Finance, Elsevier, vol. 142(C).
- Liu, Yan & Bai, Zhidong & Li, Hua & Hu, Jiang & Lv, Zhihui & Zheng, Shurong, 2022. "RDS free CLT for spiked eigenvalues of high-dimensional covariance matrices," Statistics & Probability Letters, Elsevier, vol. 187(C).
- GUO-FITOUSSI, Liang, 2013. "A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets," MPRA Paper 50005, University Library of Munich, Germany.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015.
"Dynamic factor models with infinite-dimensional factor spaces: One-sided representations,"
Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2012. "Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations," Working Papers ECARES ECARES 2012-046, ULB -- Universite Libre de Bruxelles.
- Kong, Xin-Bing & Liu, Zhi & Zhou, Wang, 2019. "A rank test for the number of factors with high-frequency data," Journal of Econometrics, Elsevier, vol. 211(2), pages 439-460.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2012.
"Exponent of Cross-sectional Dependence: Estimation and Inference,"
CESifo Working Paper Series
3722, CESifo.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2016. "Exponent of Cross‐Sectional Dependence: Estimation and Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 929-960, September.
- Bailey, Natalia & Kapetanios, George & Pesaran, M. Hashem, 2012. "Exponent of Cross-sectional Dependence: Estimation and Inference," IZA Discussion Papers 6318, Institute of Labor Economics (IZA).
- Bailey, N. & Kapetanios, G. & Pesaran, M. H., 2012. "Exponent of Cross-sectional Dependence: Estimation and Inference," Cambridge Working Papers in Economics 1206, Faculty of Economics, University of Cambridge.
- Matteo Luciani, 2015.
"Monetary Policy and the Housing Market: A Structural Factor Analysis,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 199-218, March.
- Matteo LUCIANI, "undated". "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers wp2010-7, Department of the Treasury, Ministry of the Economy and of Finance.
- Matteo Luciani, 2012. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers ECARES ECARES 2012-035, ULB -- Universite Libre de Bruxelles.
- Matteo Luciani, 2013. "Monetary Policy, and the Housing Market: A Structural Factor Analysis," ULB Institutional Repository 2013/153324, ULB -- Universite Libre de Bruxelles.
- Yan Zhou & Peter X.‐K. Song & Xiaoquan Wen, 2021. "Structural factor equation models for causal network construction via directed acyclic mixed graphs," Biometrics, The International Biometric Society, vol. 77(2), pages 573-586, June.
- Michael D. Bauer, 2015.
"Nominal Interest Rates and the News,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(2-3), pages 295-332, March.
- Michael D. Bauer, 2011. "Nominal interest rates and the news," Working Paper Series 2011-20, Federal Reserve Bank of San Francisco.
- Matteo Luciani & Libero Monteforte, 2012.
"Uncertainty and Heterogeneity in factor models forecasting,"
Working Papers
5, Department of the Treasury, Ministry of the Economy and of Finance.
- Matteo Luciani & Libero Monteforte, 2013. "Uncertainty and heterogeneity in factor models forecasting," Temi di discussione (Economic working papers) 930, Bank of Italy, Economic Research and International Relations Area.
- Molero-González, L. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & García-Medina, A., 2023. "Market Beta is not dead: An approach from Random Matrix Theory," Finance Research Letters, Elsevier, vol. 55(PA).
- Afanasyeva, Elena & Güntner, Jochen, 2014.
"Lending standards, credit booms and monetary policy,"
IMFS Working Paper Series
85, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Elena Afanasyeva & Jochen Guntner, 2015. "Lending Standards, Credit Booms, and Monetary Policy," Economics Working Papers 15115, Hoover Institution, Stanford University.
- Elena Afanasyeva & Jochen Güntner, 2014. "Lending Standards, Credit Booms and Monetary Policy," Economics working papers 2014-11, Department of Economics, Johannes Kepler University Linz, Austria.
- Anna Bykhovskaya & Vadim Gorin, 2023. "High-Dimensional Canonical Correlation Analysis," Papers 2306.16393, arXiv.org, revised Aug 2023.
- Brian D. O. Anderson & Manfred Deistler & Marco Lippi, 2022. "Linear System Challenges of Dynamic Factor Models," Econometrics, MDPI, vol. 10(4), pages 1-26, December.
- Liangjun Su & Sainan Jin & Yonghui Zhang, 2014.
"Specification Test for Panel Data Models with Interactive Fixed Effects,"
Working Papers
08-2014, Singapore Management University, School of Economics.
- Su, Liangjun & Jin, Sainan & Zhang, Yonghui, 2015. "Specification test for panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 186(1), pages 222-244.
- Pietro Dallari & Antonio Ribba, 2015.
"Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis,"
Center for Economic Research (RECent)
115, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2016. "Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis," EIEF Working Papers Series 1607, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2016.
- Lippi, Marco & Hallin, Marc & Forni, Mario & Zaffaroni, Paolo, 2015. "Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis," CEPR Discussion Papers 10618, C.E.P.R. Discussion Papers.
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2015. "Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis," Working Papers ECARES ECARES 2015-23, ULB -- Universite Libre de Bruxelles.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2017. "Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis," Journal of Econometrics, Elsevier, vol. 199(1), pages 74-92.
- Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.
- Pilar Poncela & Esther Ruiz, 2016.
"Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 401-434,
Emerald Group Publishing Limited.
- Poncela, Pilar, 2015. "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS ws1502, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Heckman, James J. & Pinto, Rodrigo, 2013.
"Econometric Mediation Analyses: Identifying the Sources of Treatment Effects from Experimentally Estimated Production Technologies with Unmeasured and Mismeasured Inputs,"
IZA Discussion Papers
7552, Institute of Labor Economics (IZA).
- James J. Heckman & Rodrigo Pinto, 2013. "Econometric Mediation Analyses: Identifying the Sources of Treatment Effects from Experimentally Estimated Production Technologies with Unmeasured and Mismeasured Inputs," Working Papers 2013-006, Human Capital and Economic Opportunity Working Group.
- James J. Heckman & Rodrigo Pinto, 2015. "Econometric Mediation Analyses: Identifying the Sources of Treatment Effects from Experimentally Estimated Production Technologies with Unmeasured and Mismeasured Inputs," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 6-31, February.
- James J. Heckman & Rodrigo Pinto, 2013. "Econometric Mediation Analyses: Identifying the Sources of Treatment Effects from Experimentally Estimated Production Technologies with Unmeasured and Mismeasured Inputs," NBER Working Papers 19314, National Bureau of Economic Research, Inc.
- Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
- Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012.
"Do Euro area countries respond asymmetrically to the common monetary policy?,"
LSE Research Online Documents on Economics
43344, London School of Economics and Political Science, LSE Library.
- Matteo Luciani & Antoniomaria Conti & Matteo Barigozzi, 2013. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," ULB Institutional Repository 2013/153330, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2013. "Do euro area countries respond asymmetrically to the common monetary policy?," Temi di discussione (Economic working papers) 923, Bank of Italy, Economic Research and International Relations Area.
- Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2014. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(5), pages 693-714, October.
- Alexei Onatski & Francisco Ruge‐Murcia, 2013.
"Factor Analysis Of A Large Dsge Model,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(6), pages 903-928, September.
- ONATSKI, Alexei & RUGE-MURCIA, Francisco J., 2010. "Factor Analysis of a Large DSGE Model," Cahiers de recherche 17-2010, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Alexei Onatski & Francisco J. Ruge-Murcia, 2010. "Factor Analysis of a Large DSGE Model," Working Paper series 50_10, Rimini Centre for Economic Analysis.
- ONATSKI, Alexei & RUGE-MURCIA, Francisco J., 2010. "Factor Analysis of a Large DSGE Model," Cahiers de recherche 2010-08, Universite de Montreal, Departement de sciences economiques.
- Conti, Gabriella & Frühwirth-Schnatter, Sylvia & Heckman, James J. & Piatek, Rémi, 2014.
"Bayesian Exploratory Factor Analysis,"
IZA Discussion Papers
8338, Institute of Labor Economics (IZA).
- Gabriella Conti & Sylvia Frühwirth-Schnatter & James Heckman & Rémi Piatek, 2014. "Bayesian exploratory factor analysis," CeMMAP working papers CWP30/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Conti, Gabriella & Frühwirth-Schnatter, Sylvia & Heckman, James J. & Piatek, Rémi, 2014. "Bayesian exploratory factor analysis," Journal of Econometrics, Elsevier, vol. 183(1), pages 31-57.
- Gabriella Conti & Sylvia Frühwirth-Schnatter & James Heckman & Rémi Piatek, 2014. "Bayesian exploratory factor analysis," CeMMAP working papers 30/14, Institute for Fiscal Studies.
- Gabriella Conti & Sylvia Frühwirth-Schnatter & James J. Heckman & Rémi Piatek, 2014. "Bayesian Exploratory Factor Analysis," NRN working papers 2014-08, The Austrian Center for Labor Economics and the Analysis of the Welfare State, Johannes Kepler University Linz, Austria.
- Gabriella Conti & Sylvia Fruehwirth-Schnatter & James J. Heckman & Remi Piatek, 2014. "Bayesian Exploratory Factor Analysis," Working Papers 2014-014, Human Capital and Economic Opportunity Working Group.
