IDEAS home Printed from https://ideas.repec.org/r/bes/jnlbes/v25y2007p52-60.html
   My bibliography  Save this item

Determining the Number of Primitive Shocks in Factor Models

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Bajraj, Gent & Lorca, Jorge & Wlasiuk, Juan M., 2023. "On foreign drivers of emerging markets fluctuations," Economic Modelling, Elsevier, vol. 129(C).
  2. 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.
  3. Mario Forni & Luca Gambetti & Luca Sala, 2014. "No News in Business Cycles," Economic Journal, Royal Economic Society, vol. 124(581), pages 1168-1191, December.
  4. 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.
  5. Gent Bajraj & Jorge Lorca & Juan M. Wlasiuk, 2022. "On Foreign Drivers of EMEs Fluctuations," Working Papers Central Bank of Chile 951, Central Bank of Chile.
  6. Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.
  7. 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).
  8. 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.
  9. Qin, Duo & Tan, Tao, 2009. "How much intraregional exchange rate variability could a currency union remove? The case of ASEAN+3," Journal of Banking & Finance, Elsevier, vol. 33(10), pages 1793-1803, October.
  10. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
  11. 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 Estadística.
  12. 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).
  13. Arnab Bhattacharjee & Jan Ditzen & Sean Holly, 2022. "Spatial and Spatio-Temporal Error Correction, Networks and Common Correlated Effects," Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, volume 43, pages 37-60, Emerald Group Publishing Limited.
  14. Longo, Luigi & Riccaboni, Massimo & Rungi, Armando, 2022. "A neural network ensemble approach for GDP forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
  15. Irma Hindrayanto & Siem Jan Koopman & Jasper de Winter, 2014. "Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components," Tinbergen Institute Discussion Papers 14-113/III, Tinbergen Institute.
  16. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES 2009_023, ULB -- Universite Libre de Bruxelles.
  17. Marie Bessec, 2013. "Short‐Term Forecasts of French GDP: A Dynamic Factor Model with Targeted Predictors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 500-511, September.
  18. 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.
  19. Barış Soybilgen, 2020. "Identifying US business cycle regimes using dynamic factors and neural network models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 827-840, August.
  20. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
  21. 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.
  22. Hwee Kwan Chow & Keen Meng Choy, 2008. "Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Economic Growth Centre Working Paper Series 0802, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
  23. Donato Ceci & Andrea Silvestrini, 2023. "Nowcasting the state of the Italian economy: The role of financial markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1569-1593, November.
  24. Marcellino, Massimiliano & Sivec, Vasja, 2016. "Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 335-348.
  25. António Rua & Carlos Melo Gouveia & Nuno Lourenço, 2020. "Forecasting tourism with targeted predictors in a data-rich environment," Working Papers w202005, Banco de Portugal, Economics and Research Department.
  26. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
  27. Mr. Maxym Kryshko, 2011. "Data-Rich DSGE and Dynamic Factor Models," IMF Working Papers 2011/216, International Monetary Fund.
  28. Jun Nagayasu, 2013. "Co-movements in real effective exchange rates: evidence from the dynamic hierarchical factor model," Working Papers 1318, University of Strathclyde Business School, Department of Economics.
  29. Bańbura, Marta & Rünstler, Gerhard, 2011. "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346.
  30. 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.
  31. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1120-1154, December.
  32. Nagayasu, Jun, 2019. "Financial flows, global interest rates, and political integration," Finance Research Letters, Elsevier, vol. 31(C).
  33. Bampinas, Georgios & Panagiotidis, Theodore & Papapanagiotou, Georgios, 2023. "Oil shocks and investor attention," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 68-81.
  34. Ricardo Reis & Mark W. Watson, 2010. "Relative Goods' Prices, Pure Inflation, and the Phillips Correlation," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(3), pages 128-157, July.
  35. Jorge Lorca, 2021. "Capital Flows and Emerging Markets Fluctuations," Working Papers Central Bank of Chile 898, Central Bank of Chile.
  36. David Blake & Marco Morales & Enrico Biffis & Yijia Lin & Andreas Milidonis, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 515-532, April.
  37. repec:dau:papers:123456789/10079 is not listed on IDEAS
  38. 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.
  39. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.
  40. Jos Jansen & Jasper de Winter, 2016. "Improving model-based near-term GDP forecasts by subjective forecasts: A real-time exercise for the G7 countries," DNB Working Papers 507, Netherlands Central Bank, Research Department.
  41. Cynthia Fan Yang, 2021. "Common factors and spatial dependence: an application to US house prices," Econometric Reviews, Taylor & Francis Journals, vol. 40(1), pages 14-50, January.
  42. Alain Kabundi & Francisco Nadal De Simone, 2011. "France in the global economy: a structural approximate dynamic factor model analysis," Empirical Economics, Springer, vol. 41(2), pages 311-342, October.
  43. Gomez-Gonzalez, Jose E. & Hirs-Garzón, Jorge & Uribe, Jorge M., 2022. "Interdependent capital structure choices and the macroeconomy," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  44. Schumacher, Christian & Marcellino, Massimiliano & Kuzin, Vladimir, 2009. "Pooling versus model selection for nowcasting with many predictors: An application to German GDP," CEPR Discussion Papers 7197, C.E.P.R. Discussion Papers.
