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Dynamic Factor Models

In: Modern Econometric Analysis

Citations

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Cited by:

  1. C. Thubin & T. Ferrière & E. Monnet & M. Marx & V. Oung, 2016. "The PRISME model: can disaggregation on the production side help to forecast GDP?," Working papers 596, Banque de France.
  2. 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.
  3. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank.
  4. Markus Hertrich, 2019. "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, Verein für Socialpolitik, vol. 20(4), pages 759-794, November.
  5. Eickmeier, Sandra & Lemke, Wolfgang & Marcellino, Massimiliano, 2011. "Classical time-varying FAVAR models - estimation, forecasting and structural analysis," Discussion Paper Series 1: Economic Studies 2011,04, Deutsche Bundesbank.
  6. Michał Brzoza-Brzezina & Jacek Kotłowski, 2009. "Bezwzględna stopa inflacji w gospodarce polskiej," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 9, pages 1-21.
  7. 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.
  8. Alessandro Giovannelli, 2012. "Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies," CEIS Research Paper 255, Tor Vergata University, CEIS, revised 08 Nov 2012.
  9. Eliana González & Luis F. Melo & Viviana Monroy & Brayan Rojas, 2009. "A Dynamic Factor Model For The Colombian Inflation," Borradores de Economia 5273, Banco de la Republica.
  10. 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.
  11. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2011. "Forecasting large datasets with Bayesian reduced rank multivariate models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(5), pages 735-761, August.
  12. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
  13. Enrique López Enciso, 2019. "Dos tradiciones en la medición del ciclo: historia general y desarrollos en Colombia," Tiempo y Economía, Universidad de Bogotá Jorge Tadeo Lozano, vol. 6(1), pages 77-142, February.
  14. Eickmeier, Sandra & Hofmann, Boris, 2013. "Monetary Policy, Housing Booms, And Financial (Im)Balances," Macroeconomic Dynamics, Cambridge University Press, vol. 17(4), pages 830-860, June.
  15. Bräuning, Falk & Koopman, Siem Jan, 2014. "Forecasting macroeconomic variables using collapsed dynamic factor analysis," International Journal of Forecasting, Elsevier, vol. 30(3), pages 572-584.
  16. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," CEPR Discussion Papers 6706, C.E.P.R. Discussion Papers.
  17. Adam Jêdrzejczyk, 2012. "Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach," Working Papers 63, Department of Applied Econometrics, Warsaw School of Economics.
  18. Choi, Woon Gyu & Kang, Taesu & Kim, Geun-Young & Lee, Byongju, 2017. "Global liquidity transmission to emerging market economies, and their policy responses," Journal of International Economics, Elsevier, vol. 109(C), pages 153-166.
  19. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
  20. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014. "Forecasting with factor-augmented error correction models," International Journal of Forecasting, Elsevier, vol. 30(3), pages 589-612.
  21. Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series 1379, European Central Bank.
  22. 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.
  23. 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).
  24. Christian Menden & Christian R. Proaño, 2017. "Dissecting the financial cycle with dynamic factor models," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1965-1994, December.
  25. Aleksandra Nocoń, 2020. "Sustainable Approach to the Normalization Process of the UK’s Monetary Policy," Sustainability, MDPI, vol. 12(21), pages 1-14, November.
  26. Pablo Duarte & Bernd Süssmuth, 2014. "Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP," CESifo Working Paper Series 4574, CESifo.
  27. Jana Riedel, 2020. "On real interest rate convergence among G7 countries," Empirical Economics, Springer, vol. 59(2), pages 599-626, August.
  28. Kemal Bagzibagli, 2014. "Monetary transmission mechanism and time variation in the Euro area," Empirical Economics, Springer, vol. 47(3), pages 781-823, November.
  29. He, Qing & Leung, Pak-Ho & Chong, Terence Tai-Leung, 2013. "Factor-augmented VAR analysis of the monetary policy in China," China Economic Review, Elsevier, vol. 25(C), pages 88-104.
  30. Mickael Bech & Terkel Christiansen & Ehsan Khoman & Jørgen Lauridsen & Martin Weale, 2011. "Ageing and health care expenditure in EU-15," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 12(5), pages 469-478, October.
  31. Michal Brzoza-Brzezina & Jacek Kotlowski, 2009. "Estimating pure inflation in the Polish economy," Working Papers 37, Department of Applied Econometrics, Warsaw School of Economics.