- Li, Hongjun & Li, Qi & Shi, Yutang, 2017. "Determining the number of factors when the number of factors can increase with sample size," Journal of Econometrics, Elsevier, vol. 197(1), pages 76-86.
- Arce-Alfaro, Gabriel & Blagov, Boris, 2021. "Heterogeneity, co-movements and financial fragmentation within the euro area," Ruhr Economic Papers 927, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Ard H. J. den Reijer & Pieter W. Otter & Jan P. A. M. Jacobs, 2024. "An heuristic scree plot criterion for the number of factors," Statistical Papers, Springer, vol. 65(6), pages 3991-4000, August.
- Kim, Hyun Hak & Swanson, Norman R., 2018. "Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods," International Journal of Forecasting, Elsevier, vol. 34(2), pages 339-354.
- James Heckman & Rodrigo Pinto & Peter Savelyev, 2013.
"Understanding the Mechanisms through Which an Influential Early Childhood Program Boosted Adult Outcomes,"
American Economic Review, American Economic Association, vol. 103(6), pages 2052-2086, October.
- James J. Heckman & Rodrigo Pinto & Peter A. Savelyev, 2012. "Understanding the Mechanisms through Which an Influential Early Childhood Program Boosted Adult Outcomes," Vanderbilt University Department of Economics Working Papers 12-00011, Vanderbilt University Department of Economics.
- James J. Heckman & Rodrigo Pinto & Peter A. Savelyev, 2012. "Understanding the Mechanisms through Which an Influential Early Childhood Program Boosted Adult Outcomes," NBER Working Papers 18581, National Bureau of Economic Research, Inc.
- Heckman, James J. & Pinto, Rodrigo & Savelyev, Peter A., 2012. "Understanding the Mechanisms Through Which an Influential Early Childhood Program Boosted Adult Outcomes," IZA Discussion Papers 7040, Institute of Labor Economics (IZA).
- Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2020. "Macroeconomic forecasting using approximate factor models with outliers," International Journal of Forecasting, Elsevier, vol. 36(2), pages 267-291.
- Shuquan Yang & Nengxiang Ling & Yulin Gong, 2022. "Robust estimation of the number of factors for the pair-elliptical factor models," Computational Statistics, Springer, vol. 37(3), pages 1495-1522, July.
- Mario Forni & Luca Gambetti, 2010.
"Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model,"
Center for Economic Research (RECent)
040, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Forni, Mario & Gambetti, Luca, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," CEPR Discussion Papers 7692, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," Working Papers 440, Barcelona School of Economics.
- Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," UFAE and IAE Working Papers 850.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Xiao Huang, 2023. "Composite Quantile Factor Model," Papers 2308.02450, arXiv.org, revised Nov 2024.
- Liang Chen & Juan Dolado & Jesus Gonzalo, 2013.
"Detecting Big Structural Breaks in Large Factor Models,"
Economics Series Working Papers
677, University of Oxford, Department of Economics.
- Chen, Liang, 2011. "Detecting big structural breaks in large factor models," UC3M Working papers. Economics we1141, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
- Chen, Liang & Dolado, Juan Jose & Gonzalo, Jesus, 2011. "Detecting big structural breaks in large factor models," MPRA Paper 31344, University Library of Munich, Germany.
- Ling-Ni Boon & Florian Ielpo, 2016. "An anatomy of global risk premiums," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 229-243, July.
- Mattia Guerini & Mauro Napoletano & Claudio Barbieri, 2024.
"The anatomy of government bond yields synchronization in the Eurozone,"
SciencePo Working papers Main
hal-04530954, HAL.
- Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2021. "The anatomy of government bond yields synchronization in the Eurozone," Working Papers hal-03373853, HAL.
- Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2021. "The Anatomy of Government Bond Yields Synchronization in the Eurozone," GREDEG Working Papers 2021-08, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2021. "The anatomy of government bond yields synchronization in the Eurozone," SciencePo Working papers Main hal-03373853, HAL.
- Claudio Barbieri & Mattia Guerini & Mauro Napoletano, 2021. "The Anatomy of Government Bond Yields Synchronization in the Eurozone," LEM Papers Series 2021/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Mattia Guerini & Mauro Napoletano & Claudio Barbieri, 2024. "The anatomy of government bond yields synchronization in the Eurozone," Post-Print hal-04530954, HAL.
- Joakim Westerlund, 2020. "A cross‐section average‐based principal components approach for fixed‐T panels," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 776-785, September.
- Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2016.
"Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 83(4), pages 1511-1543.
- Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2013. "Shrinkage estimation of high-dimensional factor models with structural instabilities," Working Papers 14-4, Federal Reserve Bank of Philadelphia.
- Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2014. "Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities," NBER Working Papers 19792, National Bureau of Economic Research, Inc.
- Sofiane Aboura & Julien Chevallier, 2015.
"Cross-market volatility index with Factor-DCC,"
Post-Print
halshs-01348723, HAL.
- Aboura, Sofiane & Chevallier, Julien, 2015. "Cross-market volatility index with Factor-DCC," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 132-140.
- Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2022.
"Eigenvalue tests for the number of latent factors in short panels,"
Papers
2210.16042, arXiv.org.
- Alain-Philippe Fortin & Patrick Gagliardini & O. Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Swiss Finance Institute Research Paper Series 22-81, Swiss Finance Institute.
- Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K., 2016. "A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 134-155.
- Holly, S. & Petrella, I., 2008.
"Factor demand linkages and the business cycle: Interpreting aggregate fluctuations as sectoral fluctuations,"
Cambridge Working Papers in Economics
0827, Faculty of Economics, University of Cambridge.
- Sean Holly & Ivan Petrella, 2008. "Factor demand linkages and the business cycle: interpreting aggregate fluctuations as sectoral fluctuations," CDMA Conference Paper Series 0809, Centre for Dynamic Macroeconomic Analysis.
- In Choi & Dukpa Kim & Yun Jung Kim & Noh-Sun Kwark, 2016.
"A Multilevel Factor Model: Identification, Asymptotic Theory and Applications,"
Working Papers
1609, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- In Choi & Dukpa Kim & Yun Jung Kim & Noh‐Sun Kwark, 2018. "A multilevel factor model: Identification, asymptotic theory and applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 355-377, April.
- Badi H. Baltagi & Chihwa Kao & Fa Wang, 2016.
"The Identification and Estimation of a Large Factor Model with Structural Instability,"
Center for Policy Research Working Papers
194, Center for Policy Research, Maxwell School, Syracuse University.
- Baltagi, Badi H. & Kao, Chihwa & Wang, Fa, 2017. "Identification and estimation of a large factor model with structural instability," Journal of Econometrics, Elsevier, vol. 197(1), pages 87-100.
- Badi H. Baltagi & Chihwa Kao & Fa Wang, 2016. "Identification and Estimation of a Large Factor Model with Structural Instability," Working papers 2016-34, University of Connecticut, Department of Economics.
- Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024.
"The likelihood ratio test for structural changes in factor models,"
Journal of Econometrics, Elsevier, vol. 238(2).
- Jushan Bai & Jiangtao Duan & Xu Han, 2022. "Likelihood ratio test for structural changes in factor models," Papers 2206.08052, arXiv.org, revised Dec 2023.
- Forni, Mario & Giovannelli, Alessandro & Lippi, Marco & Soccorsi, Stefano, 2016.
"Dynamic Factor model with infinite dimensional factor space: forecasting,"
CEPR Discussion Papers
11161, C.E.P.R. Discussion Papers.
- Mario Forni & Alessandro Giovannelli & Marco Lippi & Stefano Soccorsi, 2016. "Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting," Working Papers ECARES ECARES 2016-16, ULB -- Universite Libre de Bruxelles.
- Mario Forni & Alessandro Giovannelli & Marco Lippi & Stefano Soccorsi, 2018. "Dynamic factor model with infinite‐dimensional factor space: Forecasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 625-642, August.
- Mario Forni & Alessandro Giovannelli & Marco Lippi & Stefano Soccorsi, 2016. "Dynamic Factor model with infinite dimensional factor space: forecasting," Center for Economic Research (RECent) 120, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Freyaldenhoven, Simon, 2022.
"Factor models with local factors — Determining the number of relevant factors,"
Journal of Econometrics, Elsevier, vol. 229(1), pages 80-102.
- Simon Freyaldenhoven, 2021. "Factor Models with Local Factors—Determining the Number of Relevant Factors," Working Papers 21-15, Federal Reserve Bank of Philadelphia.
- Artūras Juodis & Simas Kučinskas, 2023. "Quantifying noise in survey expectations," Quantitative Economics, Econometric Society, vol. 14(2), pages 609-650, May.
- Julien Chevallier & Florian Ielpo & Ling-Ni Boon, 2013. "Common risk factors in commodities," Economics Bulletin, AccessEcon, vol. 33(4), pages 2801-2816.
- Fu, Zhonghao & Hong, Yongmiao & Wang, Xia, 2023. "Testing for structural changes in large dimensional factor models via discrete Fourier transform," Journal of Econometrics, Elsevier, vol. 233(1), pages 302-331.
- Panagiotidis, Theodore & Printzis, Panagiotis, 2020.
"What is the investment loss due to uncertainty?,"
Global Finance Journal, Elsevier, vol. 45(C).
- Theodore Panagiotidis & Panagiotis Printzis, 2019. "What is the Investment Loss due to Uncertainty?," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 138, Hellenic Observatory, LSE.