  45. Hevia, Constantino & Servén, Luis, 2018. "Assessing the degree of international consumption risk sharing," Journal of Development Economics, Elsevier, vol. 134(C), pages 176-190.
  46. Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2014. "Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 898-915, December.
  47. 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.
  48. Anna Bykhovskaya & Vadim Gorin, 2023. "High-Dimensional Canonical Correlation Analysis," Papers 2306.16393, arXiv.org, revised Aug 2023.
  49. Inske Pirschel & Maik H. Wolters, 2018. "Forecasting with large datasets: compressing information before, during or after the estimation?," Empirical Economics, Springer, vol. 55(2), pages 573-596, September.
  50. 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.
  51. Katja Heinisch & Rolf Scheufele, 2018. "Bottom-up or direct? Forecasting German GDP in a data-rich environment," Empirical Economics, Springer, vol. 54(2), pages 705-745, March.
  52. Elena Deryugina & Alexey Ponomarenko, 2020. "Disinflation and Reliability of Underlying Inflation Measures," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(1), pages 91-111, March.
  53. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, Department of Economics and Business Economics, Aarhus University.
  54. 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).
  55. 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.
  56. Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1), pages 557-567.
  57. Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni, 2021. "The impact of r-g on Euro-Area government spending multipliers," Journal of International Money and Finance, Elsevier, vol. 119(C).
  58. Rossi, Barbara & Sekhposyan, Tatevik, 2014. "Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set," International Journal of Forecasting, Elsevier, vol. 30(3), pages 662-682.
  59. Nii Ayi Armah & Norman Swanson, 2010. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 476-510.
  60. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.
  61. 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.
  62. Gupta, Rangan & Kabundi, Alain, 2011. "A large factor model for forecasting macroeconomic variables in South Africa," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1076-1088, October.
  63. Chudik, Alexander & Pesaran, M. Hashem, 2015. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Journal of Econometrics, Elsevier, vol. 188(2), pages 393-420.
  64. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2014. "Understanding global liquidity," European Economic Review, Elsevier, vol. 68(C), pages 1-18.
  65. Carlos Giraldo & Iader Giraldo & Jose E. Gomez-Gonzalez & Jorge M. Uribe, 2023. ""US uncertainty shocks, credit, production, and prices: The case of fourteen Latin American countries"," IREA Working Papers 202302, University of Barcelona, Research Institute of Applied Economics, revised Feb 2023.
  66. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Economics Working Papers ECO2008/22, European University Institute.
  67. 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.
  68. 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.
  69. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Pedro Jose Piqueras Martinez, 2024. "Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity," Econometrics, MDPI, vol. 12(4), pages 1-14, December.
  70. 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.
  71. Alexander Chudik & M. Hashem Pesaran, 2016. "Theory And Practice Of Gvar Modelling," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 165-197, February.
  72. 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.
  73. Forni, Mario & Gambetti, Luca, 2010. "The dynamic effects of monetary policy: A structural factor model approach," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 203-216, March.
  74. Pierre Guérin & Danilo Leiva-Leon, 2017. "Monetary policy, stock market and sectoral comovement," Working Papers 1731, Banco de España.
  75. Hwee Kwan Chow & Keen Meng Choy, 2009. "Monetary Policy And Asset Prices In A Small Open Economy: A Factor-Augmented Var Analysis For Singapore," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-23.
  76. 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.
  77. Maria Gadea & Ana Gómez-Loscos & Antonio Montañés, 2012. "Cycles inside cycles: Spanish regional aggregation," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 3(4), pages 423-456, December.
  78. Bouwman, Kees E. & Jacobs, Jan P.A.M., 2011. "Forecasting with real-time macroeconomic data: The ragged-edge problem and revisions," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 784-792.
  79. Romain Houssa & Lasse Bork & Hans Dewachter, 2008. "Identification of Macroeconomic Factors in Large Panels," Working Papers 1010, University of Namur, Department of Economics.
  80. Luca Gambetti, 2010. "Fiscal Policy, Foresight and the Trade Balance in the U.S," Working Papers 505, Barcelona School of Economics.
  81. Bantis, Evripidis & Clements, Michael P. & Urquhart, Andrew, 2023. "Forecasting GDP growth rates in the United States and Brazil using Google Trends," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1909-1924.
  82. 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.
  83. 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).
  84. Nii Ayi Armah & Norman Swanson, 2011. "Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 43-60.
  85. 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.
  86. Muriel Nguiffo-Boyom, 2014. "2007-2013: This is what the indicator told us ? Evaluating the performance of real-time nowcasts from a dynamic factor model," BCL working papers 88, Central Bank of Luxembourg.
  87. Jean-Stéphane Mésonnier & Dalibor Stevanovic, 2012. "Bank Leverage Shocks and the Macroeconomy: a New Look in a Data-Rich Environment," CIRANO Working Papers 2012s-23, CIRANO.
  88. Xin Tian & Jan Jacobs & Jakob de Haan, 2022. "Alternative Measures for the Global Financial Cycle: Do They Make a Difference?," CESifo Working Paper Series 9730, CESifo.
