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Citations of
Jushan Bai

For current contact information and a more complete listing of works, please see here

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Working papers

  1. Jushan Bai & Chihwa Kao & Serena Ng, 2007. "Panel Cointegration with Global Stochastic Trends," Center for Policy Research Working Papers 90, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]

    Cited by:

    1. Anindya Banerjee & Massimiliano Marcellino, . "Factor-augmented Error Correction Models," Working Papers 335, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    2. Joseph P. Byrne & Norbert Fiess & Ronald MacDonald, . "The Global Dimension to Fiscal Sustainability," Working Papers 2008_10, Department of Economics, University of Glasgow. [Downloadable!]

  2. Jushan Bai & Serena Ng, 2004. "Evaluating Latent and Observed Factors in Macroeconomics and Financ," Econometrics 0408007, EconWPA. [Downloadable!]
    Published as:

    Cited by:

    1. Peter C.B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers 1595, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    2. Fabio Araujo & João Victor Issler & Marcelo Fernandes, 2006. "A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data," Economics Working Papers (Ensaios Economicos da EPGE) 628, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    3. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, Economics Bulletin, vol. 3(33), pages 1-18. [Downloadable!]
    4. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank, Research Centre. [Downloadable!]
    5. João Victor Issler & Luiz Renato Regis de Oliveira Lima, 2007. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 642, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    6. Kelly, Logan, 2007. "Measuring the Economic Stock of Money," MPRA Paper 4914, University Library of Munich, Germany. [Downloadable!]
    7. Fabio Araujo & João Victor Issler & Marcelo Fernandes, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    8. 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, Research Centre. [Downloadable!]

  3. Jushan Bai & Serena Ng, 2004. "Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor," Econometrics 0408006, EconWPA. [Downloadable!]

    Cited by:

    1. Inoue, Atsushi & Kilian, Lutz, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers 5304, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    2. Marcellino, Massimiliano, 2005. "Pooling-based data interpolation and backdating," CEPR Discussion Papers 5295, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:

  4. Jushan Bai; Josep Lluís Carrion-i-Silvestre, 2004. "Structural changes, common stochastic trends and unit roots in panel data," Econometric Society 2004 North American Summer Meetings 345, Econometric Society. [Downloadable!]

    Cited by:

    1. Pui Sun Tam & University of Macau, 2006. "Breaking trend panel unit root tests," Computing in Economics and Finance 2006 341, Society for Computational Economics. [Downloadable!]

  5. Jushan Bai & Serena Ng, 2001. "Tests for Skewness, Kurtosis, and Normality for Time Series Data," Boston College Working Papers in Economics 501, Boston College Department of Economics. [Downloadable!]
    Published as:

    Cited by:

    1. BONTEMPS, Christian & MEDDAHI, Nour, 2002. "Testing Normality : A GMM Approach," Cahiers de recherche 2002-14, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    2. Christian Bontemps & Nour Meddahi, 2002. "Testing Normality: A GMM Approach," CIRANO Working Papers 2002s-63, CIRANO. [Downloadable!]
    3. McKay, Alisdair & Reis, Ricardo, 2006. "The Brevity and Violence of Contractions and Expansions," CEPR Discussion Papers 5756, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    4. Jorge Belaire-Franch & Amado Peiro, 2003. "Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 7(1), pages 1108-1108. [Downloadable!] (restricted)