- Panagiotidis, Theodore & Printzis, Panagiotis, 2019. "What is the investment loss due to uncertainty?," LSE Research Online Documents on Economics 102648, London School of Economics and Political Science, LSE Library.
- Theodore Panagiotidis & Panagiotis Printzis, 2019. "What is the Investment Loss due to Uncertainty?," Working Papers 383, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
- Theodore Panagiotidis & Panagiotis Printzis, 2019. "What is the Investment Loss due to Uncertainty?," Working Paper series 19-06, Rimini Centre for Economic Analysis.
- He, Yong & Kong, Xinbing & Trapani, Lorenzo & Yu, Long, 2023. "One-way or two-way factor model for matrix sequences?," Journal of Econometrics, Elsevier, vol. 235(2), pages 1981-2004.
- Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
- Aboura, Sofiane & Chevallier, Julien, 2014.
"Cross-market index with Factor-DCC,"
Economic Modelling, Elsevier, vol. 40(C), pages 158-166.
- Julien Chevallier & Sofiane Aboura, 2014. "Cross-market index with Factor-DCC," Post-Print hal-01531234, HAL.
- Jiti Gao & Fei Liu & Bin Peng & Yayi Yan, 2020.
"Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects,"
Papers
2012.03182, arXiv.org, revised Nov 2021.
- Gao, Jiti & Liu, Fei & Peng, Bin & Yan, Yayi, 2023. "Binary response models for heterogeneous panel data with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 1654-1679.
- Joakim Westerlund & Sagarika Mishra, 2017. "On the determination of the number of factors using information criteria with data-driven penalty," Statistical Papers, Springer, vol. 58(1), pages 161-184, March.
- Christian M. Hafner & Oliver Linton & Haihan Tang, 2016. "Estimation of a Multiplicative Covariance Structure," CeMMAP working papers CWP23/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
- Jin, Sainan & Miao, Ke & Su, Liangjun, 2021.
"On factor models with random missing: EM estimation, inference, and cross validation,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 745-777.
- Su, Liangjun & Miao, Ke & Jin, Sainan, 2019. "On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation," Economics and Statistics Working Papers 4-2019, Singapore Management University, School of Economics.
- Ali Babikir & Henry Mwambi, 2016. "Evaluating the combined forecasts of the dynamic factor model and the artificial neural network model using linear and nonlinear combining methods," Empirical Economics, Springer, vol. 51(4), pages 1541-1556, December.
- Sean Holly & Ivan Petrella, 2012.
"Factor Demand Linkages, Technology Shocks, and the Business Cycle,"
The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 948-963, November.
- Holly, S. & Petrella, I., 2010. "Factor Demand Linkages, Technology Shocks and the Business Cycle," Cambridge Working Papers in Economics 1001, Faculty of Economics, University of Cambridge.
- Holly, Sean & Petrella, Ivan, 2009. "Factor Demand Linkages, Technology Shocks and the Business Cycle," MPRA Paper 18120, University Library of Munich, Germany.
- Sean HOLLY & Ivan PETRELLA, 2010. "Factor demand linkages, technology shocks and the business cycle," Working Papers of Department of Economics, Leuven ces10.26, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- García, Juan Angel & Werner, Sebastian E. V., 2016. "Bond risk premia, macroeconomic factors and financial crisis in the euro area," Working Paper Series 1938, European Central Bank.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
- Jianqing Fan & Yuan Liao & Martina Mincheva, 2013.
"Large covariance estimation by thresholding principal orthogonal complements,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
- Fan, Jianqing & Liao, Yuan & Mincheva, Martina, 2011. "Large covariance estimation by thresholding principal orthogonal complements," MPRA Paper 38697, University Library of Munich, Germany.
- Helmut Lütkepohl, 2014.
"Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey,"
Discussion Papers of DIW Berlin
1351, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut, 2014. "Structural vector autoregressive analysis in a data rich environment: A survey," SFB 649 Discussion Papers 2014-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Han, Xu, 2015. "Tests for overidentifying restrictions in Factor-Augmented VAR models," Journal of Econometrics, Elsevier, vol. 184(2), pages 394-419.
- Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023.
"Latent Factor Analysis in Short Panels,"
Papers
2306.14004, arXiv.org, revised May 2024.
- Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023. "Latent Factor Analysis in Short Panels," Swiss Finance Institute Research Paper Series 23-44, Swiss Finance Institute.
- Panagiotidis, Theodore & Printzis, Panagiotis, 2021. "Investment and uncertainty: Are large firms different from small ones?," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 302-317.
- Andrii Babii & Eric Ghysels & Jonas Striaukas, 2024.
"Econometrics of machine learning methods in economic forecasting,"
Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 10, pages 246-273,
Edward Elgar Publishing.
- Andrii Babii & Eric Ghysels & Jonas Striaukas, 2023. "Econometrics of Machine Learning Methods in Economic Forecasting," Papers 2308.10993, arXiv.org.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021.
"Factor extraction using Kalman filter and smoothing: This is not just another survey,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Poncela Blanco, Maria Pilar, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gábor Pellényi, 2012. "The Sectoral Effects of Monetary Policy in Hungary: A Structural Factor Analysis," MNB Working Papers 2012/1, Magyar Nemzeti Bank (Central Bank of Hungary).
- Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020.
"Estimation of a multiplicative correlation structure in the large dimensional case,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.
- Hafner, C. & Linton, O. & Tang, H., 2018. "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1878, Faculty of Economics, University of Cambridge.
- Hafner, Christian & Linton, Oliver & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," LIDAM Reprints ISBA 2020028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Giancarlo Corsetti & Joao B. Duarte & Samuel Mann, 2018.
"One Money, Many Markets,"
Discussion Papers
1805, Centre for Macroeconomics (CFM).
- Giancarlo Corsetti & Joao B Duarte & Samuel Mann, 2022. "One Money, Many Markets [Fixed Rate Versus Adjustable Rate Mortgages: Evidence from Euro Area Banks]," Journal of the European Economic Association, European Economic Association, vol. 20(1), pages 513-548.
- Jianqing Fan & Yuling Yan & Yuheng Zheng, 2024. "When can weak latent factors be statistically inferred?," Papers 2407.03616, arXiv.org, revised Sep 2024.
- Mario Forni & Luca Gambetti, 2010.
"Fiscal Foresight and the Effects of Government Spending,"
Center for Economic Research (RECent)
049, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Mario Forni & Luca Gambetti, 2010. "Fiscal Foresight and the Effects of Government Spending," Working Papers 460, Barcelona School of Economics.
- Forni, Mario & Gambetti, Luca, 2010. "Fiscal Foresight and the Effects of Goverment Spending," CEPR Discussion Papers 7840, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti, 2010. "Fiscal Foresight and the Effects of Government Spending," UFAE and IAE Working Papers 851.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel [The sectoral effects of monetary policy in Hungary: a structural factor]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
- Silvia Miranda-Agrippino & Hélène Rey, 2015.
"US Monetary Policy and the Global Financial Cycle,"
NBER Working Papers
21722, National Bureau of Economic Research, Inc.
- Silvia Miranda-Agrippino & Hélène Rey, 2020. "U.S. Monetary Policy and the Global Financial Cycle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(6), pages 2754-2776.
- Jushan Bai & Serena Ng, 2020. "Simpler Proofs for Approximate Factor Models of Large Dimensions," Papers 2008.00254, arXiv.org.
- Harun Mirza & Lidia Storjohann, 2014. "Making Weak Instrument Sets Stronger: Factor‐Based Estimation of Inflation Dynamics and a Monetary Policy Rule," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 643-664, June.
- Francesca Di Iorio & Stefano Fachin, 2017.
"Evaluating Restricted Common Factor models for non-stationary data,"
DSS Empirical Economics and Econometrics Working Papers Series
2017/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Di Iorio, Francesca & Fachin, Stefano, 2021. "Evaluating restricted common factor models for non-stationary data," Econometrics and Statistics, Elsevier, vol. 17(C), pages 64-75.
- Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016.
"A diagnostic criterion for approximate factor structure,"
Papers
1612.04990, arXiv.org, revised Aug 2017.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "A diagnostic criterion for approximate factor structure," Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
- Jiang, Pan & Perez, M. Fabricio, 2021. "Follow the leader: Index tracking with factor models," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 337-350.
- Xavier Gabaix & Ralph S. J. Koijen, 2024.
"Granular Instrumental Variables,"
Journal of Political Economy, University of Chicago Press, vol. 132(7), pages 2274-2303.
- Xavier Gabaix & Ralph S. J. Koijen, 2020. "Granular Instrumental Variables," NBER Working Papers 28204, National Bureau of Economic Research, Inc.
- Xavier Gabaix & Ralph S. J. Koijen, 2020. "Granular Instrumental Variables," Working Papers 2020-177, Becker Friedman Institute for Research In Economics.
- Koijen, Ralph & Gabaix, Xavier, 2020. "Granular Instrumental Variables," CEPR Discussion Papers 15531, C.E.P.R. Discussion Papers.
- Simon Freyaldenhoven, 2017.
"A Generalized Factor Model with Local Factors,"
2017 Papers
pfr361, Job Market Papers.
- Simon Freyaldenhoven, 2019. "A Generalized Factor Model with Local Factors," Working Papers 19-23, Federal Reserve Bank of Philadelphia.
- Aboura, Sofiane & Chevallier, Julien, 2015.
