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The Liska model

Citations

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Cited by:

  1. Kihwan Kim & Hyun Hak Kim & Norman R. Swanson, 2023. "Mixing mixed frequency and diffusion indices in good times and in bad: an assessment based on historical data around the great recession of 2008," Empirical Economics, Springer, vol. 64(3), pages 1421-1469, March.
  2. Tino Berger & Lorenzo Pozzi, 2016. "Is there really a Global Business Cycle? A Dynamic Factor Model with Stochastic Factor Selection," Tinbergen Institute Discussion Papers 16-088/VI, Tinbergen Institute.
  3. Francisco Corona & Graciela González-Farías & Pedro Orraca, 2017. "A dynamic factor model for the Mexican economy: are common trends useful when predicting economic activity?," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 26(1), pages 1-35, December.
  4. Zhang, Wang & Tian, Yong & Sun, Zan & Zheng, Chunmiao, 2021. "How does plastic film mulching affect crop water productivity in an arid river basin?," Agricultural Water Management, Elsevier, vol. 258(C).
  5. Greenaway-McGrevy, Ryan & Han, Chirok & Sul, Donggyu, 2012. "Estimating the number of common factors in serially dependent approximate factor models," Economics Letters, Elsevier, vol. 116(3), pages 531-534.
  6. Panagiotidis, Theodore & Printzis, Panagiotis, 2020. "What is the investment loss due to uncertainty?," Global Finance Journal, Elsevier, vol. 45(C).
  7. Javier Emmanuel Anguiano Pita & Antonio Ruiz Porras, 2020. "Market dynamics and integration of the financial markets of the NAFTA countries," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 92, pages 67-100, Enero-Jun.
  8. Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
  9. Mario Forni & Luca Gambetti & Luca Sala, 2014. "No News in Business Cycles," Economic Journal, Royal Economic Society, vol. 124(581), pages 1168-1191, December.
  10. Panaro, D.B. & Frunzo, L. & Mattei, M.R. & Luongo, V. & Esposito, G., 2021. "Calibration, validation and sensitivity analysis of a surface-based ADM1 model," Ecological Modelling, Elsevier, vol. 460(C).
  11. Nathan Bedock & Dalibor Stevanovic, 2017. "An empirical study of credit shock transmission in a small open economy," Canadian Journal of Economics, Canadian Economics Association, vol. 50(2), pages 541-570, May.
  12. Ilhami Yucel & Orlando C. Richard, 2013. "Transformational Leadership, Subordinate Experience, and Subordinate Organizational Commitment: Different Leadership Strokes for Different Folks," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 27(1), pages 19-51.
  13. Jean Boivin & Marc P. Giannoni & Dalibor Stevanović, 2020. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 272-284, April.
  14. Liu, Beibei & Wang, Feng & Yunze, Wu & Jun, Bi & Maoliang, Bu & Gao, Juan, 2012. "Life cycle implication of the potential commercialization of stover-based E85 in China," Energy Policy, Elsevier, vol. 43(C), pages 371-380.
  15. Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," Center for Economic Research (RECent) 040, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  16. Gregory Hill & Steven Kolmes & Michael Humphreys & Rebecca McLain & Eric T. Jones, 2019. "Using decision support tools in multistakeholder environmental planning: restorative justice and subbasin planning in the Columbia River Basin," Journal of Environmental Studies and Sciences, Springer;Association of Environmental Studies and Sciences, vol. 9(2), pages 170-186, June.
  17. Olivier Fortin‐Gagnon & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2022. "A large Canadian database for macroeconomic analysis," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(4), pages 1799-1833, November.
  18. Chiara Casoli & Riccardo (Jack) Lucchetti, 2022. "Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 494-514.
  19. 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.
  20. Francisco A. Buendia-Hernandez & Maria J. Ortiz Bevia & Francisco J. Alvarez-Garcia & Antonio Ruizde Elvira, 2022. "Sensitivity of a Dynamic Model of Air Traffic Emissions to Technological and Environmental Factors," IJERPH, MDPI, vol. 19(22), pages 1-17, November.