  89. Mogliani, Matteo & Simoni, Anna, 2021. "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Journal of Econometrics, Elsevier, vol. 222(1), pages 833-860.
  90. Jorge M. Uribe, 2018. "“Scaling Down Downside Risk with Inter-Quantile Semivariances”," IREA Working Papers 201826, University of Barcelona, Research Institute of Applied Economics, revised Oct 2018.
  91. 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.
  92. Aboura, Sofiane & Chevallier, Julien, 2015. "Cross-market volatility index with Factor-DCC," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 132-140.
  93. Chudik, Alexander & Pesaran, M. Hashem, 2011. "Infinite-dimensional VARs and factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 4-22, July.
  94. 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.
  95. Matteo Luciani & David Veredas, "undated". "A simple model for vast panels of volatilities," ULB Institutional Repository 2013/136239, ULB -- Universite Libre de Bruxelles.
  96. Mikael Khan & Louis Morel & Patrick Sabourin, 2013. "The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada," Staff Working Papers 13-35, Bank of Canada.
  97. Helena Chuliá & Sabuhi Khalili & Jorge M. Uribe, 2024. "Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI," IREA Working Papers 202402, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
  98. Matteo Fragetta & Emanuel Gasteiger, 2014. "Fiscal Foresight, Limited Information and the Effects of Government Spending Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(5), pages 667-692, October.
  99. 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.
  100. Andrés Felipe Londoño & Jorge Andrés Tamayo & Carlos Alberto Velásquez, 2012. "Dinámica de la política monetaria e inflación objetivo en Colombia: una aproximación FAVAR," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 30(68), pages 14-71, June.
  101. Aastveit, Knut Are & Trovik, Tørres, 2014. "Estimating the output gap in real time: A factor model approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 180-193.
  102. Panagiotidis, Theodore & Printzis, Panagiotis, 2020. "What is the investment loss due to uncertainty?," Global Finance Journal, Elsevier, vol. 45(C).
  103. Malovaná, Simona & Frait, Jan, 2017. "Monetary policy and macroprudential policy: Rivals or teammates?," Journal of Financial Stability, Elsevier, vol. 32(C), pages 1-16.
  104. 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.
  105. Selover, David D. & Yagihashi, Takeshi, 2015. "Examining industrial interdependence between Japan and South Korea: A FAVAR approach," Japan and the World Economy, Elsevier, vol. 36(C), pages 67-87.
  106. 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.
  107. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market index with Factor-DCC," Economic Modelling, Elsevier, vol. 40(C), pages 158-166.
  108. Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers 1910.03821, arXiv.org, revised Sep 2024.
  109. K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze & G. Rünstler, 2008. "Short-term forecasting of GDP using large monthly datasets – A pseudo real-time forecast evaluation exercise," Working Paper Research 133, National Bank of Belgium.
  110. Norman R. Swanson & Nii Ayi Armah, 2011. "Diffusion Index Models and Index Proxies: Recent Results and New Directions," Departmental Working Papers 201114, Rutgers University, Department of Economics.
  111. Ruan Weihua & Hou Qian, 2021. "Determining the Number of Factors in Static Approximate Factor Models Using Discrete Fourier Transforms and Pseudo-Eigenvalues," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 241(1), pages 71-117, February.
  112. Qin, Duo, 2008. "Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-26.
  113. Lopez-Buenache, German, 2019. "The evolution of monetary policy effectiveness under macroeconomic instability," Economic Modelling, Elsevier, vol. 83(C), pages 221-233.
  114. Gupta, Rangan & Jurgilas, Marius & Kabundi, Alain, 2010. "The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach," Economic Modelling, Elsevier, vol. 27(1), pages 315-323, January.
  115. Yuefeng Han & Rong Chen & Dan Yang & Cun-Hui Zhang, 2020. "Tensor Factor Model Estimation by Iterative Projection," Papers 2006.02611, arXiv.org, revised Jul 2024.
  116. Liu, Philip & Matheson, Troy & Romeu, Rafael, 2012. "Real-time forecasts of economic activity for Latin American economies," Economic Modelling, Elsevier, vol. 29(4), pages 1090-1098.
  117. 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.
  118. Tino Berger & Lorenzo Pozzi, 2016. "Is there really a Global Business Cycle? A Dynamic Factor Model with Stochastic Factor Selection," Tinbergen Institute Discussion Papers 16-088/VI, Tinbergen Institute.
  119. Bellégo, C. & Ferrara, L., 2012. "Macro-financial linkages and business cycles: A factor-augmented probit approach," Economic Modelling, Elsevier, vol. 29(5), pages 1793-1797.
  120. Francisco Dias & Maximiano Pinheiro & António Rua, 2018. "A bottom-up approach for forecasting GDP in a data-rich environment," Applied Economics Letters, Taylor & Francis Journals, vol. 25(10), pages 718-723, June.
  121. 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.).
  122. Georgios Chalamandaris & Andrianos Tsekrekos, 2010. "The correlation structure of FX option markets before and since the financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 73-84.
  123. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models," LEM Papers Series 2007/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  124. 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.