"A cross-volatility index for hedging the country risk,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 25-41.
- Sofiane Aboura & Julien Chevallier, 2015. "A cross-volatility index for hedging the country risk," Post-Print hal-01529742, HAL.
- Catherine Doz & Peter Fuleky, 2019.
"Dynamic Factor Models,"
Working Papers
halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," Post-Print halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Kabundi, Alain & De Simone, Francisco Nadal, 2020. "Monetary policy and systemic risk-taking in the euro area banking sector," Economic Modelling, Elsevier, vol. 91(C), pages 736-758.
- Ryan Greenaway‐McGrevy & Nelson C. Mark & Donggyu Sul & Jyh‐Lin Wu, 2018.
"Identifying Exchange Rate Common Factors,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(4), pages 2193-2218, November.
- Ryan Greenaway-McGrevy & Donggyu Sul & Nelson Mark & Jyh-Lin Wu, 2017. "Identifying Exchange Rate Common Factors," NBER Working Papers 23726, National Bureau of Economic Research, Inc.
- Damien Passemier & Zhaoyuan Li & Jianfeng Yao, 2017. "On estimation of the noise variance in high dimensional probabilistic principal component analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(1), pages 51-67, January.
- Chen Jau-er, 2015. "Factor instrumental variable quantile regression," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 71-92, February.
- Ayden Higgins, 2021. "Fixed $T$ Estimation of Linear Panel Data Models with Interactive Fixed Effects," Papers 2110.05579, arXiv.org.
- Piyachart Phiromswad & Takeshi Yagihashi, 2016. "Empirical identification of factor models," Empirical Economics, Springer, vol. 51(2), pages 621-658, September.
- Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021.
"Inferential Theory for Generalized Dynamic Factor Models,"
Working Papers ECARES
2021-20, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
- Kihwan Kim & Hyun Hak Kim & Norman R. Swanson, 2023. "Mixing mixed frequency and diffusion indices in good times and in bad: an assessment based on historical data around the great recession of 2008," Empirical Economics, Springer, vol. 64(3), pages 1421-1469, March.
- Yinchu Zhu, 2019. "How well can we learn large factor models without assuming strong factors?," Papers 1910.10382, arXiv.org, revised Nov 2019.
- In Choi, 2012.
"Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons,"
Working Papers
1209, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- In Choi & Hanbat Jeong, 2019. "Model selection for factor analysis: Some new criteria and performance comparisons," Econometric Reviews, Taylor & Francis Journals, vol. 38(6), pages 577-596, July.
- Andres Sagner, 2020. "High Dimensional Quantile Factor Analysis," Working Papers Central Bank of Chile 886, Central Bank of Chile.
- Wang, Shaoping & Cui, Guowei & Li, Kunpeng, 2015. "Factor-augmented regression models with structural change," Economics Letters, Elsevier, vol. 130(C), pages 124-127.
- Marc Hallin & Marco Lippi, 2013.
"Factor Models in High-Dimensional Time Series: A Time-Domain Approach,"
Working Papers ECARES
ECARES 2013-15, ULB -- Universite Libre de Bruxelles.
- Hallin, Marc & Lippi, Marco, 2013. "Factor models in high-dimensional time series—A time-domain approach," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2678-2695.
- Mirza, Harun & Storjohann, Lidia, 2011. "Making a Weak Instrument Set Stronger: Factor-Based Estimation of the Taylor Rule," Bonn Econ Discussion Papers 13/2011, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Philipp Gersing & Christoph Rust & Manfred Deistler, 2023. "Weak Factors are Everywhere," Papers 2307.10067, arXiv.org, revised Jan 2024.
- Matteo Barigozzi & Marc Hallin, 2023.
"Dynamic Factor Models: a Genealogy,"
Papers
2310.17278, arXiv.org, revised Jan 2024.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
- Forzani, Liliana & Gieco, Antonella & Tolmasky, Carlos, 2017. "Likelihood ratio test for partial sphericity in high and ultra-high dimensions," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 18-38.
- Chen, Liang, 2012. "Identifying observed factors in approximate factor models: estimation and hypothesis testing," MPRA Paper 37514, University Library of Munich, Germany.
- Haruo Iwakura & Ryo Okui, 2014. "Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models," KIER Working Papers 887, Kyoto University, Institute of Economic Research.
- Christian M. Hafner & Oliver Linton & Haihan Tang, 2016. "Estimation of a Multiplicative Covariance Structure," CeMMAP working papers 23/16, Institute for Fiscal Studies.
- Sofiane Aboura & Julien Chevallier, 2014.
"The cross-market index for volatility surprise,"
Journal of Asset Management, Palgrave Macmillan, vol. 15(1), pages 7-23, February.
- Sofiane Aboura & Julien Chevallier, 2014. "The cross-market index for volatility surprise," Post-Print hal-01531250, HAL.
- Ke, Xiao & Chen, Haiqiang & Hong, Yongmiao & Hsiao, Cheng, 2017. "Do China's high-speed-rail projects promote local economy?—New evidence from a panel data approach," China Economic Review, Elsevier, vol. 44(C), pages 203-226.
- Deo, Rohit S., 2016. "On the Tracy–Widom approximation of studentized extreme eigenvalues of Wishart matrices," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 265-272.
- Bystrov, Victor & di Salvatore, Antonietta, 2013. "Martingale approximation of eigenvalues for common factor representation," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 233-237.
- Giorgio Calzolari & Roxana Halbleib & Christian Mucher, 2023. "Sequential Estimation of Multivariate Factor Stochastic Volatility Models," Papers 2302.07052, arXiv.org.
- Rey, Hélène & Miranda-Agrippino, Silvia, 2015. "World Asset Markets and the Global Financial Cycle," CEPR Discussion Papers 10936, C.E.P.R. Discussion Papers.
- Victor Stango & Joanne Yoong & Jonathan Zinman, 2017. "The Quest for Parsimony in Behavioral Economics: New Methods and Evidence on Three Fronts," NBER Working Papers 23057, National Bureau of Economic Research, Inc.
- Corsetti, Giancarlo & Duarte, Joao B. & Mann, Samuel, 2018.
"One money, many markets: a factor model approach to monetary policy in the Euro Area with high-frequency identification,"
LSE Research Online Documents on Economics
87182, London School of Economics and Political Science, LSE Library.
- Corsetti, G. & Duarte, J. B. & Mann, S., 2018. "One Money, Many Markets - A Factor Model Approach to Monetary Policy in the Euro Area with High-Frequency Identification," Cambridge Working Papers in Economics 1816, Faculty of Economics, University of Cambridge.
- Hautsch, Nikolaus & Kyj, Lada M. & Oomen, Roel C.A., 2009.
"A blocking and regularization approach to high dimensional realized covariance estimation,"
SFB 649 Discussion Papers
2009-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Kyj, Lada M. & Hautsch, Nikolaus, 2009. "A blocking and regularization approach to high dimensional realized covariance estimation," CFS Working Paper Series 2009/20, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Lada M. Kyj & Roel C. A. Oomen, 2012. "A blocking and regularization approach to high‐dimensional realized covariance estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(4), pages 625-645, June.
- Bo Zhang & Jiti Gao & Guangming Pan & Yanrong Yang, 2019. "Spiked Eigenvalues of High-Dimensional Separable Sample Covariance Matrices," Monash Econometrics and Business Statistics Working Papers 31/19, Monash University, Department of Econometrics and Business Statistics.
- Christian M. Hafner & Oliver Linton & Haihan Tang, 2016. "Estimation of a multiplicative covariance structure in the large dimensional case," CeMMAP working papers 52/16, Institute for Fiscal Studies.
- Massimiliano Caporin & C. Vladimir Rodríguez-Caballero & Esther Ruiz, 2024. "The factor structure of exchange rates volatility: global and intermittent factors," Empirical Economics, Springer, vol. 67(1), pages 31-45, July.
- Yu, Long & He, Yong & Zhang, Xinsheng, 2019. "Robust factor number specification for large-dimensional elliptical factor model," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
- Oguzhan Cepni & I. Ethem Guney & Norman R. Swanson, 2020. "Forecasting and nowcasting emerging market GDP growth rates: The role of latent global economic policy uncertainty and macroeconomic data surprise factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 18-36, January.
- Zhou, Ruichao & Wu, Jianhong, 2023. "Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion," Economics Letters, Elsevier, vol. 232(C).
- In Choi & Jorg Breitung, 2011.
"Factor models,"
Working Papers
1121, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Dec 2011.
- Jörg Breitung & In Choi, 2013. "Factor models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 11, pages 249-265, Edward Elgar Publishing.
- Forni, Mario & Cavicchioli, Maddalena & Lippi, Marco & Zaffaroni, Paolo, 2016. "Eigenvalue Ratio Estimators for the Number of Common Factors," CEPR Discussion Papers 11440, C.E.P.R. Discussion Papers.
- Angelopoulos, Jason & Sahoo, Satya & Visvikis, Ilias D., 2020. "Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 133(C).
- Laumer, Sebastian, 2020. "Government spending and heterogeneous consumption dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
- HAFNER, Christian & LINTON, Oliver B. & TANG, Haihan, 2016.
"Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case,"
LIDAM Discussion Papers CORE
2016044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Christian M. Hafner & Oliver Linton & Haihan Tang, 2016. "Estimation of a multiplicative covariance structure in the large dimensional case," CeMMAP working papers CWP52/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hafner, C. M. & Linton, O., 2016. "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1664, Faculty of Economics, University of Cambridge.