  21. Alexei Onatski & Francisco Ruge‐Murcia, 2013. "Factor Analysis Of A Large Dsge Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(6), pages 903-928, September.
  22. Morris, David J. & Speirs, Douglas C. & Cameron, Angus I. & Heath, Michael R., 2014. "Global sensitivity analysis of an end-to-end marine ecosystem model of the North Sea: Factors affecting the biomass of fish and benthos," Ecological Modelling, Elsevier, vol. 273(C), pages 251-263.
  23. Zhu, Li & Chen, Sarula & Yang, Yang & Tian, Wei & Sun, Yong & Lyu, Mian, 2019. "Global sensitivity analysis on borehole thermal energy storage performances under intermittent operation mode in the first charging phase," Renewable Energy, Elsevier, vol. 143(C), pages 183-198.
  24. Miranda Gualdrón, Karen Alejandra & Poncela, Pilar & Ruiz Ortega, Esther, 2021. "Dynamic factor models: does the specification matter?," DES - Working Papers. Statistics and Econometrics. WS 32210, Universidad Carlos III de Madrid. Departamento de Estadística.
  25. Liu, Xialu & Chen, Rong, 2020. "Threshold factor models for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 216(1), pages 53-70.
  26. Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.
  27. Luca Gambetti, 2010. "Fiscal Policy, Foresight and the Trade Balance in the U.S," Working Papers 505, Barcelona School of Economics.
  28. Wu, Wenbin & Shibasaki, Ryosuke & Yang, Peng & Tan, Guoxin & Matsumura, Kan-ichiro & Sugimoto, Kenji, 2007. "Global-scale modelling of future changes in sown areas of major crops," Ecological Modelling, Elsevier, vol. 208(2), pages 378-390.
  29. 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.
  30. Han, Xu, 2015. "Tests for overidentifying restrictions in Factor-Augmented VAR models," Journal of Econometrics, Elsevier, vol. 184(2), pages 394-419.
  31. Francisco Corona & Pilar Poncela & Esther Ruiz, 2017. "Determining the number of factors after stationary univariate transformations," Empirical Economics, Springer, vol. 53(1), pages 351-372, August.
  32. Sungurtekin Hallam, Bahar, 2022. "Emerging market responses to external shocks: A cross-country analysis," Economic Modelling, Elsevier, vol. 115(C).
  33. 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.
  34. Kanapaux, William & Kiker, Gregory A., 2013. "Development and testing of an object-oriented model for adaptively managing human disturbance of least tern (Sternula antillarum) nesting habitat," Ecological Modelling, Elsevier, vol. 268(C), pages 64-77.
  35. Aboura, Sofiane & Chevallier, Julien, 2015. "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.
  36. Chu-Agor, M.L. & Muñoz-Carpena, R. & Kiker, G.A. & Aiello-Lammens, M.E. & Akçakaya, H.R. & Convertino, M. & Linkov, I., 2012. "Simulating the fate of Florida Snowy Plovers with sea-level rise: Exploring research and management priorities with a global uncertainty and sensitivity analysis perspective," Ecological Modelling, Elsevier, vol. 224(1), pages 33-47.
  37. Chen, Mingli & Fernández-Val, Iván & Weidner, Martin, 2021. "Nonlinear factor models for network and panel data," Journal of Econometrics, Elsevier, vol. 220(2), pages 296-324.
  38. Gilardelli, Carlo & Confalonieri, Roberto & Cappelli, Giovanni Alessandro & Bellocchi, Gianni, 2018. "Sensitivity of WOFOST-based modelling solutions to crop parameters under climate change," Ecological Modelling, Elsevier, vol. 368(C), pages 1-14.
  39. Panagiotidis, Theodore & Printzis, Panagiotis, 2021. "Investment and uncertainty: Are large firms different from small ones?," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 302-317.
  40. Jin, Xisong & Nadal De Simone, Francisco, 2014. "A framework for tracking changes in the intensity of investment funds' systemic risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 343-368.
