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A Dynamic Index Model for Large Cross Sections

In: Business Cycles, Indicators and Forecasting

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Author Info
Danny Quah
Thomas J. Sargent

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This chapter was published in: Danny Quah & Thomas J. Sargent Business Cycles, Indicators and Forecasting, , pages 285-310, 1993.

This item is provided by National Bureau of Economic Research, Inc in its series NBER Chapters with number 7195.

Handle: RePEc:nbr:nberch:7195

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Related research
This chapter was published in the following book, which is listed on IDEAS:
James H. Stock & Mark W. Watson, 1993. "Business Cycles, Indicators and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number stoc93-1.
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  1. Paul D. Gilbert & Lise Pichette, 2003. "Dynamic Factor Analysis for Measuring Money," Working Papers 03-21, Bank of Canada. [Downloadable!]
  2. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  3. 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. [Downloadable!]
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  4. 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. [Downloadable!] (restricted)
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  5. Ruey Yau, 2004. "Macroeconomic Forecasting with Independent Component Analysis," Econometric Society 2004 Far Eastern Meetings 741, Econometric Society. [Downloadable!]
  6. Danny Quah, 1996. "Aggregate and Regional Disaggregate Fluctuations," CEP Discussion Papers dp0275, Centre for Economic Performance, LSE. [Downloadable!]
  7. 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. [Downloadable!]
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  8. Grace H.Y. Lee, 2009. "Aggregate Shocks Decomposition For Eight East Asian Countries," Monash Economics Working Papers 17/09, Monash University, Department of Economics. [Downloadable!]
  9. 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)
    Other versions:
  10. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  11. Massimiliano Marcellino & George Kapetanios, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 305, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
  12. Kapetanios, George & Marcellino, Massimiliano, 2006. "Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation," CEPR Discussion Papers 5621, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  13. Andrew Levin & Chien-Fu Lin, 1993. "Unit Root Tests in Panel Data: New Results," University of California at San Diego, Economics Working Paper Series 93-56, Department of Economics, UC San Diego. [Downloadable!]
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