- Stock, James H. & Watson, Mark, 2011. "Dynamic Factor Models," Scholarly Articles 28469541, Harvard University Department of Economics.
- Ricco, Giovanni & Ellahie, Atif, 2012. "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper 42105, University Library of Munich, Germany.
- Dalibor Stevanovic & Charles Olivier Mao Takongmo, 2014.
"Selection of the number of factors in presence of structural instability: a Monte Carlo study,"
CIRANO Working Papers
2014s-44, CIRANO.
- Mao Takongmo, Charles Olivier & Stevanovic, Dalibor, 2015. "Selection Of The Number Of Factors In Presence Of Structural Instability: A Monte Carlo Study," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 177-233, Mars-Juin.
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011.
"One-Sided Representations of Generalized Dynamic Factor Models,"
Working Papers ECARES
ECARES 2011-019, ULB -- Universite Libre de Bruxelles.
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," EIEF Working Papers Series 1106, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2011.
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," DSS Empirical Economics and Econometrics Working Papers Series 2011/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Otter, Pieter W. & Jacobs, Jan P.A.M. & Reijer, Ard H.J. de, 2014. "A criterion for the number of factors in a data-rich environment," Research Report 14008-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- Alexander Chudik & M. Hashem Pesaran, 2013.
"Large panel data models with cross-sectional dependence: a survey,"
Globalization Institute Working Papers
153, Federal Reserve Bank of Dallas.
- Alexander Chudik & M. Hashem Pesaran, 2013. "Large Panel Data Models with Cross-Sectional Dependence: A Survey," CESifo Working Paper Series 4371, CESifo.
- Christian Brownlees & Geert Mesters, 2017.
"Detecting Granular Time Series in Large Panels,"
Working Papers
991, Barcelona School of Economics.
- Brownlees, Christian & Mesters, Geert, 2021. "Detecting granular time series in large panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 544-561.
- Aboura, Sofiane & Chevallier, Julien, 2015.
"Geographical diversification with a World Volatility Index,"
Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.
- Julien Chevallier & Sofiane Aboura, 2015. "Geographical Diversification with a World Volatility Index," Post-Print hal-01529755, HAL.
- Jacobs, Jan P.A.M. & Otter, Pieter W. & den Reijer, Ard H.J., 2012.
"Information, data dimension and factor structure,"
Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 80-91.
- Jan P.A.M. Jacobs & Pieter W. Otter & Ard H.J. den Reijer, 2011. "Information, data dimension and factor structure," CAMA Working Papers 2011-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Corsetti, Giancarlo & Duarte, Joao B. & Mann, Samuel, 2020.
"One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area,"
CEPR Discussion Papers
14968, C.E.P.R. Discussion Papers.
- Giancarlo Corsetti & Joao B. Duarte & Samuel Mann, 2020. "One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area," IMF Working Papers 2020/108, International Monetary Fund.
- Marco Avarucci & Paolo Zaffaroni, 2019. "Robust Nearly-Efficient Estimation of Large Panels with Factor Structures," Papers 1902.11181, arXiv.org.
- He, Yong & Zhang, Mingjuan & Zhang, Xinsheng & Zhou, Wang, 2020. "High-dimensional two-sample mean vectors test and support recovery with factor adjustment," Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
- Monnet, Eric & Puy, Damien, 2021.
"One Ring to Rule Them All? New Evidence on World Cycles,"
CEPR Discussion Papers
15958, C.E.P.R. Discussion Papers.
- Eric Monnet & Mr. Damien Puy, 2019. "One Ring to Rule Them All? New Evidence on World Cycles," IMF Working Papers 2019/202, International Monetary Fund.
- Qu, Ritong & Timmermann, Allan & Zhu, Yinchu, 2023. "Comparing forecasting performance in cross-sections," Journal of Econometrics, Elsevier, vol. 237(2).
- Xia, Qiang & Liang, Rubing & Wu, Jianhong, 2017. "Transformed contribution ratio test for the number of factors in static approximate factor models," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 235-241.
- Tjeerd M. Boonman & Jan P. A. M. Jacobs & Gerard H. Kuper, 2017. "An Early Warning System for currency crises in Argentina and Brazil 1990-2009," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 14(2), pages 47-68, Julio-Dic.
- Jiti Gao & Guangming Pan & Yanrong Yang, 2016. "CEstimation of Structural Breaks in Large Panels with Cross-Sectional Dependence," Monash Econometrics and Business Statistics Working Papers 12/16, Monash University, Department of Econometrics and Business Statistics.
- Luke Mosley & Tak-Shing Chan & Alex Gibberd, 2023. "sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings," Papers 2303.14125, arXiv.org.
- Feng, Long & Lan, Wei & Liu, Binghui & Ma, Yanyuan, 2022. "High-dimensional test for alpha in linear factor pricing models with sparse alternatives," Journal of Econometrics, Elsevier, vol. 229(1), pages 152-175.
- Dedu, Vasile & Stoica, Tiberiu, 2014. "The Impact of Monetaru Policy on the Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 71-86, June.
- Matteo Luciani, 2011.
"Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks,"
Working Papers ECARES
ECARES 2011‐022, ULB -- Universite Libre de Bruxelles.
- Luciani, Matteo, 2014. "Forecasting with approximate dynamic factor models: The role of non-pervasive shocks," International Journal of Forecasting, Elsevier, vol. 30(1), pages 20-29.
- Luca Margaritella & Joakim Westerlund, 2023. "Using information criteria to select averages in CCE," The Econometrics Journal, Royal Economic Society, vol. 26(3), pages 405-421.
- Yi Zheng, 2024. "How does the national new area impact the local economy? -- An empirical analysis from Zhoushan," Papers 2407.17523, arXiv.org.
- Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2017. "Risk evaluations with robust approximate factor models," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 244-264.
- Kihwan Kim & Norman Swanson, 2013. "Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets," Departmental Working Papers 201315, Rutgers University, Department of Economics.
- Johannes Forkman & Julie Josse & Hans-Peter Piepho, 2019. "Hypothesis Tests for Principal Component Analysis When Variables are Standardized," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 24(2), pages 289-308, June.
- Ding, Xiucai & Yang, Fan, 2022. "Edge statistics of large dimensional deformed rectangular matrices," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
- Passemier, Damien & McKay, Matthew R. & Chen, Yang, 2015. "Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 124-146.
- Li, Kunpeng & Lu, Lina, 2014. "Efficient estimation of heterogeneous coefficients in panel data models with common shock," MPRA Paper 59312, University Library of Munich, Germany.
- Wang, Qinwen & Silverstein, Jack W. & Yao, Jian-feng, 2014. "A note on the CLT of the LSS for sample covariance matrix from a spiked population model," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 194-207.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016.
"Dynamic Factor Models, Cointegration, and Error Correction Mechanisms,"
Finance and Economics Discussion Series
2016-018, Board of Governors of the Federal Reserve System (U.S.).
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014. "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
- Passemier, Damien & Yao, Jianfeng, 2014. "Estimation of the number of spikes, possibly equal, in the high-dimensional case," Journal of Multivariate Analysis, Elsevier, vol. 127(C), pages 173-183.
- Majid M. Al-Sadoon, 2014.
"A general theory of rank testing,"
Economics Working Papers
1411, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2015.
- Majid M. Al-Sadoon, 2015. "A General Theory of Rank Testing," Working Papers 750, Barcelona School of Economics.
- Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
- Xi Luo, 2011. "Recovering Model Structures from Large Low Rank and Sparse Covariance Matrix Estimation," Papers 1111.1133, arXiv.org, revised Mar 2013.
- Li, Xiao & Qiao, Yuanbo & Shi, Lei, 2019. "Has China's war on pollution slowed the growth of its manufacturing and by how much? Evidence from the Clean Air Action," China Economic Review, Elsevier, vol. 53(C), pages 271-289.
- Aboura, Sofiane & Chevallier, Julien, 2017. "A new weighting-scheme for equity indexes," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 159-175.
- Barhoumi, K. & Darné, O. & Ferrara, L., 2013.
"Dynamic Factor Models: A review of the Literature ,"
Working papers
430, Banque de France.
- Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2014. "Dynamic factor models: A review of the literature," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 73-107.
- Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2013. "Dynamic factor models: A review of the literature," Post-Print hal-01385974, HAL.
- Alexei Onatski & Marcelo Moreira J. & Marc Hallin, 2012. "Signal Detection in High Dmension: The Multispiked Case," Working Papers ECARES ECARES 2012-036, ULB -- Universite Libre de Bruxelles.
- Bada, Oualid & Kneip, Alois, 2014. "Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 95-115.
- Tjeerd M. Boonman & Jan P.A.M. Jacobs & Gerard H. Kuper, 2011. "Why didn't the Global Financial Crisis hit Latin America?," CIRANO Working Papers 2011s-63, CIRANO.
- Schanne, Norbert, 2015. "A Global Vector Autoregression (GVAR) model for regional labour markets and its forecasting performance with leading indicators in Germany," IAB-Discussion Paper 201513, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Alessandro Barbarino & Efstathia Bura, 2017. "A Unified Framework for Dimension Reduction in Forecasting," Finance and Economics Discussion Series 2017-004, Board of Governors of the Federal Reserve System (U.S.).