  41. Wernsdörfer, H. & Rossi, V. & Cornu, G. & Oddou-Muratorio, S. & Gourlet-Fleury, S., 2008. "Impact of uncertainty in tree mortality on the predictions of a tropical forest dynamics model," Ecological Modelling, Elsevier, vol. 218(3), pages 290-306.
  42. Jin, Xisong & Nadal De Simone, Francisco de A., 2014. "Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach," Journal of Financial Stability, Elsevier, vol. 14(C), pages 81-101.
  43. Aboura, Sofiane & Chevallier, Julien, 2017. "A new weighting-scheme for equity indexes," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 159-175.
  44. 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.
  45. Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
  46. Yunus Emre Ergemen, 2016. "Generalized Efficient Inference on Factor Models with Long-Range Dependence," CREATES Research Papers 2016-05, Department of Economics and Business Economics, Aarhus University.
  47. Muriel Nguiffo-Boyom, 2014. "2007-2013: This is what the indicator told us ? Evaluating the performance of real-time nowcasts from a dynamic factor model," BCL working papers 88, Central Bank of Luxembourg.
  48. Berger, Tino & Everaert, Gerdie & Pozzi, Lorenzo, 2021. "Testing for international business cycles: A multilevel factor model with stochastic factor selection," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
  49. Bai, Jushan & Liao, Yuan, 2012. "Efficient Estimation of Approximate Factor Models," MPRA Paper 41558, University Library of Munich, Germany.
  50. Simon Freyaldenhoven, 2017. "A Generalized Factor Model with Local Factors," 2017 Papers pfr361, Job Market Papers.
  51. Antimiani, Alessandro & Costantini, Valeria & Paglialunga, Elena, 2015. "The sensitivity of climate-economy CGE models to energy-related elasticity parameters: Implications for climate policy design," Economic Modelling, Elsevier, vol. 51(C), pages 38-52.
  52. Forni, Mario & Gambetti, Luca, 2010. "Fiscal Foresight and the Effects of Goverment Spending," CEPR Discussion Papers 7840, C.E.P.R. Discussion Papers.
  53. Gao, Quansheng & Hu, Chengjun, 2009. "Dynamic mortality factor model with conditional heteroskedasticity," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 410-423, December.
  54. Tommaso Monacelli & Luca Sala, 2009. "The International Dimension of Inflation: Evidence from Disaggregated Consumer Price Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(s1), pages 101-120, February.
  55. Tamás Nepusz & Tamás Vicsek, 2013. "Hierarchical Self-Organization of Non-Cooperating Individuals," PLOS ONE, Public Library of Science, vol. 8(12), pages 1-9, December.
  56. Konstantīns Beņkovskis, 2010. "LATCOIN: determining medium to long-run tendencies of economic growth in Latvia in real time," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 10(2), pages 27-48, December.
  57. Xia, Qiang & Liang, Rubing & Wu, Jianhong, 2017. "Transformed contribution ratio test for the number of factors in static approximate factor models," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 235-241.
  58. David Martinez-Miera & Rafael Repullo, 2019. "Monetary Policy, Macroprudential Policy, and Financial Stability," Annual Review of Economics, Annual Reviews, vol. 11(1), pages 809-832, August.
  59. Siegfried Hörmann & Gilles Nisol, 2021. "Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 295-313, May.
  60. Karen Miranda & Pilar Poncela & Esther Ruiz, 2022. "Dynamic factor models: Does the specification matter?," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 397-428, May.
  61. S⊘ren Kjærgaard & Yunus Emre Ergemen & Marie‐Pier Bergeron‐Boucher & Jim Oeppen & Malene Kallestrup‐Lamb, 2020. "Longevity forecasting by socio‐economic groups using compositional data analysis," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(3), pages 1167-1187, June.
  62. Hanisch, Max, 2019. "US monetary policy and the euro area," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 77-96.
  63. Tomohiro Ando & Jushan Bai, 2016. "Panel Data Models with Grouped Factor Structure Under Unknown Group Membership," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(1), pages 163-191, January.