  6. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Westerlund Joakim, 2006. "Some Cautions on the Use of the LLC Panel Unit Root Test," Research Memoranda 055, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    2. Wagner, Martin & Hlouskova, Jaroslava, 2007. "The Performance of Panel Cointegration Methods. Results from a Large Scale Simulation Study," Economics Series 210, Institute for Advanced Studies. [Downloadable!]
    3. Anindya Banerjee & Massimiliano Marcellino, . "Factor-augmented Error Correction Models," Working Papers 335, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    4. Wagner, Martin, 2006. "The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?," Economics Series 197, Institute for Advanced Studies. [Downloadable!]
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    5. Benoit Perron & Hyungsik Roger Moon, 2007. "An empirical analysis of nonstationarity in a panel of interest rates with factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 383-400. [Downloadable!]
    6. Donggyu Sul, 2005. "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics 0506010, EconWPA. [Downloadable!]
    7. Wagner, Martin, 2005. "On PPP, Unit Roots and Panels," Economics Series 176, Institute for Advanced Studies. [Downloadable!]
    8. Christian Dreger & Hans-Eggert Reimers, 2006. "Hysteresis and Persistence in the Course of Unemployment : The EU and US Experience," Discussion Papers of DIW Berlin 572, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    9. Georges Bresson & Badi H. Baltagi & Alain Pirotte, 2007. "Panel unit root tests and spatial dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 339-360. [Downloadable!]
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    10. Timothy K. Chue & In Choi, 2007. "Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 233-264. [Downloadable!]
    11. Ron Smith & Gylfi Zoega, 2007. "Global Factors, Unemployment Adjustment and the Natural Rate," Kiel Working Papers 1367, Kiel Institute for the World Economy. [Downloadable!]
    12. Olaf, POSCH & Klaus, WAELDE, 2005. "Natural volatility, welfare and taxation," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2005009, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    13. Jushan Bai & Chihwa Kao & Serena Ng, 2007. "Panel Cointegration with Global Stochastic Trends," Center for Policy Research Working Papers 90, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    14. Ron Smith & Gylfi Zoega, 2004. "Global Shocks and Unemployment Adjustment," DEGIT Conference Papers c009_003, DEGIT, Dynamics, Economic Growth, and International Trade. [Downloadable!]
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    15. Mónica Fuentes & Sergio Godoy, 2005. "Sovereign Spread in Emerging Markets: A Principal Component Analysis," Working Papers Central Bank of Chile 333, Central Bank of Chile. [Downloadable!]
    16. Imed Drine & Christophe Rault, 2008. "Purchasing Power Parity for Developing and Developed Countries. What can we Learn from Non-Stationary Panel Data Models?," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
    17. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank, Research Centre. [Downloadable!]
    18. Johan Lyhagen, 2008. "Why not use standard panel unit root test for testing PPP," Economics Bulletin, Economics Bulletin, vol. 3(26), pages 1-11. [Downloadable!]
    19. Gengenbach,Christian & Palm,Franz & Urbain,Jean-Pierre, 2004. "Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling," Research Memoranda 040, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    20. Westerlund, Joakim, 2007. "A Note on the Pooling of Individual PANIC Unit Root Tests," Working Papers 2007:5, Lund University, Department of Economics. [Downloadable!]
    21. Jaroslava Hlouskova & Martin Wagner, 2005. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Diskussionsschriften dp0503, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
      Other versions:
    22. Massimiliano Marcellino & George Kapetanios, . "Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation," Working Papers 306, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    23. Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2005. "Incidental Trends and the Power of Panel Unit Root Tests," IEPR Working Papers 05.38, Institute of Economic Policy Research (IEPR). [Downloadable!]
      Other versions:
    24. Jushan Bai; Josep Lluís Carrion-i-Silvestre, 2004. "Structural changes, common stochastic trends and unit roots in panel data," Econometric Society 2004 North American Summer Meetings 345, Econometric Society. [Downloadable!]
    25. Hyungsik Roger Moon & Benoit Perron, 2005. "An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors," IEPR Working Papers 05.35, Institute of Economic Policy Research (IEPR). [Downloadable!]
    26. de Bandt, Olivier & Banerjee, Anindya & Kozluk, Tomasz, 2007. "Measuring Long-Run Exchange Rate Pass-Through," Economics Discussion Papers 2007-32, Kiel Institute for the World Economy. [Downloadable!]
    27. Christian Dreger & Eric Girardin, 2007. "Does the Nominal Exchange Rate Regime Affect the Long Run Properties of Real Exchange Rates?," Discussion Papers of DIW Berlin 746, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    28. Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Boston College Working Papers in Economics 518, Boston College Department of Economics. [Downloadable!]
      Other versions:
    29. Westerlund, Joakim & Edgerton, David, 2006. "Simple Tests for Cointegration in Dependent Panels with Structural Breaks," Working Papers 2006:13, Lund University, Department of Economics, revised 28 Jan 2007. [Downloadable!]
    30. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312. [Downloadable!]
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    31. Antonia López Villavicencio, 2006. "Real equilibrium exchange rates. A panel data approach for advanced and emerging economies," Working Papers wpdea0605, Department of Applied Economics at Universitat Autonoma of Barcelona. [Downloadable!]
    32. Christian Dreger & Reinhold Kosfeld, 2007. "Do Regional Price Levels Converge? : Paneleconometric Evidence Based on German Districts," Discussion Papers of DIW Berlin 754, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    33. Westerlund, Joakim, 2005. "Pooled Unit Root Tests in Panels with a Common Factor," Working Papers 2005:9, Lund University, Department of Economics. [Downloadable!]
    34. Stefano Fachin, 2005. "Long-Run Trends in Internal Migrations in Italy: a Study in Panel Cointegration with Dependent Units," Econometrics 0507002, EconWPA. [Downloadable!]
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    35. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    36. Westerlund Joakim, 2006. "Panel Cointegration Tests of the Fisher Effect," Research Memoranda 054, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    37. MOON, Hyungsik Roger & PERRON, Benoit., 2002. "Testing for a Unit Root in Panels with Dynamic Factors," Cahiers de recherche 2002-18, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