  32. Schumacher, Christian, 2010. "Factor forecasting using international targeted predictors: The case of German GDP," Economics Letters, Elsevier, vol. 107(2), pages 95-98, May.
  33. Chen, Liang, 2012. "Identifying observed factors in approximate factor models: estimation and hypothesis testing," MPRA Paper 37514, University Library of Munich, Germany.
  34. Esteban Gómez & Andrés Murcia & Nancy Zamudio, 2011. "Financial Conditions Index: Early and Leading Indicator for Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(66), pages 174-220, December.
  35. Dustmann, Christian & Glitz, Albrecht & Vogel, Thorsten, 2010. "Employment, wages, and the economic cycle: Differences between immigrants and natives," European Economic Review, Elsevier, vol. 54(1), pages 1-17, January.
  36. repec:diw:diwwpp:dp1230 is not listed on IDEAS
  37. Dovern, Jonas & van Roye, Björn, 2013. "International transmission of financial stress: Evidence from a GVAR," Kiel Working Papers 1844, Kiel Institute for the World Economy (IfW Kiel).
  38. Sandra Eickmeier & Katharina Pijnenburg, 2013. "The Global Dimension of Inflation – Evidence from Factor-Augmented Phillips Curves," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(1), pages 103-122, February.
  39. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic Factor Models," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 3, pages 25-40, Springer.
  40. Alexandros Garefalakis & Augustinos Dimitras, 2020. "Looking back and forging ahead: the weighting of ESG factors," Annals of Operations Research, Springer, vol. 294(1), pages 151-189, November.
  41. Blaes, Barno, 2009. "Money and monetary policy transmission in the euro area: evidence from FAVAR- and VAR approaches," Discussion Paper Series 1: Economic Studies 2009,18, Deutsche Bundesbank.
  42. Eickmeier, Sandra, 2009. "Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR," Discussion Paper Series 1: Economic Studies 2009,35, Deutsche Bundesbank.
  43. 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.
  44. Corradi, Valentina & Swanson, Norman R., 2014. "Testing for structural stability of factor augmented forecasting models," Journal of Econometrics, Elsevier, vol. 182(1), pages 100-118.
  45. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
  46. 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.
  47. Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP," Economics Working Papers ECO2009/13, European University Institute.
  48. 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.
  49. Matteo Farnè & Angela Montanari, 2022. "A Bootstrap Method to Test Granger-Causality in the Frequency Domain," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 935-966, March.
  50. 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.
  51. 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.
  52. Pablo Duarte & Bernd Süssmuth, 2018. "Implementing an Approximate Dynamic Factor Model to Nowcast GDP Using Sensitivity Analysis," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 127-141, April.
  53. repec:dgr:rugsom:12005-eef is not listed on IDEAS
  54. Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  55. 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.
  56. repec:hum:wpaper:sfb649dp2014-004 is not listed on IDEAS
  57. Nikolay Robinzonov & Klaus Wohlrabe, 2010. "Freedom of Choice in Macroeconomic Forecasting ," CESifo Economic Studies, CESifo Group, vol. 56(2), pages 192-220, June.
  58. Mayr, Johannes, 2010. "Forecasting Macroeconomic Aggregates," Munich Dissertations in Economics 11140, University of Munich, Department of Economics.
  59. Kashif Munir & Abdul Qayyum, 2014. "Measuring the effects of monetary policy in Pakistan: a factor-augmented vector autoregressive approach," Empirical Economics, Springer, vol. 46(3), pages 843-864, May.
  60. Karapanagiotidis, Paul, 2014. "Dynamic State-Space Models," MPRA Paper 56807, University Library of Munich, Germany.
  61. 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.
  62. 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.
  63. 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.
  64. 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.
  65. 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.
  66. Viktors Ajevskis & Gundars Davidsons, 2008. "Dynamic Factor Models in Forecasting Latvia's Gross Domestic Product," Working Papers 2008/02, Latvijas Banka.
  67. Mr. Jörg Decressin & Mr. Emil Stavrev, 2009. "Current Accounts in a Currency Union," IMF Working Papers 2009/127, International Monetary Fund.
  68. 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.
  69. Eliana González, 2011. "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia 643, Banco de la Republica de Colombia.
  70. Kamel GARFA, 2013. "Couplage Ou Découplage Des Cycles Économiques Des Mena : Une Approche En Termes De Modèle A Facteurs Dynamiques," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 38, pages 225-247.