  64. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
  65. Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel [The sectoral effects of monetary policy in Hungary: a structural factor]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
  66. Bai, Jushan & Ando, Tomohiro, 2013. "Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors," MPRA Paper 52785, University Library of Munich, Germany, revised Dec 2013.
  67. Elena Andreou & Patrick Gagliardini & Eric Ghysels & Mirco Rubin, 2016. "Is Industrial Production Still the Dominant Factor for the US Economy?," Swiss Finance Institute Research Paper Series 16-11, Swiss Finance Institute.
  68. Liu, Beibei & Wang, Feng & Zhang, Bing & Bi, Jun, 2013. "Energy balance and GHG emissions of cassava-based fuel ethanol using different planting modes in China," Energy Policy, Elsevier, vol. 56(C), pages 210-220.
  69. Bar Massada, Avi & Carmel, Yohay, 2008. "Incorporating output variance in local sensitivity analysis for stochastic models," Ecological Modelling, Elsevier, vol. 213(3), pages 463-467.
  70. Hanisch, Max & Kempa, Bernd, 2017. "The international transmission channels of US supply and demand shocks: Evidence from a non-stationary dynamic factor model for the G7 countries," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 70-88.
  71. Rougier, Thibaud & Drouineau, Hilaire & Dumoulin, Nicolas & Faure, Thierry & Deffuant, Guillaume & Rochard, Eric & Lambert, Patrick, 2014. "The GR3D model, a tool to explore the Global Repositioning Dynamics of Diadromous fish Distribution," Ecological Modelling, Elsevier, vol. 283(C), pages 31-44.
  72. Søren Kjærgaard & Yunus Emre Ergemen & Marie-Pier Bergeron Boucher & Jim Oeppen & Malene Kallestrup-Lamb, 2019. "Longevity forecasting by socio-economic groups using compositional data analysis," CREATES Research Papers 2019-08, Department of Economics and Business Economics, Aarhus University.
  73. Matteo Luciani & David Veredas, "undated". "A simple model for vast panels of volatilities," ULB Institutional Repository 2013/136239, ULB -- Universite Libre de Bruxelles.
  74. 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.
  75. Alain Kabundi & Elmarie Nel & Franz Ruch, 2016. "Nowcasting Real GDP growth in South Africa," Working Papers 7068, South African Reserve Bank.
  76. Ratnarajah, Lavenia & Melbourne-Thomas, Jessica & Marzloff, Martin P. & Lannuzel, Delphine & Meiners, Klaus M. & Chever, Fanny & Nicol, Stephen & Bowie, Andrew R., 2016. "A preliminary model of iron fertilisation by baleen whales and Antarctic krill in the Southern Ocean: Sensitivity of primary productivity estimates to parameter uncertainty," Ecological Modelling, Elsevier, vol. 320(C), pages 203-212.
  77. Petropoulos, G. & Wooster, M.J. & Carlson, T.N. & Kennedy, M.C. & Scholze, M., 2009. "A global Bayesian sensitivity analysis of the 1d SimSphere soil–vegetation–atmospheric transfer (SVAT) model using Gaussian model emulation," Ecological Modelling, Elsevier, vol. 220(19), pages 2427-2440.
  78. Marc Hallin & Marcelo Moreira J. & Alexei Onatski, 2013. "Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model," Working Papers ECARES ECARES 2013-04, ULB -- Universite Libre de Bruxelles.
  79. Freyaldenhoven, Simon, 2022. "Factor models with local factors — Determining the number of relevant factors," Journal of Econometrics, Elsevier, vol. 229(1), pages 80-102.
  80. Tsay, Ruey S. & Ando, Tomohiro, 2012. "Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3345-3365.
  81. Song Song & Wolfgang K. Härdle & Ya'acov Ritov, 2014. "Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series," Econometrics Journal, Royal Economic Society, vol. 17(2), pages 101-131, June.