  125. Amendola, Adalgiso & Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni, 2020. "The euro-area government spending multiplier at the effective lower bound," European Economic Review, Elsevier, vol. 127(C).
  126. Han, Xu, 2015. "Tests for overidentifying restrictions in Factor-Augmented VAR models," Journal of Econometrics, Elsevier, vol. 184(2), pages 394-419.
  127. 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.
  128. 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.
  129. 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.
  130. 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.
  131. Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
  132. Yi‐Chiuan Wang & Jyh‐Lin Wu, 2015. "Fundamentals and Exchange Rate Prediction Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(8), pages 1651-1671, December.
  133. Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Measuring uncertainty in the stock market," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 18-33.
  134. 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.
  135. Valentina Aprigliano & Guerino Ardizzi & Libero Monteforte, 2017. "Using the payment system data to forecast the Italian GDP," Temi di discussione (Economic working papers) 1098, Bank of Italy, Economic Research and International Relations Area.
  136. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2020. "Bayesian Modelling of TVP-VARs Using Regression Trees," Working Papers 2308, University of Strathclyde Business School, Department of Economics, revised Aug 2023.
  137. 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).
  138. Alfredo Cabezas-Ares & María Jesús Delgado-Rodríguez & Sonia de Lucas-Santos, 2020. "The Dynamics of Cyclical Convergence and Decoupling in the Environmental Performance of Spanish Regions," Sustainability, MDPI, vol. 12(20), pages 1-14, October.
  139. 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.
  140. 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.
  141. Kaufmann, Daniel & Lein, Sarah M., 2013. "Sticky prices or rational inattention – What can we learn from sectoral price data?," European Economic Review, Elsevier, vol. 64(C), pages 384-394.
  142. Breitung, Jörg & Eickmeier, Sandra, 2011. "Testing for structural breaks in dynamic factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 71-84, July.
  143. Batini, Nicoletta & Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni & Waldron, Anthony, 2022. "Building back better: How big are green spending multipliers?," Ecological Economics, Elsevier, vol. 193(C).
  144. Jansen, W. Jos & Jin, Xiaowen & de Winter, Jasper M., 2016. "Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts," International Journal of Forecasting, Elsevier, vol. 32(2), pages 411-436.
  145. Masud Alam, 2021. "Output, Employment, and Price Effects of U.S. Narrative Tax Changes: A Factor-Augmented Vector Autoregression Approach," Papers 2106.10844, arXiv.org.
  146. David Martinez-Miera & Rafael Repullo, 2019. "Monetary Policy, Macroprudential Policy, and Financial Stability," Annual Review of Economics, Annual Reviews, vol. 11(1), pages 809-832, August.
  147. Luke Hartigan & James Morley, 2018. "A Factor Model Analysis of the Effects on Inflation Targeting on the Australian Economy," RBA Annual Conference Volume (Discontinued), in: John Simon & Maxwell Sutton (ed.),Central Bank Frameworks: Evolution or Revolution?, Reserve Bank of Australia.
  148. Qihui Chen & Zheng Fang, 2018. "Improved Inference on the Rank of a Matrix," Papers 1812.02337, arXiv.org, revised Mar 2019.
  149. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009. "Opening The Black Box: Structural Factor Models With Large Cross Sections," Econometric Theory, Cambridge University Press, vol. 25(5), pages 1319-1347, October.
  150. Hwee Kwan Chow & Keen Meng Choy, 2009. "Analyzing and forecasting business cycles in a small open economy: A dynamic factor model for Singapore," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2009(1), pages 19-41.
  151. 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.
  152. Öğünç, Fethi & Akdoğan, Kurmaş & Başer, Selen & Chadwick, Meltem Gülenay & Ertuğ, Dilara & Hülagü, Timur & Kösem, Sevim & Özmen, Mustafa Utku & Tekatlı, Necati, 2013. "Short-term inflation forecasting models for Turkey and a forecast combination analysis," Economic Modelling, Elsevier, vol. 33(C), pages 312-325.
  153. 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.
  154. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
  155. 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.
  156. 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.
  157. Kemal Bagzibagli, 2014. "Monetary transmission mechanism and time variation in the Euro area," Empirical Economics, Springer, vol. 47(3), pages 781-823, November.
  158. Jorge M. Uribe & Montserrat Guillen, 2020. "Generalized Market Uncertainty Measurement in European Stock Markets in Real Time," Mathematics, MDPI, vol. 8(12), pages 1-11, December.
  159. Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 14, pages 1-14.
  160. 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.
  161. Piyachart Phiromswad & Takeshi Yagihashi, 2016. "Empirical identification of factor models," Empirical Economics, Springer, vol. 51(2), pages 621-658, September.
  162. Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
  163. 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.
  164. 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.
  165. Chudik, Alexander & Grossman, Valerie & Pesaran, M. Hashem, 2016. "A multi-country approach to forecasting output growth using PMIs," Journal of Econometrics, Elsevier, vol. 192(2), pages 349-365.
  166. G. Rünstler & K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze, 2009. "Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 595-611.