      Other versions:
    38. Elisa Tosetti & Francesco Moscone, 2007. "Health Expenditure and Income in the United States," Discussion Papers in Economics 07/14, Department of Economics, University of Leicester. [Downloadable!]
    39. Jushan Bai & Chihwa Kao, 2005. "On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence," Center for Policy Research Working Papers 75, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    40. João Sousa Andrade, 2006. "Mobilidade do Capital e Sustentabilidade Externa: uma aplicação da tese de F-H a Portugal (1910-2004)," GEMF Working Papers 2006-04, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
    41. Josep Lluís Carrion-i-Silvestre & Vicente German-Soto, 2008. "Panel Data Stochastic Convergence Analysis of the Mexican Regions," IREA Working Papers 200805, University of Barcelona, Research Institute of Applied Economics, revised Apr 2008. [Downloadable!]
    42. Vanessa Berenguer Rico & Josep Lluis Carrion Silvestre, 2006. "Testing for multicointegration in panel data with common factors," Working Papers in Economics 160, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
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    43. Urbain Jean-Pierre & Westerlund Joakim, 2006. "Spurious Regression in Nonstationary Panels with Cross-Unit Cointegration," Research Memoranda 057, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    44. Jinyong Hahn & Hyungsik Roger Moon, 2005. "Reducing Bias of MLE in a Dynamic Panel Model," IEPR Working Papers 05.36, Institute of Economic Policy Research (IEPR). [Downloadable!]
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    45. Andrew Ang & Geert Bekaert & Min Wei, 2005. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?," NBER Working Papers 11538, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    46. Jorge Selaive C. & Valentín Délano T., 2006. "Sovereign Spreads: A Factorial Approach," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(1), pages 49-67, April. [Downloadable!]
    47. Jönsson, Kristian, 2004. "Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated," Working Papers 2004:17, Lund University, Department of Economics, revised 26 Nov 2004. [Downloadable!]
    48. Mark J. Holmes & Arthur Grimes, 2005. "Is there long-run convergence of regional house prices in the UK?," Working Papers 05_11, Motu Economic and Public Policy Research. [Downloadable!]
    49. Guenter Beck & Massimiliano Marcellino, 2006. "Regional Inflation Dynamics within and across Euro Area and a Comparison with the US," Computing in Economics and Finance 2006 338, Society for Computational Economics. [Downloadable!]
    50. Basher, Syed A. & Westerlund, Joakim, 2006. "Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models," MPRA Paper 136, University Library of Munich, Germany. [Downloadable!]
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    51. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2007. "Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend," Center for Policy Research Working Papers 92, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    52. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation, Yale University. [Downloadable!]
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    53. Gengenbach,Christian & Palm,Franz C. & Urbain,Jean-Pierre, 2005. "Panel Cointegration Testing in the Presence of Common Factors," Research Memoranda 050, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    54. Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007. [Downloadable!]
    55. Pesaran, M.H. & Tosetti, E., 2007. "Large Panels with Common Factors and Spatial Correlations," Cambridge Working Papers in Economics 0743, Faculty of Economics, University of Cambridge. [Downloadable!]
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    56. Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2006. "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers in Economics 159, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
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    57. Jerry Coakley & Ana-Maria Fuertes & Ron Smith, 2004. "Unobserved Heterogeneity in Panel Time Series Models," Birkbeck Working Papers in Economics and Finance 0403, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
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    58. 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. [Downloadable!]
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    59. Westerlund, Joakim & Costantini, Mauro, 2006. "Panel Cointegration and the Neutrality of Money," Working Papers 2006:18, Lund University, Department of Economics. [Downloadable!]
    60. Anindya Banerjee & Josep Lluís, 2006. "Cointegration in panel data with breaks and cross-section dependence," Working Paper Series 591, European Central Bank. [Downloadable!]
    61. Xu Cheng & Peter C.B. Phillips, 2008. "Semiparametric Cointegrating Rank Selection," Cowles Foundation Discussion Papers 1658, Cowles Foundation, Yale University. [Downloadable!]
    62. Joseph P. Byrne & Norbert Fiess & Ronald MacDonald, . "The Global Dimension to Fiscal Sustainability," Working Papers 2008_10, Department of Economics, University of Glasgow. [Downloadable!]
    63. Samarjit Das & Kaushik Bhattacharya, 2004. "Price Convergence across Regions in India," Bonn Econ Discussion Papers bgse1_2005, University of Bonn, Germany. [Downloadable!]
    64. Günter W. Beck & Kirstin Hubrich & Massimiliano Marcellino, 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," Working Paper Series 681, European Central Bank. [Downloadable!]
    65. Mauro Costantini & Claudio Lupi, 2005. "Stochastic convergence among European economies," Economics Bulletin, Economics Bulletin, vol. 3(38), pages 1-17. [Downloadable!]
    66. Dong Shin & Oesook Lee, 2008. "Unit root tests for panel MTAR model with cross-sectionally dependent error," Metrika, Springer, vol. 67(3), pages 315-326, April. [Downloadable!] (restricted)
    67. Joseph P. Byrne & Giorgio Fazio & Norbert Fiess, . "The Global Side of the Investments-Savings Puzzle," Working Papers 2008_14, Department of Economics, University of Glasgow. [Downloadable!]
    68. 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, Research Centre. [Downloadable!]
    69. Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2006. "Cointegration in Panel Data with Breaks and Cross-Section Dependence," Economics Working Papers ECO2006/5, European University Institute. [Downloadable!]
    70. Imed Drine & Christophe Rault, 2007. "Purchasing Power Parity for Developing and Developed Countries: What Can We Learn from Non-Stationary Panel Data Models?," IZA Discussion Papers 2887, Institute for the Study of Labor (IZA). [Downloadable!]
    71. Clifford Attfield, 2004. "Stochastic Trends, Demographics and Demand Systems," Bristol Economics Discussion Papers 04/563, Department of Economics, University of Bristol, UK. [Downloadable!]