- Matthieu Stigler & David Lobell, 2024. "Optimal index insurance and basis risk decomposition: an application to Kenya," American Journal of Agricultural Economics, John Wiley & Sons, vol. 106(1), pages 306-329, January.
- Zhao Zhao & Guowei Cui & Shaoping Wang, 2017. "A Monte Carlo comparison of estimating the number of dynamic factors," Empirical Economics, Springer, vol. 53(3), pages 1217-1241, November.
- Heaton, Chris & Solo, Victor, 2012. "Estimation of high-dimensional linear factor models with grouped variables," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 348-367.
- Armando Marozzi, 2021. "The ECB and the Cost of Independence. Unearthing a New Doom-Loop in the European Monetary Union," BAFFI CAREFIN Working Papers 21152, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Yuyang Xu & Zhonghua Liu & Jianfeng Yao, 2023. "An eigenvalue ratio approach to inferring population structure from whole genome sequencing data," Biometrics, The International Biometric Society, vol. 79(2), pages 891-902, June.
- Alessi, Lucia & Kerssenfischer, Mark, 2016.
"The response of asset prices to monetary policy shocks: stronger than thought,"
Working Paper Series
1967, European Central Bank.
- Kargin, V. & Onatski, A., 2008.
"Curve forecasting by functional autoregression,"
Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2508-2526, November.
See citations under working paper version above.
- A. Onatski & V. Karguine, 2005. "Curve Forecasting by Functional Autoregression," Computing in Economics and Finance 2005 59, Society for Computational Economics.
- Onatski, Alexei, 2006.
"Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 323-345, February.
Cited by:
- Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
- Frank Hespeler, 2007.
"Solution Algorithm to a Class of Monetary Rational Equilibrium Macromodels with Optimal Monetary Policy Design,"
EcoMod2007
23900036, EcoMod.
- Frank Hespeler, 2008. "Solution Algorithm to a Class of Monetary Rational Equilibrium Macromodels with Optimal Monetary Policy Design," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 207-223, April.
- Ariane Szafarz, 2015.
"Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater,"
ULB Institutional Repository
2013/239874, ULB -- Universite Libre de Bruxelles.
- Ariane Szafarz, 2015. "Market Efficiency and Crises:Don’t Throw the Baby out with the Bathwater," Bankers, Markets & Investors, ESKA Publishing, issue 139, pages 20-26, November-.
- Ariane Szafarz, 2015. "Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater," Working Papers CEB 15-036, ULB -- Universite Libre de Bruxelles.
- Peter A. Zadrozny, 2022.
"Linear Identification of Linear Rational-Expectations Models by Exogenous Variables Reconciles Lucas and Sims,"
CESifo Working Paper Series
10078, CESifo.
- Zadrozny, Peter A., 2022. "Linear identification of linear rational-expectations models by exogenous variables reconciles Lucas and Sims," CFS Working Paper Series 682, Center for Financial Studies (CFS).
- Majid Al-Sadoon & Piotr Zwiernik, 2019.
"The identification problem for linear rational expectations models,"
Economics Working Papers
1669, Department of Economics and Business, Universitat Pompeu Fabra.
- Majid M. Al-Sadoon & Piotr Zwiernik, 2019. "The Identification Problem for Linear Rational Expectations Models," Working Papers 1114, Barcelona School of Economics.
- Frank Hespeler, 2012.
"On Boundary Conditions Within the Solution of Macroeconomic Dynamic Models with Rational Expectations,"
Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 265-291, October.
- Frank HESPELER, 2008. "On Boundary Conditions within the Solution of Macroeconomic Dynamic Models with Rational Expectations," EcoMod2008 23800050, EcoMod.
- Al-Sadoon, Majid M., 2014.
"Geometric and long run aspects of Granger causality,"
Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.
- Majid M. Al-Sadoon, 2013. "Geometric and Long Run Aspects of Granger Causality," Working Papers 682, Barcelona School of Economics.
- Majid M. Al-Sadoon, 2013. "Geometric and long run aspects of Granger causality," Economics Working Papers 1356, Department of Economics and Business, Universitat Pompeu Fabra.
- Tan, Fei & Walker, Todd B., 2015. "Solving generalized multivariate linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 95-111.
- Meyer-Gohde, Alexander, 2024. "Solving and analyzing DSGE models in the frequency domain," IMFS Working Paper Series 207, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Al-Sadoon, Majid M., 2018.
"The Linear Systems Approach To Linear Rational Expectations Models,"
Econometric Theory, Cambridge University Press, vol. 34(3), pages 628-658, June.
- Majid M. Al-Sadoon, 2016. "The linear systems approach to linear rational expectations models," Economics Working Papers 1511, Department of Economics and Business, Universitat Pompeu Fabra.
- Majid M. Al-Sadoon, 2016. "The Linear Systems Approach to Linear Rational Expectations Models," Working Papers 875, Barcelona School of Economics.
- Marco M. Sorge, 2020. "Arbitrary initial conditions and the dimension of indeterminacy in linear rational expectations models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 363-372, June.
- Mostafavi, Moeen & Fatehi, Ali-Reza & Shakouri G., Hamed & Von zur Muehlen, Peter, 2011. "A predictive multi-agent approach to model systems with linear rational expectations," MPRA Paper 35351, University Library of Munich, Germany, revised 11 Dec 2011.
- Bernd Funovits, 2020. "Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation," Papers 2002.04346, arXiv.org, revised Feb 2021.
- Majid M. Al-Sadoon, 2020. "Regularized Solutions to Linear Rational Expectations Models," Papers 2009.05875, arXiv.org, revised Oct 2020.
- Ariane Szafarz, 2010.
"How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?,"
DULBEA Working Papers
10-01.RS., ULB -- Universite Libre de Bruxelles.
- Ariane Szafarz, 2009. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB 09-048.RS, ULB -- Universite Libre de Bruxelles.
- Adrien Auclert & Bence Bardóczy & Matthew Rognlie & Ludwig Straub, 2019.
"Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models,"
NBER Working Papers
26123, National Bureau of Economic Research, Inc.
- Adrien Auclert & Bence Bardóczy & Matthew Rognlie & Ludwig Straub, 2021. "Using the Sequence‐Space Jacobian to Solve and Estimate Heterogeneous‐Agent Models," Econometrica, Econometric Society, vol. 89(5), pages 2375-2408, September.
- Auclert, Adrien & Bardoczy, Bence & Rognlie, Matthew & Straub, Ludwig, 2019. "Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models," CEPR Discussion Papers 13890, C.E.P.R. Discussion Papers.
- William A. Brock & Steven N. Durlauf & Giacomo Rondina, 2008.
"Design Limits and Dynamic Policy Analysis,"
NBER Working Papers
14357, National Bureau of Economic Research, Inc.
- Brock, William A. & Durlauf, Steven N. & Rondina, Giacomo, 2013. "Design limits and dynamic policy analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2710-2728.
- Meyer-Gohde, Alexander & Tzaawa-Krenzler, Mary, 2023. "Sticky information and the Taylor principle," IMFS Working Paper Series 189, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Aug 2024.
- Alexei Onatski & Noah Williams, 2004.
"Empirical and policy performance of a forward-looking monetary model,"
Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Alexei Onatski & Noah Williams, 2010. "Empirical and policy performance of a forward-looking monetary model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 145-176.
- Alexei Onatski & Noah Williams, 2010. "Empirical and policy performance of a forward‐looking monetary model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 145-176, January.
Cited by:
- Haider, Adnan & Khan, Safdar Ullah, 2008.
"A Small Open Economy DSGE Model for Pakistan,"
MPRA Paper
12977, University Library of Munich, Germany, revised 17 Jan 2009.
- Adnan Haider Bukhari & Safdar Ullah Khan, 2008. "A Small Open Economy DSGE Model for Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 47(4), pages 963-1008.
- Juillard, Michel & Le Bihan, Herve & Millard, Stephen, 2013.
"Non-uniform wage-staggering: European evidence and monetary policy implications,"
Bank of England working papers
477, Bank of England.
- Juillard, M. & Le Bihan, H. & Millard, S., 2013. "Non-uniform wage-staggering: European evidence and monetary policy implications," Working papers 442, Banque de France.
- Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2005.
"Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through,"
Working Paper Series
179, Sveriges Riksbank (Central Bank of Sweden).
- Adolfson, Malin & Laseen, Stefan & Linde, Jesper & Villani, Mattias, 2007. "Bayesian estimation of an open economy DSGE model with incomplete pass-through," Journal of International Economics, Elsevier, vol. 72(2), pages 481-511, July.
- John H. Cochrane, 2011.
"Determinacy and Identification with Taylor Rules,"
Journal of Political Economy, University of Chicago Press, vol. 119(3), pages 565-615.
- John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13410, National Bureau of Economic Research, Inc.
- John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13409, National Bureau of Economic Research, Inc.
- Iiboshi, Hirokuni & Nishiyama, Shin-Ichi & Watanabe, Toshiaki, 2006. "An Estimated Dynamic Stochastic General Equilibrium Model of the Japanese Economy: A Bayesian Analysis," MPRA Paper 85702, University Library of Munich, Germany.
- Eilev S. Jansen, 2004.
"Modelling inflation in the Euro Area,"
Working Paper
2004/10, Norges Bank.
- Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper Series 4104, Department of Economics, Norwegian University of Science and Technology, revised 01 Jun 2004.
- Jansen, Eilev S., 2004. "Modelling inflation in the euro area," Working Paper Series 322, European Central Bank.
- Marco Del Negro & Frank Schorfheide, 2009.
"Monetary Policy Analysis with Potentially Misspecified Models,"
American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
- Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," Working Papers 06-4, Federal Reserve Bank of Philadelphia.
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," FRB Atlanta Working Paper 2005-26, Federal Reserve Bank of Atlanta.
- Marco Del Negro & Frank Schorfheide, 2007. "Monetary Policy Analysis with Potentially Misspecified Models," NBER Working Papers 13099, National Bureau of Economic Research, Inc.
- Marco Del Negro & Frank Schorfheide, 2008. "Monetary policy analysis with potentially misspecified models," Staff Reports 321, Federal Reserve Bank of New York.
- Pelin Ilbas, 2007.
"Optimal Monetary Policy Rules for the Euro Area in a DSGE Framework,"
Money Macro and Finance (MMF) Research Group Conference 2006
59, Money Macro and Finance Research Group.
- Pelin Ilbas, 2006. "Optimal Monetary Policy rules for the Euro area in a DSGE framework," Working Papers of Department of Economics, Leuven ces0613, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Eric Jondeau & Jean-Guillaume Sahuc, 2008.
"Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity,"
International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 23-72, June.
- Jondeau, E. & Sahuc, J-G., 2006. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Working papers 141, Banque de France.
- Eric Jondeau & Jean-Guillaume Sahuc, 2004. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Documents de recherche 04-13, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Eric Jondeau & Jean-Guillaume SAHUC, 2007. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity," Swiss Finance Institute Research Paper Series 07-36, Swiss Finance Institute.
- Eric Jondeau & Jean-Guillaume Sahuc, 2008. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Post-Print hal-01612712, HAL.
- Patrick Minford & Zhirong Ou & Michael Wickens, 2015.
"Revisiting the Great Moderation: Policy or Luck?,"
Open Economies Review, Springer, vol. 26(2), pages 197-223, April.
- Minford, Patrick & Ou, Zhirong & Wickens, Michael, 2012. "Revisiting the Great Moderation: policy or luck?," Cardiff Economics Working Papers E2012/9, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2014.
- Martin Melecky & Diego Rodríguez Palenzuela & Ulf Söderström, 2008.
"Inflation Target Transparency and the Macroeconomy,"
Working Papers Central Bank of Chile
490, Central Bank of Chile.
- Melecky, Martin & Rodrıguez Palenzuela, Diego & Soderstrom, Ulf, 2008. "Inflation Target Transparency and the Macroeconomy," MPRA Paper 10545, University Library of Munich, Germany.
- Martin Melecký & Diego Rodríguez Palenzuela & Ulf Söderström, 2009. "Inflation Target Transparency and the Macroeconomy," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 10, pages 371-411, Central Bank of Chile.
- Andrew T. Levin & Alexei Onatski & John Williams & Noah M. Williams, 2006.
"Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models,"
NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 229-312,
National Bureau of Economic Research, Inc.
- Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Working Papers 11523, National Bureau of Economic Research, Inc.
- Noah Williams & Andrew Levin & Alexei Onatski, 2005. "Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models," Computing in Economics and Finance 2005 478, Society for Computational Economics.
- Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary policy under uncertainty in micro-founded macroeconometric models," Working Paper Series 2005-15, Federal Reserve Bank of San Francisco.
- Givens, Gregory, 2015.
"On the Gains from Monetary Policy Commitment under Deep Habits,"
MPRA Paper
67996, University Library of Munich, Germany.
- Givens, Gregory E., 2016. "On the gains from monetary policy commitment under deep habits," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 19-36.
- Wieland, Volker & Taylor, John B., 2010.
"Surprising comparative properties of monetary models: Results from a new model database,"
Working Paper Series
1261, European Central Bank.
- Taylor, John B. & Wieland, Volker, 2012. "Surprising comparative properties of monetary models: Results from a new model database," IMFS Working Paper Series 66, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- John B. Taylor & Volker Wieland, 2012. "Surprising Comparative Properties of Monetary Models: Results from a New Model Database," The Review of Economics and Statistics, MIT Press, vol. 94(3), pages 800-816, August.
- Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M., 2012. "Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System," Economics Series 292, Institute for Advanced Studies.
- Kai Christoffel & Keith Kuester & Tobias Linzert, 2009.
"The role of labor markets for Euro area monetary policy,"
Working Papers
09-1, Federal Reserve Bank of Philadelphia.
- Linzert, Tobias & Christoffel, Kai & Kuester, Keith, 2009. "The role of labor markets for euro area monetary policy," Working Paper Series 1035, European Central Bank.
- Christoffel, Kai & Kuester, Keith & Linzert, Tobias, 2009. "The role of labor markets for euro area monetary policy," European Economic Review, Elsevier, vol. 53(8), pages 908-936, November.
- Christoffel, Kai & Kuester, Keith & Linzert, Tobias, 2009. "The role of labor markets for euro area monetary policy," Kiel Working Papers 1513, Kiel Institute for the World Economy (IfW Kiel).
- Minford, Patrick & Ou, Zhirong, 2009.
"Taylor Rule or Optimal Timeless Policy? Reconsidering the Fed's behaviour since 1982,"
Cardiff Economics Working Papers
E2009/19, Cardiff University, Cardiff Business School, Economics Section, revised May 2010.
- Minford, Patrick & Ou, Zhirong, 2013. "Taylor Rule or optimal timeless policy? Reconsidering the Fed's behavior since 1982," Economic Modelling, Elsevier, vol. 32(C), pages 113-123.
- Levin, Andrew T. & Moessner, Richhild, 2005. "Inflation persistence and monetary policy design: an overview," Working Paper Series 539, European Central Bank.
- Lars E. O. Svensson, 2005. "Targeting versus instrument rules for monetary policy: what is wrong with McCallum and Nelson?," Review, Federal Reserve Bank of St. Louis, vol. 87(Sep), pages 613-626.
- Fabio Milani, 2005.
"Expectations, Learning and Macroeconomic Persistence,"
Macroeconomics
0510022, University Library of Munich, Germany.
- Fabio Milani, 2005. "Expectations, Learning and Macroeconomic Persistence," Working Papers 050608, University of California-Irvine, Department of Economics.
- Milani, Fabio, 2007. "Expectations, learning and macroeconomic persistence," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2065-2082, October.
- IIBOSHI Hirokuni, 2012. "Measuring the Effects of Monetary Policy: A DSGE-DFM Approach," ESRI Discussion paper series 292, Economic and Social Research Institute (ESRI).
- G. Peersman & R. Straub, 2005.
"Technology Shocks and Robust Sign Restrictions in a Euro Area SVAR,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
05/288, Ghent University, Faculty of Economics and Business Administration.
- Gert Peersman & Roland Straub, 2009. "Technology Shocks And Robust Sign Restrictions In A Euro Area Svar," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 727-750, August.
- Peersman, Gert & Straub, Roland, 2004. "Technology shocks and robust sign restrictions in a euro area SVAR," Working Paper Series 373, European Central Bank.
- Daniel O. Beltran & David Draper, 2018.
"Estimating dynamic macroeconomic models: how informative are the data?,"
Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(2), pages 501-520, February.
- Daniel O. Beltran & David Draper, 2016. "Estimating Dynamic Macroeconomic Models : How Informative Are the Data?," International Finance Discussion Papers 1175, Board of Governors of the Federal Reserve System (U.S.).
- Marcin Kolasa, 2008.
"Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model,"
NBP Working Papers
49, Narodowy Bank Polski.
- Kolasa, Marcin, 2008. "Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model," MPRA Paper 8750, University Library of Munich, Germany.
- Kolasa, Marcin, 2009. "Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model," Economic Modelling, Elsevier, vol. 26(6), pages 1245-1269, November.
- Marco Del Negro & Frank Schorfheide & Frank Smets & Raf Wouters, 2004.
"On the fit and forecasting performance of New Keynesian models,"
FRB Atlanta Working Paper
2004-37, Federal Reserve Bank of Atlanta.
- Smets, Frank & Del Negro, Marco & Wouters, Rafael & Schorfheide, Frank, 2005. "On the Fit and Forecasting Performance of New Keynesian Models," CEPR Discussion Papers 4848, C.E.P.R. Discussion Papers.
- Smets, Frank & Wouters, Raf & Del Negro, Marco & Schorfheide, Frank, 2005. "On the fit and forecasting performance of New-Keynesian models," Working Paper Series 491, European Central Bank.
- Levin, Andrew T. & Coenen, Günter, 2004.
"Identifying the influences of nominal and real rigidities in aggregate price-setting behavior,"
Working Paper Series
418, European Central Bank.
- Coenen, Gunter & Levin, Andrew T. & Christoffel, Kai, 2007. "Identifying the influences of nominal and real rigidities in aggregate price-setting behavior," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2439-2466, November.
- Andrew Levin & Günter Coenen, 2005. "Identifying the Influences of Nominal and Real Rigidities in Aggregate Price-Setting Behavior," Computing in Economics and Finance 2005 66, Society for Computational Economics.
- Gregory E. Givens, 2012.
"Estimating Central Bank Preferences under Commitment and Discretion,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1033-1061, September.