  167. Matteo Barigozzi & Marc Hallin, 2016. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
  168. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
  169. Marcellino, Massimiliano & Schumacher, Christian, 2007. "Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP," Discussion Paper Series 1: Economic Studies 2007,34, Deutsche Bundesbank.
  170. Das, Sonali & Gupta, Rangan & Kabundi, Alain, 2009. "Could we have predicted the recent downturn in the South African housing market?," Journal of Housing Economics, Elsevier, vol. 18(4), pages 325-335, December.
  171. Philipp Gersing & Christoph Rust & Manfred Deistler, 2023. "Weak Factors are Everywhere," Papers 2307.10067, arXiv.org, revised Jan 2024.
  172. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
  173. Sandra Eickmeier, 2009. "Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 933-959.
  174. Sahbi FARHANI, 2012. "Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model)," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 246-266.
  175. Hanisch, Max & Kempa, Bernd, 2017. "The international transmission channels of US supply and demand shocks: Evidence from a non-stationary dynamic factor model for the G7 countries," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 70-88.
  176. Himounet, Nicolas, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," International Economics, Elsevier, vol. 170(C), pages 1-31.
  177. Cees Diks & Bram Wouters, 2023. "Noise reduction for functional time series," Papers 2307.02154, arXiv.org.
  178. MOLTENI, Francesco, PAPPA, Evi, 2017. "The Combination of Monetary and Fiscal Policy Shocks: A TVP-FAVAR Approach," Economics Working Papers MWP 2017/13, European University Institute.
  179. Soybilgen, Baris, 2018. "Identifying US business cycle regimes using dynamic factors and neural network models," MPRA Paper 94715, University Library of Munich, Germany.
  180. 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.
  181. Mario Di Serio & Matteo Fragetta & Emanuel Gasteiger, 2020. "The Government Spending Multiplier at the Zero Lower Bound: Evidence from the United States," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1262-1294, December.
  182. Travaglini, Guido, 2010. "Dynamic Econometric Testing of Climate Change and of its Causes," MPRA Paper 23600, University Library of Munich, Germany.
  183. Gilchrist, Simon & Yankov, Vladimir & Zakrajsek, Egon, 2009. "Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 471-493, May.
  184. Lorenzo Boldrini & Eric Hillebrand, 2015. "Supervision in Factor Models Using a Large Number of Predictors," CREATES Research Papers 2015-38, Department of Economics and Business Economics, Aarhus University.
  185. Liebermann, Joelle, 2010. "Real-time nowcasting of GDP: Factor model versus professional forecasters," MPRA Paper 28819, University Library of Munich, Germany.
  186. Dimitra Lamprou, 2015. "Nowcasting GDP in Greece: A Note on Forecasting Improvements from the Use of Bridge Models," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 13(1), pages 85-100.
  187. Sergio Iván Prada & Julio C. Alonso & Julián Fernández, 2019. "Exchange rate pass-through into consumer healthcare prices in Colombia," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 38(77), pages 523-550, July.
  188. Hosszú, Zsuzsanna, 2018. "The impact of credit supply shocks and a new Financial Conditions Index based on a FAVAR approach," Economic Systems, Elsevier, vol. 42(1), pages 32-44.
  189. Rangan Gupta & Alain Kabundi, 2010. "Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 168-185.
  190. Travaglini, Guido, 2011. "Principal Components and Factor Analysis. A Comparative Study," MPRA Paper 35486, University Library of Munich, Germany.
  191. Bernd Funovits & Alexander Braumann, 2019. "Identifiability of Structural Singular Vector Autoregressive Models," Papers 1910.04096, arXiv.org, revised Oct 2020.
  192. 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).
  193. Alain Kabundi & Rangan Gupta & Sonali Das, 2008. "Is a DFM well suited for forecasting regional house price inflation?," Working Papers 085, Economic Research Southern Africa.
  194. Greenaway-McGrevy, Ryan & Han, Chirok & Sul, Donggyu, 2012. "Estimating the number of common factors in serially dependent approximate factor models," Economics Letters, Elsevier, vol. 116(3), pages 531-534.
  195. Yuefeng Han & Dan Yang & Cun-Hui Zhang & Rong Chen, 2021. "CP Factor Model for Dynamic Tensors," Papers 2110.15517, arXiv.org, revised Apr 2024.
  196. Masud Alam, 2021. "Heterogeneous Responses to the U.S. Narrative Tax Changes: Evidence from the U.S. States," Papers 2107.13678, arXiv.org.
  197. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2019. "Decomposing global yield curve co-movement," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 500-513.
  198. Germán López, 2015. "Forecast Accuracy of Small and Large Scale Dynamic Factor Models in Developing Economies," Working Papers. Serie AD 2015-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  199. 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.
    • 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.
  200. Sandra Eickmeier & Christina Ziegler, 2008. "How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 237-265.
  201. 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.
  202. Bai, Jushan & Wang, Peng, 2012. "Identification and estimation of dynamic factor models," MPRA Paper 38434, University Library of Munich, Germany.
  203. Berger, Tino & Everaert, Gerdie & Pozzi, Lorenzo, 2021. "Testing for international business cycles: A multilevel factor model with stochastic factor selection," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
  204. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  205. Pirschel, Inske & Wolters, Maik H., 2014. "Forecasting German key macroeconomic variables using large dataset methods," Kiel Working Papers 1925, Kiel Institute for the World Economy (IfW Kiel).