  7. Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Boston College Working Papers in Economics 518, Boston College Department of Economics. [Downloadable!]
    Other versions:

    Cited by:

    1. Jerry Coakley & Ana-Maria Fuertes & Ron Smith, 2002. "A Principal Components Approach to Cross-Section Dependence in Panels," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B5-3, International Conferences on Panel Data. [Downloadable!]
    2. Jushan Bai; Josep Lluís Carrion-i-Silvestre, 2004. "Structural changes, common stochastic trends and unit roots in panel data," Econometric Society 2004 North American Summer Meetings 345, Econometric Society. [Downloadable!]
    3. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    4. Simón Sosvilla-Rivero & Emma García, . "Purchasing Power Parity Revisited," Working Papers 2003-20, FEDEA. [Downloadable!]
    5. Jorge Selaive C. & Valentín Délano T., 2006. "Sovereign Spreads: A Factorial Approach," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(1), pages 49-67, April. [Downloadable!]
    6. Jönsson, Kristian, 2004. "Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated," Working Papers 2004:17, Lund University, Department of Economics, revised 26 Nov 2004. [Downloadable!]

  8. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics. [Downloadable!]
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    Published as:

    Cited by:

    1. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis. [Downloadable!]
    2. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers 0707, Federal Reserve Bank of Dallas. [Downloadable!]
    3. Massimiliano Marcellino & Christian Schumacher, . "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. [Downloadable!]
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    4. Anindya Banerjee & Massimiliano Marcellino, . "Factor-augmented Error Correction Models," Working Papers 335, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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    5. Yuriy Gorodnichenko, 2005. "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics 0512011, EconWPA. [Downloadable!]
    6. Peter Hansen, 2002. "Generalized Reduced Rank Regression," Working Papers 2002-02, Brown University, Department of Economics. [Downloadable!]
    7. Gabriel Moser & Fabio Rumler & Johann Scharler, 2004. "Forecasting Austrian Inflation," Working Papers 91, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
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    8. Peter C.B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers 1595, Cowles Foundation, Yale University. [Downloadable!]
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    9. 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. [Downloadable!]
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    10. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2008. "A robust criterion for determining the number of static factors in approximate factor models," Working Paper Series 903, European Central Bank. [Downloadable!]
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    11. Domenico Giannone & Lucrezia Reichlin & Luca Sala, . "Monetary Policy in Real Time," Working Papers 284, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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    12. Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series /2007/524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    13. Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach," Carlo Alberto Notebooks 32, Collegio Carlo Alberto. [Downloadable!]
    14. Marie Brière & Florian Ielpo, 2007. "Yield curve reaction to macroeconomic news in Europe : disentangling the US influence," Working Papers CEB 07-038.RS, Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB). [Downloadable!]
    15. Gary Koop & Simon Potter, 2003. "Forecasting in Large Macroeconomic Panels using Bayesian Model Averaging," Discussion Papers in Economics 04/16, Department of Economics, University of Leicester. [Downloadable!]
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    16. Gianluca Lagana, 2004. "Measuring monetary policy in the UK: a factor augmented vector autoregressive approach," Money Macro and Finance (MMF) Research Group Conference 2004 64, Money Macro and Finance Research Group. [Downloadable!]
    17. Elena Angelini & Massimiliano Marcellino, 2007. "Econometric analyses with backdated data - unified Germany and the euro area," Working Paper Series 752, European Central Bank. [Downloadable!]
    18. Fabio Araujo & João Victor Issler & Marcelo Fernandes, 2006. "A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data," Economics Working Papers (Ensaios Economicos da EPGE) 628, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    19. Michael D. Bordo & Thomas Helbling, 2003. "Have National Business Cycles Become More Synchronized?," NBER Working Papers 10130, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    20. Kozluk, Tomasz, 2008. "Global and Regional Links between Stock Markets - the Case of Russia and China," BOFIT Discussion Papers 4/2008, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    21. Donggyu Sul, 2005. "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics 0506010, EconWPA. [Downloadable!]
    22. M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2003. "International Business Cycles: World, Region, and Country-Specific Factors," American Economic Review, American Economic Association, vol. 93(4), pages 1216-1239, September. [Downloadable!] (restricted)
    23. Luciano Gutierrez, 2003. "Common and idiosyncratic shocks to labor productivity across sectors and countries: Is climate relevant?," Macroeconomics 0311008, EconWPA. [Downloadable!]
    24. Wagner, Martin, 2005. "On PPP, Unit Roots and Panels," Economics Series 176, Institute for Advanced Studies. [Downloadable!]
    25. Michael Artis & Anindya Banerjee & Massimiliano Marcellino, . "Factor forecasts for the UK," Working Papers 203, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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    26. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, Economics Bulletin, vol. 3(33), pages 1-18. [Downloadable!]
    27. Alonso Gomez & John M Maheu & Alex Maynard, 2008. "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers tecipa-319, University of Toronto, Department of Economics. [Downloadable!]
    28. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Working Papers 07-8, Bank of Canada. [Downloadable!]
    29. Christine De Mol & Domenico Giannone & Lucrezia Reichlin, 2006. "Forecasting using a large number of predictors - Is Bayesian regression a valid alternative to principal components?," Working Paper Series 700, European Central Bank. [Downloadable!]
      Other versions:
