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Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models

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Watson, Mark W.
Engle, Robert F.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 23 (1983)
Issue (Month): 3 (December)
Pages: 385-400
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Handle: RePEc:eee:econom:v:23:y:1983:i:3:p:385-400

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  3. Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1993. "Af1uencia de capital y apreciacion del tipo de cambio real en America Latina: E1 papel de los factores externos
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  4. Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1992. "Capital Inflows and Real Exchange Rate Appreciation in Latin America," MPRA Paper 13843, University Library of Munich, Germany. [Downloadable!]
  5. Quagrainie, Kwamena K. & McCluskey, Jill J. & Loureiro, Maria L., 2001. "Reputation And State Commodity Promotion: The Case Of Washington Apples," 2001 Annual meeting, August 5-8, Chicago, IL 20592, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  6. Jon Faust & John H. Rogers & Shing-Yi B. Wang & Jonathan H. Wright, 2003. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," International Finance Discussion Papers 784, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  9. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 2009. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," CREATES Research Papers 2009-39, School of Economics and Management, University of Aarhus. [Downloadable!]
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  12. Thomas Walker & David Norman, 2004. "Co-movement of Australian State Business Cycles," Econometric Society 2004 Australasian Meetings 334, Econometric Society. [Downloadable!]
  13. Jerry A. Hausman & Mark W. Watson, 1983. "Seasonal Adjustment with Measurement Error Present," NBER Working Papers 1133, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  14. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," ECARES Working Papers 2008_034, Université Libre de Bruxelles, Ecares. [Downloadable!]
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  16. María Elsa Correal & Daniel Peña, 2008. "Modelo factorial dinámico threshold," Revista Colombiana de Estadística, REVISTA COLOMBIANA DE ESTADISTICA. [Downloadable!]
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  19. Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1995. "Capital inflows to Latin America with reference to the Asian experience," MPRA Paper 13840, University Library of Munich, Germany. [Downloadable!]
  20. M. Moryson, . "Tests for Random Walk Coefficients in State Space Models," Sonderforschungsbereich 373 1996-66, Humboldt Universitaet Berlin.
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  22. Mazzocchi, Mario, 2004. "Food Scares and Demand Recovery Patterns: An Econometric Investigation," 84th Seminar, February 8-11, 2004, Zeist, The Netherlands 24990, European Association of Agricultural Economists. [Downloadable!]
  23. Michael A. Kouparitsas, 2001. "Is the United States an optimum currency area? an empirical analysis of regional business cycles," Working Paper Series WP-01-22, Federal Reserve Bank of Chicago. [Downloadable!]
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