  206. Laumer, Sebastian, 2020. "Government spending and heterogeneous consumption dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
  207. Matheson, Troy D., 2010. "An analysis of the informational content of New Zealand data releases: The importance of business opinion surveys," Economic Modelling, Elsevier, vol. 27(1), pages 304-314, January.
  208. William T. Gavin & Kevin L. Kliesen, 2008. "Forecasting inflation and output: comparing data-rich models with simple rules," Review, Federal Reserve Bank of St. Louis, vol. 90(May), pages 175-192.
  209. 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.
  210. Stock, James H. & Watson, Mark, 2011. "Dynamic Factor Models," Scholarly Articles 28469541, Harvard University Department of Economics.
  211. Lam, Clifford & Yao, Qiwei & Bathia, Neil, 2011. "Estimation of latent factors for high-dimensional time series," LSE Research Online Documents on Economics 31549, London School of Economics and Political Science, LSE Library.
  212. Barış Soybilgen & Ege Yazgan, 2021. "Nowcasting US GDP Using Tree-Based Ensemble Models and Dynamic Factors," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 387-417, January.
  213. Pedro Cerqueira, 2011. "How Pervasive is the World Business Cycle?," Open Economies Review, Springer, vol. 22(1), pages 119-142, February.
  214. Ursel Baumann, 2014. "Has US Household Deleveraging Ended? A Model-Based Estimate of Equilibrium Debt," Working Papers w201404, Banco de Portugal, Economics and Research Department.
  215. Jokubaitis, Saulius & Celov, Dmitrij & Leipus, Remigijus, 2021. "Sparse structures with LASSO through principal components: Forecasting GDP components in the short-run," International Journal of Forecasting, Elsevier, vol. 37(2), pages 759-776.
  216. Aida Karmous & Heni Boubaker & Lotfi Belkacem, 2021. "Forecasting Volatility for an Optimal Portfolio with Stylized Facts Using Copulas," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 461-482, August.
  217. 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.
  218. 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.
  219. Konstantin Kuck & Karsten Schweikert, 2021. "Forecasting Baden‐Württemberg's GDP growth: MIDAS regressions versus dynamic mixed‐frequency factor models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 861-882, August.
  220. Alexander Chudik & M. Hashem Pesaran, 2013. "Large Panel Data Models with Cross-Sectional Dependence: A Survey," CESifo Working Paper Series 4371, CESifo.
  221. Pestova, Anna, 2020. "“Credit view” on monetary policy in Russia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 72-88.
  222. Yamamoto, Yohei & Tanaka, Shinya, 2015. "Testing for factor loading structural change under common breaks," Journal of Econometrics, Elsevier, vol. 189(1), pages 187-206.
  223. Aboura, Sofiane & Chevallier, Julien, 2015. "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.
  224. 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.
  225. Yuefeng Han & Rong Chen & Cun-Hui Zhang, 2020. "Rank Determination in Tensor Factor Model," Papers 2011.07131, arXiv.org, revised May 2022.
  226. Bernd Funovits & Alexander Braumann, 2021. "Identifiability of structural singular vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 431-441, July.
  227. 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.
  228. António Rua & Francisco Craveiro Dias & Maximiano Pinheiro, 2014. "Forecasting Portuguese GDP with factor models," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  229. Max Hanisch, 2017. "US Monetary Policy and the Euro Area," Discussion Papers of DIW Berlin 1701, DIW Berlin, German Institute for Economic Research.
  230. Gregor Bäurle & Elizabeth Steiner, 2015. "How do Individual Sectors Respond to Macroeconomic Shocks? A Structural Dynamic Factor Approach Applied to Swiss Data," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 151(III), pages 167-225, September.
  231. repec:hum:wpaper:sfb649dp2014-004 is not listed on IDEAS
  232. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute.
  233. Qin, Duo & Tan, Tao, 2009. "How much intraregional exchange rate variability could a currency union remove? The case of ASEAN+3," Journal of Banking & Finance, Elsevier, vol. 33(10), pages 1793-1803, October.
  234. Martin Feldkircher & Florian Huber & Josef Schreiner & Julia Woerz & Marcel Tirpak & Peter Toth, 2015. "Small-scale nowcasting models of GDP for selected CESEE countries," Working and Discussion Papers WP 4/2015, Research Department, National Bank of Slovakia.
  235. Park, Kangwoo, 2012. "Employment responses to aggregate and sectoral technology shocks," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 801-821.
  236. Delphine Lahet & Stéphanie Prat, 2022. "Local-currency debt and currency internationalization dynamics: A nonlinear framework," Post-Print hal-03640702, HAL.
  237. Mario Forni & Luca Gambetti, 2021. "Policy and Business Cycle Shocks: A Structural Factor Model Representation of the US Economy," JRFM, MDPI, vol. 14(8), pages 1-21, August.
  238. Massimiliano Marcellino & Christian Schumacher, 2010. "Factor MIDAS for Nowcasting and Forecasting with Ragged‐Edge Data: A Model Comparison for German GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 518-550, August.