    30. Jushan Bai & Chihwa Kao & Serena Ng, 2007. "Panel Cointegration with Global Stochastic Trends," Center for Policy Research Working Papers 90, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    31. 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. [Downloadable!]
    32. Necati Tekatli, 2007. "Understanding Sources of the Change in International Business Cycles," UFAE and IAE Working Papers 731.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
    33. Kapetanios, G. & Pesaran, M.H. & Yamagata, T., 2006. "Panels with Nonstationary Multifactor Error Structures," Cambridge Working Papers in Economics 0651, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    34. Alejandro Justiniano, 2004. "Sources and Propagation Mechanims of Foreign Disturbances in Small Open Economies: A Dynamic Factor Analysis," Econometric Society 2004 Latin American Meetings 148, Econometric Society. [Downloadable!]
    35. Felix Chan Tommaso Mancini-Griffoli Laurent L. Pauwels, 2006. "Stability Tests for Heterogeneous Panel Data," HEI Working Papers 24-2006, Economics Section, The Graduate Institute of International Studies, revised Dec 2006. [Downloadable!]
      Other versions:
    36. Domenico Giannone & Troy D. Matheson, 2007. "A New Core Inflation Indicator for New Zealand," International Journal of Central Banking, International Journal of Central Banking, vol. 3(4), pages 145-180, December. [Downloadable!]
      Other versions:
    37. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank, Research Centre. [Downloadable!]
    38. Kamhon Kan & Chihwa Kao, 2005. "Simulation-Based Two-Step Estimation with Endogenous Regressors," Center for Policy Research Working Papers 76, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    39. Altissimo, Filippo & Cristadoro, Riccardo & Forni, Mario & Lippi, Marco & Veronese, Giovanni, 2006. "New EuroCOIN: Tracking Economic Growth in Real Time," CEPR Discussion Papers 5633, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    40. João Victor Issler & Luiz Renato Lima, 2008. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 668, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    41. Hendry, David F & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    42. Fabio C. Bagliano & Claudio Morana, 2006. "A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling," Carlo Alberto Notebooks 28, Collegio Carlo Alberto. [Downloadable!]
    43. Sean Holly & M. Hashem Pesaran & Takashi Yamagata, 2006. "A Spatio-Temporal Model of House Prices in the US," IZA Discussion Papers 2338, Institute for the Study of Labor (IZA). [Downloadable!]
      Other versions:
    44. Massimiliano Marcellino & Carlo A. Favero & Francesca Neglia, 2005. "Principal components at work: the empirical analysis of monetary policy with large data sets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 603-620. [Downloadable!]
      Other versions:
    45. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2006. "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series 674, European Central Bank. [Downloadable!]
      Other versions:
    46. Gengenbach,Christian & Palm,Franz & Urbain,Jean-Pierre, 2004. "Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling," Research Memoranda 040, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    47. Mototsugu Shintani, 2003. "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Working Papers 0322, Department of Economics, Vanderbilt University, revised Apr 2004. [Downloadable!]
      Other versions:
    48. Caporale, Guglielmo Maria & Cerrato, Mario, 2004. "Panel Data Tests of PPP. A Critical Overview," Economics Series 159, Institute for Advanced Studies. [Downloadable!]
      Other versions:
    49. Chris Heaton & Victor Solo, 2003. "Asymptotic Principal Components Estimation Of Large Factor Models," Research Papers 0303, Macquarie University, Department of Economics. [Downloadable!]
      Other versions:
    50. Proietti, Tommaso, 2008. "Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components," MPRA Paper 6860, University Library of Munich, Germany. [Downloadable!]
    51. Pesaran, H.M., 2003. "Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence," Cambridge Working Papers in Economics 0305, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    52. Massimiliano Marcellino & George Kapetanios, . "Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation," Working Papers 306, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    53. Alexei Onatski, 2005. "Determining the number of factors from empirical distribution of eigenvalues," Discussion Papers 0405-19, Columbia University, Department of Economics. [Downloadable!]
    54. Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, . "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England. [Downloadable!]
    55. L. Vanessa Smith & Takashi Yamagata, 2008. "Firm Level Volatility-Return Analysis using Dynamic Panels," Discussion Papers 08/09, Department of Economics, University of York. [Downloadable!]
    56. Jushan Bai; Josep Lluís Carrion-i-Silvestre, 2004. "Structural changes, common stochastic trends and unit roots in panel data," Econometric Society 2004 North American Summer Meetings 345, Econometric Society. [Downloadable!]
    57. Hyungsik Roger Moon & Benoit Perron, 2005. "An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors," IEPR Working Papers 05.35, Institute of Economic Policy Research (IEPR). [Downloadable!]
    58. Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    59. Peter C.B. Phillips & Donggyu Sul, 2003. "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," Cowles Foundation Discussion Papers 1438, Cowles Foundation, Yale University, revised Jun 2004. [Downloadable!]
      Other versions:
    60. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    61. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, Göteborg University, Department of Economics. [Downloadable!]
    62. Mototsugu Shintani, 2003. "Nonlinear Analysis of Business Cycles Using Diffusion Indexes: Applications to Japan and the U.S," Levine's Bibliography 506439000000000168, UCLA Department of Economics. [Downloadable!]
    63. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Economics Working Papers ECO2008/22, European University Institute. [Downloadable!]
    64. Christian Dreger & Eric Girardin, 2007. "Does the Nominal Exchange Rate Regime Affect the Long Run Properties of Real Exchange Rates?," Discussion Papers of DIW Berlin 746, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    65. Fushang Liu & Kajal Lahiri, 2006. "Modelling multi-period inflation uncertainty using a panel of density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1199-1219. [Downloadable!]
    66. Elena Angelini & Jerome Henry & Ricardo Mestre, 2001. "Diffusion index-based inflation forecasts for the euro area," Working Paper Series 061, European Central Bank. [Downloadable!]