  71. den Reijer, Ard H.J., 2011. "Regional and sectoral dynamics of the Dutch staffing labor cycle," Economic Modelling, Elsevier, vol. 28(4), pages 1826-1837, July.
  72. Yasutomo Murasawa, 2009. "Do coincident indicators have one-factor structure?," Empirical Economics, Springer, vol. 36(2), pages 339-365, May.
  73. 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.
  74. 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.).
  75. repec:ecb:ecbwps:20111428 is not listed on IDEAS
  76. 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.
  77. Bialowolski, Piotr & Kuszewski, Tomasz & Witkowski, Bartosz, 2015. "Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 9, pages 1-37.
  78. 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.
  79. Eickmeier, Sandra & Ng, Tim, 2011. "Forecasting national activity using lots of international predictors: An application to New Zealand," International Journal of Forecasting, Elsevier, vol. 27(2), pages 496-511, April.
  80. 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.
  81. Xingwu Zhou & Martin Solberger, 2017. "A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 22-50, January.
  82. James H. Stock & Mark W. Watson, 2012. "Generalized Shrinkage Methods for Forecasting Using Many Predictors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 481-493, June.
  83. repec:diw:diwwpp:dp667 is not listed on IDEAS
  84. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2008. "How Has the Euro Changed the Monetary Transmission?," NBER Working Papers 14190, National Bureau of Economic Research, Inc.
  85. Mr. Emil Stavrev, 2007. "Growth and Inflation Dispersions in EMU: Reasons, the Role of Adjustment Channels, and Policy Implications," IMF Working Papers 2007/167, International Monetary Fund.
  86. Kristensen Johannes Tang, 2014. "Factor-based forecasting in the presence of outliers: Are factors better selected and estimated by the median than by the mean?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 309-338, May.
  87. El-Shagi, Makram, 2011. "Inflation expectations: Does the market beat econometric forecasts?," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 298-319.
  88. Robert Lehmann & Klaus Wohlrabe, 2014. "Forecasting gross value-added at the regional level: are sectoral disaggregated predictions superior to direct ones?," Review of Regional Research: Jahrbuch für Regionalwissenschaft, Springer;Gesellschaft für Regionalforschung (GfR), vol. 34(1), pages 61-90, February.
  89. Lorenzo Boldrini & Eric Hillebrand, 2015. "The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach," CREATES Research Papers 2015-39, Department of Economics and Business Economics, Aarhus University.
  90. 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.
  91. Lombardi, Marco J. & Godbout, Claudia, 2012. "Short-term forecasting of the Japanese economy using factor models," Working Paper Series 1428, European Central Bank.
  92. International Monetary Fund, 2006. "Euro Area Policies: Selected Issues," IMF Staff Country Reports 2006/288, International Monetary Fund.
  93. Dickhaus, Thorsten, 2012. "Simultaneous statistical inference in dynamic factor models," SFB 649 Discussion Papers 2012-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  94. Ulrich Fritsche & Vladimir Kuzin, 2007. "Unit Labor Cost Growth Differentials in the Euro Area, Germany, and the US: Lessons from PANIC and Cluster Analysis," Discussion Papers of DIW Berlin 667, DIW Berlin, German Institute for Economic Research.
  95. Gerit Vogt, 2009. "Konjunkturprognose in Deutschland. Ein Beitrag zur Prognose der gesamtwirtschaftlichen Entwicklung auf Bundes- und Länderebene," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 36.
  96. Maximo Camacho & Angela Caro & German Lopez-Buenache, 2020. "The two-speed Europe in business cycle synchronization," Empirical Economics, Springer, vol. 59(3), pages 1069-1084, September.
  97. Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
  98. repec:cte:wsrepe:23974 is not listed on IDEAS
  99. repec:diw:diwwpp:dp1351 is not listed on IDEAS
  100. Schumacher Christian, 2011. "Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 28-49, February.
  101. Sima Siami Namini, 2022. "Quantitative Easing Policy and Income Inequality in the U.S. Economy: Evidence from a FAVAR Model," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(4), pages 759-779, December.
  102. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2007. "Forecasting Large Datasets with Reduced Rank Multivariate Models," Working Papers 617, Queen Mary University of London, School of Economics and Finance.
  103. In Choi & Seong Jin Hwang, 2012. "Forecasting Korean inflation," Working Papers 1202, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
  104. Ard den Reijer, 2007. "Identifying Regional and Sectoral Dynamics of the Dutch Staffing Labour Cycle," DNB Working Papers 153, Netherlands Central Bank, Research Department.
  105. Riccardo (Jack) Lucchetti & Ioannis A. Venetis, 2019. "Dynamic Factor Models in gretl. The DFM package," gretl working papers 7, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  106. In Choi & Hanbat Jeong, 2020. "Differencing versus nondifferencing in factor‐based forecasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 728-750, September.
  107. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers 135, Center for Policy Research, Maxwell School, Syracuse University.
  108. repec:hum:wpaper:sfb649dp2012-033 is not listed on IDEAS
  109. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2009. "How Has the Euro Changed the Monetary Transmission Mechanism?," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 77-125, National Bureau of Economic Research, Inc.
  110. Monica Defend & Aleksey Min & Lorenzo Portelli & Franz Ramsauer & Francesco Sandrini & Rudi Zagst, 2021. "Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data," Forecasting, MDPI, vol. 3(1), pages 1-35, February.
  111. Pang, Iris Ai Jao, 2010. "Were Fed’s active monetary policy actions necessary?," MPRA Paper 32496, University Library of Munich, Germany.
  112. Paweł Gajewski, 2017. "Sources of Regional Inflation in Poland," Eastern European Economics, Taylor & Francis Journals, vol. 55(3), pages 261-276, May.
  113. 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.
  114. Boonman, Tjeerd M. & Jacobs, Jan P.A.M. & Kuper, Gerard H., 2012. "The Global Financial Crisis and currency crises in Latin America," Research Report 12005-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  115. Enrique A. López-Enciso, 2017. "Dos tradiciones en la medición del ciclo: historia general y desarrollos en Colombia," Borradores de Economia 986, Banco de la Republica de Colombia.
  116. repec:cte:wsrepe:27047 is not listed on IDEAS
  117. 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.
  118. Christian Schulz, 2007. "Forecasting economic growth for Estonia : application of common factor methodologies," Bank of Estonia Working Papers 2007-09, Bank of Estonia, revised 04 Sep 2007.
  119. Mestekemper, Thomas & Kauermann, Göran & Smith, Michael S., 2013. "A comparison of periodic autoregressive and dynamic factor models in intraday energy demand forecasting," International Journal of Forecasting, Elsevier, vol. 29(1), pages 1-12.
  120. 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.
  121. Pang, Iris Ai Jao, 2010. "Forecasting Hong Kong economy using factor augmented vector autoregression," MPRA Paper 32495, University Library of Munich, Germany.
  122. 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.
  123. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2007. "Forecasting Large Datasets with Reduced Rank Multivariate Models," Working Papers 617, Queen Mary University of London, School of Economics and Finance.
  124. Pablo Duarte, 2017. "The relationship between GDP and the size of the informal economy: empirical evidence for Spain," Empirical Economics, Springer, vol. 52(4), pages 1409-1421, June.
  125. Yin-Wong Cheung & Matthew S. Yiu & Kenneth K. Chow, 2009. "A Factor Analysis of Trade Integration: the Case of Asian and Oceanic Economies," Economie Internationale, CEPII research center, issue 119, pages 5-23.
  126. Lenza Michele & Warmedinger Thomas, 2011. "A Factor Model for Euro-area Short-term Inflation Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 50-62, February.
  127. Solberger, M. & Zhou, X., 2013. "LM-type tests for idiosyncratic and common unit roots in the exact factor model with AR(1) dynamics," Research Memorandum 059, Maastricht University, Graduate School of Business and Economics (GSBE).
  128. El-Shagi, Makram, 2009. "Inflation Expectations: Does the Market Beat Professional Forecasts?," IWH Discussion Papers 16/2009, Halle Institute for Economic Research (IWH).
  129. 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.
  130. Ercio Muñoz & Pablo Cruz, 2012. "Uso de un Modelo Favar para Proyectar el Precio del Cobre," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(3), pages 84-95, December.
  131. Davor Kunovac, 2007. "Factor Model Forecasting of Inflation in Croatia," Financial Theory and Practice, Institute of Public Finance, vol. 31(4), pages 371-393.
  132. James H. Stock & Mark W. Watson, 2012. "Disentangling the Channels of the 2007-2009 Recession," NBER Working Papers 18094, National Bureau of Economic Research, Inc.
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