- Gregory E. Givens, 2012. "Estimating Central Bank Preferences under Commitment and Discretion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1033-1061, September.
- Gregory Erin Givens, 2009. "Estimating Central Bank Preferences under Commitment and Discretion," Working Papers 200905, Middle Tennessee State University, Department of Economics and Finance.
- John C. Williams, 2004.
"Robust estimation and monetary policy with unobserved structural change,"
Working Paper Series
2004-11, Federal Reserve Bank of San Francisco.
- John C. Williams, 2006. "Robust estimation and monetary policy with unobserved structural change," Economic Review, Federal Reserve Bank of San Francisco, pages 1-16.
- John C. Williams, 2005. "Robust estimation and monetary policy with unobserved structural change," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 53-81.
- Ben Ali, Samir, 2010. "A New Keynesian Phillips curve for Tunisia : Estimation and analysis of sensitivity," MPRA Paper 29624, University Library of Munich, Germany.
- Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M., 2014.
"Forecast combinations in a DSGE-VAR lab,"
Economics Series
309, Institute for Advanced Studies.
- Mauro Costantini & Ulrich Gunter & Robert M. Kunst, 2017. "Forecast Combinations in a DSGE‐VAR Lab," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(3), pages 305-324, April.
- McAdam, Peter & Levine, Paul & Pearlman, Joseph G., 2007.
"Quantifying and sustaining welfare gains from monetary commitment,"
Working Paper Series
709, European Central Bank.
- Levine, Paul & McAdam, Peter & Pearlman, Joseph, 2008. "Quantifying and sustaining welfare gains from monetary commitment," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1253-1276, October.
- Jean Boivin & Marc Giannoni, 2006.
"DSGE Models in a Data-Rich Environment,"
NBER Technical Working Papers
0332, National Bureau of Economic Research, Inc.
- Marc P. Giannoni & Jean Boivin, 2005. "DSGE Models in a Data-Rich Environment," Computing in Economics and Finance 2005 431, Society for Computational Economics.
- Jean Boivin & Marc Giannoni, 2006. "DSGE Models in a Data-Rich Environment," NBER Working Papers 12772, National Bureau of Economic Research, Inc.
- Boivin, J. & Giannoni, M., 2007. "DSGE Models in a Data-Rich Environment," Working papers 162, Banque de France.
- Jensen, Henrik & Ravn, Søren Hove & Santoro, Emiliano, 2019. "Kinks and Gains from Credit Cycles," CEPR Discussion Papers 13795, C.E.P.R. Discussion Papers.
- Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Namba, Ryoichi & Nishiyama, Shin-Ichi, 2015. "Estimating a DSGE model for Japan in a data-rich environment," Journal of the Japanese and International Economies, Elsevier, vol. 36(C), pages 25-55.
- Walsh, Carl E., 2005. "Parameter misspecification and robust monetary policy rules," Working Paper Series 477, European Central Bank.
- Magda Kandil, 2010.
"Demand shocks and the cyclical behavior of the real wage: Some international evidence,"
Journal of Applied Economics, Universidad del CEMA, vol. 13, pages 135-158, May.
- Magda Kandil, 2010. "Demand Shocks and the Cyclical Behavior of the Real Wage: Some International Evidence," Journal of Applied Economics, Taylor & Francis Journals, vol. 13(1), pages 135-158, May.
- Marco Del Negro & Frank Schorfheide, 2004.
"Policy predictions if the model doesn’t fit,"
FRB Atlanta Working Paper
2004-38, Federal Reserve Bank of Atlanta.
- Marco Del Negro & Frank Schorfheide, 2005. "Policy Predictions if the Model Does Not Fit," Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 434-443, 04/05.
- Carla Soares, 2008. "Impact on Welfare of Country Heterogeneity in a Currency Union," Working Papers w200814, Banco de Portugal, Economics and Research Department.
- Den Haan, Wouter & Drechsel, Thomas, 2018.
"Agnostic Structural Disturbances (ASDs): Detecting and Reducing Misspecification in Empirical Macroeconomic Models,"
CEPR Discussion Papers
13145, C.E.P.R. Discussion Papers.
- Den Haan, Wouter J. & Drechsel, Thomas, 2021. "Agnostic Structural Disturbances (ASDs): Detecting and reducing misspecification in empirical macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 258-277.
- Wouter J. Den Haan & Thomas Drechsel, 2018. "Agnostic Structural Disturbances (ASDs): Detecting and Reducing Misspecification in Empirical Macroeconomic Models," Discussion Papers 1826, Centre for Macroeconomics (CFM).
- Den Haan, Wouter J. & Drechsel, Thomas, 2020. "Agnostic structural disturbances (ASDs): detecting and reducing misspecification in empirical macroeconomic models," LSE Research Online Documents on Economics 103147, London School of Economics and Political Science, LSE Library.
- Den Haan, Wouter J. & Drechsel, Thomas, 2018. "Agnostic structural disturbances (ASDs): detecting and reducing misspecification in empirical macroeconomic models," LSE Research Online Documents on Economics 90384, London School of Economics and Political Science, LSE Library.
- Daichi Shirai, 2014. "A note on hump-shaped output in the RBC model," CIGS Working Paper Series 14-009E, The Canon Institute for Global Studies.
- Pytlarczyk, Ernest, 2005. "An estimated DSGE model for the German economy within the euro area," Discussion Paper Series 1: Economic Studies 2005,33, Deutsche Bundesbank.
- Tillmann, Peter, 2005.
"The New Keynesian Phillips Curve in Europe: does it fit or does it fail?,"
Discussion Paper Series 1: Economic Studies
2005,04, Deutsche Bundesbank.
- Peter Tillmann, 2009. "The New Keynesian Phillips curve in Europe: does it fit or does it fail?," Empirical Economics, Springer, vol. 37(3), pages 463-473, December.
- Schorfheide, Frank & An, Sungbae, 2005.
"Bayesian Analysis of DSGE Models,"
CEPR Discussion Papers
5207, C.E.P.R. Discussion Papers.
- Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia.
- Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
- F. Owen Irvine & Scott Schuh, 2007.
"The roles of comovement and inventory investment in the reduction of output volatility,"
Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- F. Owen Irvine & Scott Schuh, 2005. "The roles of comovement and inventory investment in the reduction of output volatility," Working Papers 05-9, Federal Reserve Bank of Boston.
- Lars E.O. Svensson, 2004. "Targeting Rules vs. Instrument Rules for Monetary Policy: What is Wrong with McCallum and Nelson?," NBER Working Papers 10747, National Bureau of Economic Research, Inc.
- Roland Straub & Günter Coenen, 2005. "Non-Ricardian Households and Fiscal Policy in an Estimated DSGE Model of the Euro Area," Computing in Economics and Finance 2005 102, Society for Computational Economics.
- Kawther Alimi & Mohamed Chakroun, 2022. "Wage Rigidity Impacts on Unemployment and Inflation Persistence in Tunisia: Evidence from an Estimated DSGE Model," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(1), pages 474-500, March.
- Mr. Roland Straub & Gert Peersman, 2006.
"Putting the New Keynesian Model to a Test,"
IMF Working Papers
2006/135, International Monetary Fund.
- G. Peersman & R. Straub, 2006. "Putting the New Keynesian Model to a Test," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/375, Ghent University, Faculty of Economics and Business Administration.
- Pelin Ilbas, 2008. "Estimation of monetary policy preferences in a forward-looking model : a Bayesian approach," Working Paper Research 129, National Bank of Belgium.
- Alexei Onatski & Noah Williams, 2003.
"Modeling Model Uncertainty,"
Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1087-1122, September.
See citations under working paper version above.
- Onatski, Alexei & Williams, Noah, 2002. "Modeling model uncertainty," Working Paper Series 169, European Central Bank.
- Alexei Onatski & Noah Williams, 2003. "Modeling Model Uncertainty," NBER Working Papers 9566, National Bureau of Economic Research, Inc.
- Kremer, Michael & Onatski, Alexei & Stock, James, 2001.
"Searching for prosperity,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 55(1), pages 275-303, December.
See citations under working paper version above.
- Michael Kremer & Alexei Onatski & James Stock, 2001. "Searching for Prosperity," NBER Working Papers 8250, National Bureau of Economic Research, Inc.
- Alexei Onatski & James H. Stock, 1999.
"Robust monetary policy under model uncertainty in a small model of the U.S. economy,"
Proceedings, Federal Reserve Bank of San Francisco.
- Onatski, Alexei & Stock, James H., 2002. "Robust Monetary Policy Under Model Uncertainty In A Small Model Of The U.S. Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 6(1), pages 85-110, February.
See citations under working paper version above.- Alexei Onatski & James H. Stock, 2000. "Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy," NBER Working Papers 7490, National Bureau of Economic Research, Inc.
Chapters
- Andrew T. Levin & Alexei Onatski & John Williams & Noah M. Williams, 2006.
"Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models,"
NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 229-312,
National Bureau of Economic Research, Inc.
See citations under working paper version above.Sorry, no citations of chapters recorded.
- Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Working Papers 11523, National Bureau of Economic Research, Inc.
- Noah Williams & Andrew Levin & Alexei Onatski, 2005. "Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models," Computing in Economics and Finance 2005 478, Society for Computational Economics.
- Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary policy under uncertainty in micro-founded macroeconometric models," Working Paper Series 2005-15, Federal Reserve Bank of San Francisco.