  82. Jianqing Fan & Yuan Liao & Han Liu, 2016. "An overview of the estimation of large covariance and precision matrices," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
  83. Kagraoka, Yusho, 2016. "Common dynamic factors in driving commodity prices: Implications of a generalized dynamic factor model," Economic Modelling, Elsevier, vol. 52(PB), pages 609-617.
  84. Mao Takongmo, Charles Olivier & Stevanovic, Dalibor, 2015. "Selection Of The Number Of Factors In Presence Of Structural Instability: A Monte Carlo Study," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 177-233, Mars-Juin.
  85. Diakité, Z.R. & Corson, M.S. & Brunschwig, G. & Baumont, R. & Mosnier, C., 2019. "Profit stability of mixed dairy and beef production systems of the mountain area of southern Auvergne (France) in the face of price variations: Bioeconomic simulation," Agricultural Systems, Elsevier, vol. 171(C), pages 126-134.
  86. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, Department of Economics and Business Economics, Aarhus University.
  87. Kabundi, Alain & De Simone, Francisco Nadal, 2022. "Euro area banking and monetary policy shocks in the QE era," Journal of Financial Stability, Elsevier, vol. 63(C).
  88. Rouger, Baptiste & Goldringer, Isabelle & Barbillon, Pierre & Miramon, Anne & Naino Jika, Abdel Kader & Thomas, Mathieu, 2023. "Sensitivity analysis of a crop metapopulation model," Ecological Modelling, Elsevier, vol. 475(C).
  89. Wu, Jianhong, 2016. "Robust determination for the number of common factors in the approximate factor models," Economics Letters, Elsevier, vol. 144(C), pages 102-106.
  90. Pelger, Markus, 2019. "Large-dimensional factor modeling based on high-frequency observations," Journal of Econometrics, Elsevier, vol. 208(1), pages 23-42.
  91. Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2010. "New Eurocoin: Tracking Economic Growth in Real Time," The Review of Economics and Statistics, MIT Press, vol. 92(4), pages 1024-1034, November.
  92. Hanisch, Max, 2017. "The effectiveness of conventional and unconventional monetary policy: Evidence from a structural dynamic factor model for Japan," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 110-134.
  93. Alexander Chudik & M. Hashem Pesaran, 2013. "Large Panel Data Models with Cross-Sectional Dependence: A Survey," CESifo Working Paper Series 4371, CESifo.
  94. Muriel Nguiffo-Boyom, 2008. "A monthly indicator of Economic activity for Luxembourg," BCL working papers 31, Central Bank of Luxembourg.
  95. Aboura, Sofiane & Chevallier, Julien, 2015. "A cross-volatility index for hedging the country risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 25-41.
  96. Pestova, Anna, 2020. "“Credit view” on monetary policy in Russia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 72-88.
  97. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.
  98. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
  99. 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.
  100. Kabundi, Alain & De Simone, Francisco Nadal, 2020. "Monetary policy and systemic risk-taking in the euro area banking sector," Economic Modelling, Elsevier, vol. 91(C), pages 736-758.
  101. Choi, In & Lin, Rui & Shin, Yongcheol, 2023. "Canonical correlation-based model selection for the multilevel factors," Journal of Econometrics, Elsevier, vol. 233(1), pages 22-44.
  102. Cadero, A. & Aubry, A. & Brun, F. & Dourmad, J.Y. & Salaün, Y. & Garcia-Launay, F., 2018. "Global sensitivity analysis of a pig fattening unit model simulating technico-economic performance and environmental impacts," Agricultural Systems, Elsevier, vol. 165(C), pages 221-229.
  103. Gupta, Rangan & Kabundi, Alain, 2011. "A large factor model for forecasting macroeconomic variables in South Africa," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1076-1088, October.
  104. Selover, David D. & Yagihashi, Takeshi, 2015. "Examining industrial interdependence between Japan and South Korea: A FAVAR approach," Japan and the World Economy, Elsevier, vol. 36(C), pages 67-87.
  105. Ryan Greenaway‐McGrevy & Nelson C. Mark & Donggyu Sul & Jyh‐Lin Wu, 2018. "Identifying Exchange Rate Common Factors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(4), pages 2193-2218, November.
  106. Lorscheid, Iris & Meyer, Matthias, 2016. "Divide and conquer: Configuring submodels for valid and efficient analyses of complex simulation models," Ecological Modelling, Elsevier, vol. 326(C), pages 152-161.
  107. Forni, Mario & Gambetti, Luca, 2010. "The dynamic effects of monetary policy: A structural factor model approach," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 203-216, March.
  108. 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.
  109. Hanqing Ma & Chunfeng Ma & Xin Li & Wenping Yuan & Zhengjia Liu & Gaofeng Zhu, 2020. "Sensitivity and Uncertainty Analyses of Flux-based Ecosystem Model towards Improvement of Forest GPP Simulation," Sustainability, MDPI, vol. 12(7), pages 1-18, March.
  110. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
  111. Pierzak, Agnieszka, 2013. "Forecasting inflation in Poland using dynamic factor model," MF Working Papers 17, Ministry of Finance in Poland, revised 01 Aug 2013.
  112. Pal, Saheb & Ghosh, Indrajit, 2023. "Dynamics of a coupled socio-environmental model: An application to global CO2 emissions," Ecological Modelling, Elsevier, vol. 478(C).
  113. Li, Hongjun & Li, Qi & Shi, Yutang, 2017. "Determining the number of factors when the number of factors can increase with sample size," Journal of Econometrics, Elsevier, vol. 197(1), pages 76-86.
  114. Bourhis, Yoann & Poggi, Sylvain & Mammeri, Youcef & Cortesero, Anne-Marie & Le Ralec, Anne & Parisey, Nicolas, 2015. "Perception-based foraging for competing resources: Assessing pest population dynamics at the landscape scale from heterogeneous resource distribution," Ecological Modelling, Elsevier, vol. 312(C), pages 211-221.
  115. Lam, Clifford & Yao, Qiwei, 2012. "Factor modeling for high-dimensional time series: inference for the number of factors," LSE Research Online Documents on Economics 45684, London School of Economics and Political Science, LSE Library.
  116. Giménez-Romero, Àlex & Grau, Amalia & Hendriks, Iris E. & Matias, Manuel A., 2021. "Modelling parasite-produced marine diseases: The case of the mass mortality event of Pinna nobilis," Ecological Modelling, Elsevier, vol. 459(C).
  117. Umberto Triacca & Fulvia Focker, 2014. "Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 235-254, October.
  118. Xisong Jin & Francisco Nadal De Simone, 2016. "Tracking Changes in the Intensity of Financial Sector's Systemic Risk," BCL working papers 102, Central Bank of Luxembourg.
  119. Kihwan Kim & Norman Swanson, 2013. "Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets," Departmental Working Papers 201315, Rutgers University, Department of Economics.
  120. Yi, Xuan & Zou, Rui & Guo, Huaicheng, 2016. "Global sensitivity analysis of a three-dimensional nutrients-algae dynamic model for a large shallow lake," Ecological Modelling, Elsevier, vol. 327(C), pages 74-84.
  121. Piyachart Phiromswad & Takeshi Yagihashi, 2016. "Empirical identification of factor models," Empirical Economics, Springer, vol. 51(2), pages 621-658, September.
  122. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
  123. Chang, Jinyuan & Guo, Bin & Yao, Qiwei, 2015. "High dimensional stochastic regression with latent factors, endogeneity and nonlinearity," LSE Research Online Documents on Economics 61886, London School of Economics and Political Science, LSE Library.
  124. Xisong Jin & Francisco Nadal De Simone, 2015. "Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach," BCL working papers 95, Central Bank of Luxembourg.
  125. Ali Babikir & Henry Mwambi, 2016. "Evaluating the combined forecasts of the dynamic factor model and the artificial neural network model using linear and nonlinear combining methods," Empirical Economics, Springer, vol. 51(4), pages 1541-1556, December.
  126. Xisong Jin, 2018. "How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation," BCL working papers 118, Central Bank of Luxembourg.
  127. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
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