  239. Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Quising, Pilipinas, 2008. "Automatic leading indicators versus macroeconometric structural models: A comparison of inflation and GDP growth forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 399-413.
  240. Byungsoo Kim & Junmo Song & Changryong Baek, 2021. "Robust test for structural instability in dynamic factor models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 821-853, August.
  241. Owyang, Michael T. & Rapach, David E. & Wall, Howard J., 2009. "States and the business cycle," Journal of Urban Economics, Elsevier, vol. 65(2), pages 181-194, March.
  242. Francisco Amaral & Martin Dohmen & Moritz Schularick & Jonas Zdrzalek, 2023. "German Real Estate Index (GREIX)," ECONtribute Discussion Papers Series 231, University of Bonn and University of Cologne, Germany.
  243. 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.
  244. 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.
  245. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-18.
  246. Katerina Arnostova & David Havrlant & Luboš Rùžièka & Peter Tóth, 2011. "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 566-583, December.
  247. Hanisch, Max, 2019. "US monetary policy and the euro area," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 77-96.
  248. Travaglini, Guido, 2010. "Supervised Principal Components and Factor Instrumental Variables. An Application to Violent CrimeTrends in the US, 1982-2005," MPRA Paper 22077, University Library of Munich, Germany.
  249. Nagayasu, Jun, 2013. "Interdependence in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model," MPRA Paper 45955, University Library of Munich, Germany.
  250. Jan J. J. Groen & Michael Nattinger, 2020. "Alternative Indicators for Chinese Economic Activity Using Sparse PLS Regression," Economic Policy Review, Federal Reserve Bank of New York, vol. 26(4), pages 39-68, October.
  251. Chadwick, Meltem Gülenay & Fazilet, Fatih & Tekatli, Necati, 2015. "Understanding the common dynamics of the emerging market currencies," Economic Modelling, Elsevier, vol. 49(C), pages 120-136.
  252. Marco J. Lombardi & Feng Zhu, 2018. "A Shadow Policy Rate to Calibrate U.S. Monetary Policy at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 14(5), pages 305-346, December.
  253. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
  254. 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.
  255. Joaqui-Barandica, Orlando & Manotas-Duque, Diego F. & Uribe, Jorge M., 2022. "Commonality, macroeconomic factors and banking profitability," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  256. Demir, Ishak, 2019. "International Spillovers of U.S. Monetary Policy," EconStor Preprints 193968, ZBW - Leibniz Information Centre for Economics.
  257. Delphine Lahet & Stéphanie Prat, 2021. "Internationalisation of emerging market currencies and original sin: Empirical evidence," The World Economy, Wiley Blackwell, vol. 44(7), pages 1973-2003, July.
  258. Lourenço, Nuno & Gouveia, Carlos Melo & Rua, António, 2021. "Forecasting tourism with targeted predictors in a data-rich environment," Economic Modelling, Elsevier, vol. 96(C), pages 445-454.
  259. Kihwan Kim & Norman Swanson, 2013. "Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets," Departmental Working Papers 201315, Rutgers University, Department of Economics.
  260. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
  261. Dimitar EFTIMOSKI, 2019. "Improving Short-Term Forecasting of Macedonian GDP: Comparing the Factor Model with the Macroeconomic Structural Equation Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 32-53, June.
  262. Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, vol. 29(6), pages 2174-2182.
  263. Kappler, Marcus & Schleer, Frauke, 2017. "A financially stressed euro area," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 11, pages 1-37.
  264. Valizadeh, Pourya & Fischer, Bart L. & Bryant, Henry L., 2022. "Investigating the Differential Effects of the Economy on SNAP Participation: A Factor Model Approach," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322367, Agricultural and Applied Economics Association.
  265. Delphine Lahet & Stéphanie Prat, 2023. "Local-currency debt and currency internationalization dynamics: A nonlinear framework," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 159(1), pages 215-254, February.
  266. de Lucas-Santos, Sonia & Delgado-Rodríguez, María Jesús & Cabezas-Ares, Alfredo, 2021. "Cyclical convergence in per capita carbon dioxide emission in US states: A dynamic unobserved component approach," Energy, Elsevier, vol. 217(C).
  267. Dilip M. Nachane & Amlendu Dubey, 2021. "The Spectral Envelope: An Application to the Decoupling Problem in Economics," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 287-308, December.
  268. Masud Alam, 2024. "Output, employment, and price effects of U.S. narrative tax changes: a factor-augmented vector autoregression approach," Empirical Economics, Springer, vol. 67(4), pages 1421-1471, October.
  269. Gent Bajraj & Andrés Fernández & Miguel Fuentes & Benjamín García & Jorge Lorca & Manuel Paillacar & Juan Marcos Wlasiuk, 2022. "Global Drivers and Macroeconomic Volatility in EMEs: a Dynamic Factor, General Equilibrium Perspective," Working Papers Central Bank of Chile 963, Central Bank of Chile.
  270. 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.
  271. 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.
  272. AMENDOLA, Adalgiso & DI SERIO, Mario & FRAGETTA, Matteo, 2018. "The Government Spending Multiplier at the Zero Lower Bound: Evidence from the Euro Area," CELPE Discussion Papers 153, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy.
  273. Gabriele Mingoli, 2024. "Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model," Tinbergen Institute Discussion Papers 24-072/III, Tinbergen Institute.
  274. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
  275. María Jesús Delgado-Rodríguez & Sonia de Lucas-Santos & Alfredo Cabezas-Ares, 2021. "Short-Run Links in Ecological Footprint: A Dynamic Factor Analysis for the EU," Land, MDPI, vol. 10(12), pages 1-12, December.
  276. Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions," Working Papers 2015-03, Universitat de Barcelona, UB Riskcenter.
  277. Xin Tian & Jan Jacobs & Jakob de Haan, 2022. "Alternative Measures for the Global Financial Cycle: Do They Make a Difference?," CESifo Working Paper Series 9730, CESifo.
  278. Gelfer, Sacha, 2020. "The effects of professional forecast dissemination on macroeconomic volatility," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 131-156.
  279. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2020. "Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors," Econometrics, MDPI, vol. 8(1), pages 1-23, February.
  280. Martin Feldkircher & Florian Huber & Josef Schreiner & Marcel Tirpák & Peter Tóth & Julia Wörz, 2015. "Bridging the information gap: small-scale nowcasting models of GDP growth for selected CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 56-75.
  281. repec:ebl:ecbull:v:3:y:2008:i:33:p:1-18 is not listed on IDEAS
  282. 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.
  283. Vítor Castro & Pedro A. Cerqueira & Rodrigo Martins, 2024. "Is There a Pervasive World Real Credit Cycle?," Open Economies Review, Springer, vol. 35(1), pages 99-119, February.
  284. Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, vol. 163(1), pages 29-41, July.
  285. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2010. "Are disaggregate data useful for factor analysis in forecasting French GDP?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 132-144.
  286. Fatma Alahouel & Nadia Loukil, 2020. "Financial uncertainty valuation: doesShariahcompliant screening matter?," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 14(1), pages 57-76, August.
  287. Mario Di Serio & Matteo Fragetta & Emanuel Gasteiger & Giovanni Melina, 2022. "The Euro Area Government Spending Multiplier in Demand- and Supply-Driven Recessions," CESifo Working Paper Series 9678, CESifo.
  288. Nidhi Tewathia, 2018. "Consumption Behaviour and Conservation of Household Electricity in Delhi: A Factor Analysis Approach," Asian Bulletin of Energy Economics and Technology, Asian Online Journal Publishing Group, vol. 4(1), pages 22-35.
  289. 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.
  290. Acconcia, Antonio & Simonelli, Saverio, 2008. "Interpreting aggregate fluctuations looking at sectors," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 3009-3031, September.
  291. 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.
  292. Troy D. Matheson, 2014. "New indicators for tracking growth in real time," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 51-71.
  293. Borus Jungbacker & Siem Jan Koopman, 2015. "Likelihood‐based dynamic factor analysis for measurement and forecasting," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 1-21, June.
  294. Luis Ayala-Cañón & María Jesús Delgado-Rodríguez & Sonia De Lucas-Santos, 2022. "Synchronization and cyclicality of social spending in economic crises," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(4), pages 1153-1187, November.
  295. Kappler, Marcus & Schleer, Frauke, 2013. "How many factors and shocks cause financial stress?," ZEW Discussion Papers 13-100, ZEW - Leibniz Centre for European Economic Research.
  296. Dias, Francisco & Pinheiro, Maximiano & Rua, António, 2015. "Forecasting Portuguese GDP with factor models: Pre- and post-crisis evidence," Economic Modelling, Elsevier, vol. 44(C), pages 266-272.
  297. Daniel Wochner, 2020. "Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions," KOF Working papers 20-472, KOF Swiss Economic Institute, ETH Zurich.
  298. 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.
  299. 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.
  300. Andrea Nobili, 2009. "Composite indicators for monetary analysis," Temi di discussione (Economic working papers) 713, Bank of Italy, Economic Research and International Relations Area.
  301. Hanisch, Max, 2017. "The effectiveness of conventional and unconventional monetary policy: Evidence from a structural dynamic factor model for Japan," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 110-134.
  302. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute, revised 20 Mar 2014.
  303. Lam, Clifford & Yao, Qiwei, 2012. "Factor modeling for high-dimensional time series: inference for the number of factors," LSE Research Online Documents on Economics 45684, London School of Economics and Political Science, LSE Library.
  304. Michał Marcin Kobierecki & Michał Pierzgalski, 2022. "Sports Mega-Events and Economic Growth: A Synthetic Control Approach," Journal of Sports Economics, , vol. 23(5), pages 567-597, June.
  305. Alessandro Barbarino & Efstathia Bura, 2015. "Forecasting with Sufficient Dimension Reductions," Finance and Economics Discussion Series 2015-74, Board of Governors of the Federal Reserve System (U.S.).
  306. 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).
  307. Takumah, Wisdom, 2023. "Fiscal Policy and Asset Prices in a Dynamic Factor Model with Cointegrated Factors," MPRA Paper 117897, University Library of Munich, Germany, revised 10 Jul 2023.
  308. 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.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.