    67. Cristina Brasili & Luciano Gutierrez, 2004. "Regional convergence across European Union," Development and Comp Systems 0402002, EconWPA. [Downloadable!]
    68. Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York. [Downloadable!]
    69. Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2002. "Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited," CEPR Discussion Papers 3550, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    70. Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Boston College Working Papers in Economics 518, Boston College Department of Economics. [Downloadable!]
      Other versions:
    71. Luciano Gutierrez, 2003. "Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison," Econometrics 0310004, EconWPA. [Downloadable!]
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    72. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute. [Downloadable!]
    73. Matheson, Troy D, 2006. "Factor Model Forecasts for New Zealand," MPRA Paper 807, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    74. Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007. "Opening the black box - structural factor models with large gross-sections," Working Paper Series 712, European Central Bank. [Downloadable!]
    75. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 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. [Downloadable!] (restricted)
      Other versions:
    76. Kapetanios, George & Marcellino, Massimiliano, 2006. "A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions," CEPR Discussion Papers 5620, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    77. Ben S. Bernanke & Jean Boivin, 2001. "Monetary Policy in a Data-Rich Environment," NBER Working Papers 8379, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    78. Massimiliano Marcellino & James H. Stock & Mark W. Watson, . "Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information," Working Papers 201, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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    79. Kelly, Logan J, 2008. "The Currency Equivalent Index and the Current Stock of Money," MPRA Paper 7176, University Library of Munich, Germany. [Downloadable!]
    80. Christian Dreger & Reinhold Kosfeld, 2007. "Do Regional Price Levels Converge? : Paneleconometric Evidence Based on German Districts," Discussion Papers of DIW Berlin 754, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    81. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    82. MOON, Hyungsik Roger & PERRON, Benoit., 2002. "Testing for a Unit Root in Panels with Dynamic Factors," Cahiers de recherche 2002-18, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
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    83. M. Hashem Pesaran, 2004. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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    84. Elisa Tosetti & Francesco Moscone, 2007. "Health Expenditure and Income in the United States," Discussion Papers in Economics 07/14, Department of Economics, University of Leicester. [Downloadable!]
    85. Jushan Bai & Chihwa Kao, 2005. "On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence," Center for Policy Research Working Papers 75, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    86. Josep Lluís Carrion-i-Silvestre & Vicente German-Soto, 2008. "Panel Data Stochastic Convergence Analysis of the Mexican Regions," IREA Working Papers 200805, University of Barcelona, Research Institute of Applied Economics, revised Apr 2008. [Downloadable!]
    87. Andrew Grodner & Thomas J. Kniesner, 2007. "Labor Supply with Social Interactions: Econometric Estimates and Their Tax Policy Implications," IZA Discussion Papers 3034, Institute for the Study of Labor (IZA). [Downloadable!]
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    88. Necati Tekatli, 2007. "Generalized Factor Models: A Bayesian Approach," UFAE and IAE Working Papers 730.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
    89. Stéphane Bonhomme & Jean-Marc Robin, 2008. "Consistent noisy independent component analysis," CeMMAP working papers CWP04/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    90. Tapas K. Mishra, 2006. "A Further Look into the Demography-based GDP Forecasting Method," Working Papers of BETA 2006-17, Bureau d'Economie Théorique et Appliquée, ULP, Strasbourg. [Downloadable!]
    91. Andreas Beyer & Roger E. A. Farmer & Jérôme Henry & Massimiliano Marcellino, 2005. "Factor analysis in a New-Keynesian model," Working Paper Series 510, European Central Bank. [Downloadable!]
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    92. Eickmeier, Sandra & Breitung, Jörg, 2005. "How synchronized are central and east European economies with the euro area? : Evidence from a structural factor model," Discussion Paper Series 1: Economic Studies 2005,20, Deutsche Bundesbank, Research Centre. [Downloadable!]
    93. Jorge Selaive C. & Valentín Délano T., 2006. "Sovereign Spreads: A Factorial Approach," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(1), pages 49-67, April. [Downloadable!]
    94. Cheng Hsiao, 2007. "Panel data analysis—advantages and challenges," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 16(1), pages 1-22, May. [Downloadable!] (restricted)
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    95. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2007. "Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend," Center for Policy Research Working Papers 92, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    96. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation, Yale University. [Downloadable!]
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    97. Massimiliano Marcellino & George Kapetanios, . "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 305, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    98. Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007. [Downloadable!]
    99. Ruey Yau, 2004. "Macroeconomic Forecasting with Independent Component Analysis," Econometric Society 2004 Far Eastern Meetings 741, Econometric Society. [Downloadable!]
    100. Cerqueti, Roy & Costantini, Mauro & Gutierrez, Luciano, 2007. "Change in persistence tests for panels," Economics & Statistics Discussion Papers esdp07040, University of Molise, Dept. SEGeS. [Downloadable!]
    101. Eickmeier, Sandra, 2004. "Business Cycle Transmission from the US to Germany : a Structural Factor Approach," Discussion Paper Series 1: Economic Studies 2004,12, Deutsche Bundesbank, Research Centre. [Downloadable!]
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    102. Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2006. "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers in Economics 159, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
