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A Dynamic Index Model for Large Cross Sections
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Cited by:
- Mora, Ricardo & Siotis, Georges, 2005.
"External factors in emerging market recoveries: An empirical investigation,"
European Economic Review, Elsevier, vol. 49(3), pages 683-702, April.
- Ricardo Mora & Georges Siotis, 2000. "External Factors in Emerging Market Recoveries: An Empirical Investigation," Econometric Society World Congress 2000 Contributed Papers 1415, Econometric Society.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2004.
"The generalized dynamic factor model consistency and rates,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 231-255, April.
- Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2004. "The generalised dynamic factor model: consistency and rates," ULB Institutional Repository 2013/10133, ULB -- Universite Libre de Bruxelles.
- Quah, Danny, 1994.
"One business cycle and one trend from (many,) many disaggregates,"
European Economic Review, Elsevier, vol. 38(3-4), pages 605-614, April.
- Quah, D., 1993. "One Business Cycle and One Trend From(Many) Many Disaggregates," Papers 550, Stockholm - International Economic Studies.
- Quah, Danny, 1994. "One Business Cycle and One Trend from (Many) Many Disaggregates," CEPR Discussion Papers 873, C.E.P.R. Discussion Papers.
- Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012.
"A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models,"
The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series 674, European Central Bank.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," Working Papers ECARES 2008_034, ULB -- Universite Libre de Bruxelles.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Post-Print hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) hal-00638440, HAL.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
- 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.
- Antonello D’Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2016.
"Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 569-594,
Emerald Group Publishing Limited.
- Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015. "Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models," Finance and Economics Discussion Series 2015-66, Board of Governors of the Federal Reserve System (U.S.).
- Athanasoulis, S. & Shiller, R.J., 1995.
"World Income Components: Measuring and Exploting International Risk Sharing Opportunities,"
Papers
725, Yale - Economic Growth Center.
- Robert J. Shiller & Stefano G. Athanasoulis, 1997. "World Income Components: Measuring and Exploiting International Risk Sharing Opportunities," Cowles Foundation Discussion Papers 1097, Cowles Foundation for Research in Economics, Yale University.
- Robert Shiller, 2004. "World Income Components: Measuring And Exploiting International Risk Sharing Opportunities," Yale School of Management Working Papers ysm151, Yale School of Management.
- Robert J. Shiller & Stefano Athanasoulis, 1995. "World Income Components: Measuring and Exploiting International Risk Sharing Opportunities," NBER Working Papers 5095, National Bureau of Economic Research, Inc.
- Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2011.
"Sectoral versus Aggregate Shocks: A Structural Factor Analysis of Industrial Production,"
Journal of Political Economy, University of Chicago Press, vol. 119(1), pages 1-38.
- Pierre-Daniel Sarte & Mark Watson & Andrew Foerster, 2008. "Aggregate Shocks and the Variability of Industrial Production," 2008 Meeting Papers 224, Society for Economic Dynamics.
- Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2008. "Sectoral vs. Aggregate Shocks: A Structural Factor Analysis of Industrial Production," NBER Working Papers 14389, National Bureau of Economic Research, Inc.
- Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2008. "Sectoral vs. aggregate shocks : a structural factor analysis of industrial production," Working Paper 08-07, Federal Reserve Bank of Richmond.
- Sentana, Enrique, 1995.
"Risk and return in the Spanish stock market,"
LSE Research Online Documents on Economics
119179, London School of Economics and Political Science, LSE Library.
- Enrique Sentana, 1995. "Risk and Return in the Spanish Stock Market," FMG Discussion Papers dp212, Financial Markets Group.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2005.
"The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting,"
Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 830-840, September.
- Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario, 2002. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," CEPR Discussion Papers 3432, C.E.P.R. Discussion Papers.
- Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2003. "The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting," LEM Papers Series 2003/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2005. "The generalised dynamic factor model: one sided estimation and forecasting," ULB Institutional Repository 2013/10129, ULB -- Universite Libre de Bruxelles.
- Forni M. & Hallin M., 2003. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Computing in Economics and Finance 2003 143, Society for Computational Economics.
- Potjagailo, Galina & Wolters, Maik H., 2023.
"Global financial cycles since 1880,"
Journal of International Money and Finance, Elsevier, vol. 131(C).
- Potjagailo, Galina & Wolters, Maik H., 2019. "Global financial cycles since 1880," Kiel Working Papers 2122, Kiel Institute for the World Economy (IfW Kiel).
- Potjagailo, Galina & Wolters, Maik H, 2020. "Global financial cycles since 1880," Bank of England working papers 867, Bank of England.
- Potjagailo, Galina & Wolters, Maik H., 2019. "Global financial cycles since 1880," IMFS Working Paper Series 132, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
- William A. Barnett & Biyan Tang, 2016.
"Chinese Divisia Monetary Index and GDP Nowcasting,"
Open Economies Review, Springer, vol. 27(5), pages 825-849, November.
- Barnett, William A. & Tang, Biyan, 2015. "Chinese Divisia monetary index and GDP nowcasting," MPRA Paper 67691, University Library of Munich, Germany.
- William A. Barnett & Biyan Tang, 2015. "Chinese Divisia Monetary Index and GDP Nowcasting," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201506, University of Kansas, Department of Economics, revised Nov 2015.
- Todd E. Clark, 2006.
"Disaggregate evidence on the persistence of consumer price inflation,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 563-587, July.
- Todd E. Clark, 2006. "Disaggregate evidence on the persistence of consumer price inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 563-587.
- Todd E. Clark, 2003. "Disaggregate evidence on the persistence of consumer price inflation," Research Working Paper RWP 03-11, Federal Reserve Bank of Kansas City.
- Diebold, Francis X & Rudebusch, Glenn D, 1996.
"Measuring Business Cycles: A Modern Perspective,"
The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.
- Diebold & Rudebusch, "undated". "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
- Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc.
- Maćkowiak, Bartosz & Moench, Emanuel & Wiederholt, Mirko, 2009.
"Sectoral price data and models of price setting,"
Journal of Monetary Economics, Elsevier, vol. 56(S), pages 78-99.
- Mackowiak, Bartosz & Wiederholt, Mirko & Moench, Emanuel, 2009. "Sectoral Price Data and Models of Price Setting," CEPR Discussion Papers 7339, C.E.P.R. Discussion Papers.
- Mirko Wiederholt & Emanuel Moench & Bartosz Maćkowiak, 2009. "Sectoral Price Data and Models of Price Setting," 2009 Meeting Papers 666, Society for Economic Dynamics.
- Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Cambridge Working Papers in Economics 2237, Faculty of Economics, University of Cambridge.
- Grace Lee, 2011.
"Aggregate shocks decomposition for eight East Asian countries,"
Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 16(2), pages 215-232.
- Grace H.Y. Lee, 2009. "Aggregate Shocks Decomposition For Eight East Asian Countries," Monash Economics Working Papers 17-09, Monash University, Department of Economics.
- Shin-ichi Fukuda & Takashi Onodera, 2001. "A New Composite Index of Coincident Economic Indicators in Japan: How can we improve the forecast performance? ," CIRJE F-Series CIRJE-F-101, CIRJE, Faculty of Economics, University of Tokyo.
- 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.
- Matteo Barigozzi & Matteo Luciani, 2024. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Finance and Economics Discussion Series 2024-086, Board of Governors of the Federal Reserve System (U.S.).
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011.
"A two-step estimator for large approximate dynamic factor models based on Kalman filtering,"
Journal of Econometrics, Elsevier, vol. 164(1), pages 188-205, September.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2006. "A Two-step estimator for large approximate dynamic factor models based on Kalman filtering," THEMA Working Papers 2006-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print hal-00638009, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638009, HAL.
- Catherine Doz & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print hal-00844811, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," PSE-Ecole d'économie de Paris (Postprint) hal-00638009, HAL.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2007. "A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering," CEPR Discussion Papers 6043, C.E.P.R. Discussion Papers.
- Tobias Hartl & Roland Jucknewitz, 2022.
"Approximate state space modelling of unobserved fractional components,"
Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 75-98, January.
- Tobias Hartl & Roland Weigand, 2018. "Approximate State Space Modelling of Unobserved Fractional Components," Papers 1812.09142, arXiv.org, revised May 2020.
- Daniel Grenouilleau, 2004. "A sorted leading indicators dynamic (SLID) factor model for short-run euro-area GDP forecasting," European Economy - Economic Papers 2008 - 2015 219, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- 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.).
- Sonia de Lucas Santos & M. Jesús Delgado Rodríguez & Inmaculada Álvarez Ayuso & José Luis Cendejas Bueno, 2011. "Los ciclos económicos internacionales: antecedentes y revisión de la literatura," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 34(95), pages 73-84, Agosto.
- George Kapetanios, 2007.
"Dynamic factor extraction of cross-sectional dependence in panel unit root tests,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 313-338.
- George Kapetanios, 2004. "Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests," Working Papers 509, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios, 2004. "Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests," Working Papers 509, Queen Mary University of London, School of Economics and Finance.
- Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models," Papers 1910.09841, arXiv.org.
- Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008.
"Nowcasting: The real-time informational content of macroeconomic data,"
Journal of Monetary Economics, Elsevier, vol. 55(4), pages 665-676, May.
- Reichlin, Lucrezia & Giannone, Domenico & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers 5178, C.E.P.R. Discussion Papers.
- Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
- Giannone, Domenico & Reichlin, Lucrezia & Small, David H., 2006. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Working Paper Series 633, European Central Bank.
- Domenico Giannone & Lucrezia Reichlin & David H Small, 2007. "Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases," Money Macro and Finance (MMF) Research Group Conference 2006 164, Money Macro and Finance Research Group.
- 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.
- Liu, Dandan & Jansen, Dennis W., 2007. "Macroeconomic forecasting using structural factor analysis," International Journal of Forecasting, Elsevier, vol. 23(4), pages 655-677.
- 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.
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Center for Economic Research (RECent) 008, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series 712, European Central Bank.
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2008. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Working Papers ECARES 2008_036, ULB -- Universite Libre de Bruxelles.
- 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.
- Hwee Kwan Chow & Keen Meng Choy, 2009. "Analyzing and Forecasting Business Cycles in a Small Open Economy : A Dynamic Factor Model for Singapore," Macroeconomics Working Papers 22074, East Asian Bureau of Economic Research.
- Hwee Kwan Chow & Keen Meng Choy, 2009. "Analyzing and Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Working Papers 05-2009, Singapore Management University, School of Economics.
- Laura E. Jackson & M. Ayhan Kose & Christopher Otrok & Michael T. Owyang, 2016.
"Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 361-400,
Emerald Group Publishing Limited.
- Laura E. Jackson & M. Ayhan Kose & Christopher Otrok & Michael T. Owyang, 2015. "Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement," Working Papers 2015-31, Federal Reserve Bank of St. Louis.
- Massimiliano Marcellino & George Kapetanios, 2006.
"Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation,"
Working Papers
306, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Marcellino, Massimiliano & Kapetanios, George, 2006. "Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation," CEPR Discussion Papers 5621, C.E.P.R. Discussion Papers.
- Arpita Chatterjee, 2013. "Globalization and Monetary Policy: An Empirical Analysis," Discussion Papers 2013-08, School of Economics, The University of New South Wales.
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"Monetary policy in a data-rich environment,"
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"The Past, Present, and Future of Macroeconomic Forecasting,"
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"Dynamic Factor Models: a Genealogy,"
Papers
2310.17278, arXiv.org, revised Jan 2024.
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"Convergence clubs among Brazilian municipalities,"
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"Estimating Non-stationary Common Factors: Implications for Risk Sharing,"
Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 37-60, January.
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"Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model,"
International Journal of Forecasting, Elsevier, vol. 29(4), pages 676-694.
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"Level and volatility factors in macroeconomic data,"
Journal of Monetary Economics, Elsevier, vol. 91(C), pages 52-68.
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"A parametric estimation method for dynamic factor models of large dimensions,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 208-238, March.
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"Factor Models in Large Cross-Sections of Time Series,"
CEPR Discussion Papers
3285, C.E.P.R. Discussion Papers.
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