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    103. Domenico Giannone & Michele Lenza, 2008. "The Feldstein-Horioka fact," Working Paper Series 873, European Central Bank. [Downloadable!]
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    104. Jerry Coakley & Ana-Maria Fuertes & Ron Smith, 2004. "Unobserved Heterogeneity in Panel Time Series Models," Birkbeck Working Papers in Economics and Finance 0403, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
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    105. Jurlin, Kresimir & Malekovic, Sanja & Puljiz, Jaksa & Cziraky, Dario & Polic, Mario, 2002. "Covariance structure analysis of regional development data: an application to municipality development assessment," ERSA conference papers ersa02p469, European Regional Science Association. [Downloadable!]
    106. Forni, Mario & Lippi, Marco & Reichlin, Lucrezia, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    107. Chris Heaton & Victor Solo, 2006. "Estimation of Approximate Factor Models: Is it Important to have a Large Number of Variables?," Research Papers 0605, Macquarie University, Department of Economics. [Downloadable!]
    108. Anindya Banerjee & Josep Lluís, 2006. "Cointegration in panel data with breaks and cross-section dependence," Working Paper Series 591, European Central Bank. [Downloadable!]
    109. Jean-Philippe Bouchaud & Laurent Laloux & M. Augusta Miceli & Marc Potters, 2005. "Large dimension forecasting models and random singular value spectra," Science & Finance (CFM) working paper archive 500066, Science & Finance, Capital Fund Management. [Downloadable!]
    110. Joseph P. Byrne & Norbert Fiess & Ronald MacDonald, . "The Global Dimension to Fiscal Sustainability," Working Papers 2008_10, Department of Economics, University of Glasgow. [Downloadable!]
    111. Sandra Eickmeier & Joerg Breitung, 2006. "Business cycle transmission from the euro area to CEECs," Computing in Economics and Finance 2006 229, Society for Computational Economics. [Downloadable!]
    112. Alain N. Kabundi & Francisco Nadal-De Simone, 2007. "France in the Global Economy: A Structural Approximate Dynamic Factor Model Analysis," IMF Working Papers 07/129, International Monetary Fund. [Downloadable!]
    113. Kappler, Marcus, 2006. "Panel Tests for Unit Roots in Hours Worked," ZEW Discussion Papers 06-22, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    114. Kelly, Logan, 2007. "Measuring the Economic Stock of Money," MPRA Paper 4914, University Library of Munich, Germany. [Downloadable!]
    115. Samarjit Das & Kaushik Bhattacharya, 2004. "Price Convergence across Regions in India," Bonn Econ Discussion Papers bgse1_2005, University of Bonn, Germany. [Downloadable!]
    116. Heather Anderson & Fashid Vahid, 2005. "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?," ANUCBE School of Economics Working Papers 2005-451, Australian National University, College of Business and Economics, School of Economics. [Downloadable!]
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    117. Romain Houssa, 2004. "Monetary Union in West Africa and Asymmetric Shocks: A Dynamic Structural Factor Model Approach," Development and Comp Systems 0409063, EconWPA. [Downloadable!]
    118. Günter W. Beck & Kirstin Hubrich & Massimiliano Marcellino, 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," Working Paper Series 681, European Central Bank. [Downloadable!]
    119. Ricardo Reis & Mark W. Watson, 2007. "Measuring changes in the value of the numeraire," Kiel Working Papers 1364, Kiel Institute for the World Economy. [Downloadable!]
    120. Laurent Maurin & Matthieu Darracq Pariès, 2008. "The role of country-specific trade and survey data in forecasting euro area manufacturing production. Perspective from Large Panel factor models," Working Paper Series 894, European Central Bank. [Downloadable!]
    121. Mauro Costantini & Claudio Lupi, 2005. "Stochastic convergence among European economies," Economics Bulletin, Economics Bulletin, vol. 3(38), pages 1-17. [Downloadable!]
    122. Vulpes, Giuseppe & Brasili, Andrea, 2006. "Banking integration and co-movements in EU banks’ fragility," MPRA Paper 1964, University Library of Munich, Germany. [Downloadable!]
    123. Andrea Brasili & Giuseppe Vulpes, 2004. "Co-movements in EU banks’ fragility: a dynamic factor model approach," Finance 0411011, EconWPA, revised 02 Nov 2005.
    124. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics. [Downloadable!]
      Other versions:
    125. Samarjit Das & Kaushik Bhattacharya, 2008. "Price convergence across regions in India," Empirical Economics, Springer, vol. 34(2), pages 299-313, March. [Downloadable!] (restricted)
    126. Seung C. Ahn & Young H. Lee & Peter Schmidt, 2006. "Panel Data Models with Multiple Time-Varying Individual Effects," Working Papers 0702, University of Crete, Department of Economics. [Downloadable!]
    127. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    128. Etienne B. Yehoue & Gilles J. Dufrénot, 2005. "Real Exchange Rate Misalignment: A Panel Co-Integration and Common Factor Analysis," IMF Working Papers 05/164, International Monetary Fund. [Downloadable!]
    129. Joseph P. Byrne & Giorgio Fazio & Norbert Fiess, . "The Global Side of the Investments-Savings Puzzle," Working Papers 2008_14, Department of Economics, University of Glasgow. [Downloadable!]
    130. Yongcheol Shin & Laura Serlenga, 2007. "Gravity models of intra-EU trade: application of the CCEP-HT estimation in heterogeneous panels with unobserved common time-specific factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 361-381. [Downloadable!]
    131. Troy Matheson, 2007. "An analysis of the informational content of New Zealand data releases: the importance of business opinion surveys," Reserve Bank of New Zealand Discussion Paper Series DP2007/13, Reserve Bank of New Zealand. [Downloadable!]
    132. 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 Technolgical University, School of Humanities and Social Sciences, Economic Growth centre. [Downloadable!]
    133. Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2006. "Cointegration in Panel Data with Breaks and Cross-Section Dependence," Economics Working Papers ECO2006/5, European University Institute. [Downloadable!]
    134. 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, Research Centre. [Downloadable!]
    135. Cerqueti, Roy & Costantini, Mauro & Gutierrez, Luciano, 2008. "Change in persistence tests for panels: An update and some new results," Economics & Statistics Discussion Papers esdp08043, University of Molise, Dept. SEGeS. [Downloadable!]
    136. Clifford Attfield, 2004. "Stochastic Trends, Demographics and Demand Systems," Bristol Economics Discussion Papers 04/563, Department of Economics, University of Bristol, UK. [Downloadable!]

  9. Jushan Bai & Serena Ng, 1998. "A Test for Conditional Symmetry in Time Series Models," Boston College Working Papers in Economics 410, Boston College Department of Economics. [Downloadable!]

    Cited by:

    1. Francisco J. Ruge-Murcia, 2001. "Inflation Targeting Under Asymmetric Preferences," Banco de España Working Papers 0106, Banco de España. [Downloadable!]
      Other versions:

  10. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Published as:

    Cited by:

    1. Timo Terasvirta & Andrés González, 2006. "Modelling autoregressive processes with a shifting mean," BORRADORES DE ECONOMIA 003230, BANCO DE LA REPÚBLICA. [Downloadable!]
      Other versions:
    2. Pierre Perron & Tomoyoshi Yabu, 2007. "Testing for Shifts in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2007-025, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    3. Shrestha, M.B. & Chowdhury, K., 2005. "A Sequential Procedure for Testing Unit Roots in the Presence of Structural Break in Time Series Data: An Application to Quarterly Data of Nepal, 1970-2003," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(2), pages 31-46. [Downloadable!]
    4. Bond, Derek & Dyson, Kenneth, 2006. "Long memory and non-linearity in Stock Markets," MPRA Paper 252, University Library of Munich, Germany. [Downloadable!]
    5. Carlos de Resende, 2007. "Cross-Country Estimates of the Degree of Fiscal Dominance and Central Bank Independence," Working Papers 07-36, Bank of Canada. [Downloadable!]
    6. Mohamed BOUTAHAR & Jamel JOUINI, 2007. "wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence," Economics Bulletin, Economics Bulletin, vol. 3(3), pages 1-10. [Downloadable!]
    7. Pesaran, M.H. & Pick, A., 2008. "Forecasting Random Walks Under Drift Instability," Cambridge Working Papers in Economics 0814, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    8. Hajime Tomura, 2008. "A Model of Housing Boom and Bust in a Small Open Economy," Working Papers 08-9, Bank of Canada. [Downloadable!]
    9. Laura Mayoral, 2005. "Further evidence on the statistical properties of Real GNP," Economics Working Papers 955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006. [Downloadable!]
      Other versions:
    10. Gary L. Shelley & Frederick H. Wallace, 2004. "Testing for Long Run Neutrality of Money in Mexico," Macroeconomics 0402003, EconWPA. [Downloadable!]
    11. Alfredo M. Pereira & Martin B. Schmidt, 2007. "Structural Breaks in Public Infrastructure Investment in the U.S," Working Papers 55, Department of Economics, College of William and Mary. [Downloadable!]
    12. Allan Timmermann & M. Hashem Pesaran, 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
      Other versions:
    13. Patrick McGlenchy & Paul Kofman, 2004. "Structurally Sound Dynamic Index Futures Hedging," Econometric Society 2004 Australasian Meetings 80, Econometric Society. [Downloadable!]
    14. Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2004. "‘Forecasting Time Series Subject to Multiple Structural Breaks’," Cambridge Working Papers in Economics 0433, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions: