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Citations for "Forecasting Using Principal Components From a Large Number of Predictors"

by Stock J.H. & Watson M.W.

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  1. Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC).
  2. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers 0707, Federal Reserve Bank of Dallas.
  3. Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Working Papers 335, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  4. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2005. "Forecasting macroeconomic variables for the new member states of the European Union," Working Paper Series 482, European Central Bank.
  5. Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
  6. Asgharian, Hossein & Hou, Ai Jun & Javed, Farrukh, 2013. "Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach," Knut Wicksell Working Paper Series 2013/4, Knut Wicksell Centre for Financial Studies, Lund University.
  7. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach," PIER Working Paper Archive 12-046, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  8. Marco Buchmann, 2011. "Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession," Working Paper Series 1286, European Central Bank.
  9. Mazzi, Gian Luigi & Mathieu, Catherine & Charpin, Françoise, 2008. "Construction of coincident indicators for euro area key macroeconomic variables. 28th International Symposium on Forecasting, Nice, June 23 2008," Open Access publications from Sciences Po info:hdl:2441/9676, Sciences Po.
  10. Juan José Echavarría & Andrés gonzález & Enrique López & Norberto Rodríguez, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," BORRADORES DE ECONOMIA 009884, BANCO DE LA REPÚBLICA.
  11. Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012. "A General to Specific Approach for Constructing Composite Business Cycle Indicators," CEIS Research Paper 224, Tor Vergata University, CEIS, revised 27 Feb 2012.
  12. Boriss Siliverstovs & Konstantin A. Kholodilin, 2010. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," Discussion Papers of DIW Berlin 970, DIW Berlin, German Institute for Economic Research.
  13. Hendry, David F. & Hubrich, Kirstin, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 216-227.
  14. Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working Papers 201101, University of Pretoria, Department of Economics.
  15. Andersson, Michael K & Karlsson, Sune, 2007. "Bayesian Forecast Combination for VAR Models," Working Papers 2007:13, Örebro University, School of Business.
  16. Gelper, Sarah & Croux, Christophe, 2008. "Least angle regression for time series forecasting with many predictors," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/164224, Katholieke Universiteit Leuven.
  17. Lasse Bork & Hans Dewachter & Romain Houssa, 2009. "Identification of Macroeconomic Factors in Large Panels," CREATES Research Papers 2009-43, School of Economics and Management, University of Aarhus.
  18. 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.
  19. Jon Faust & Abhishek Gupta, 2012. "Posterior Predictive Analysis for Evaluating DSGE Models," NBER Working Papers 17906, National Bureau of Economic Research, Inc.
  20. Nadezhda Malysheva & Pierre-Daniel G. Sarte, 2009. "Heterogeneity in sectoral employment and the business cycle," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 335-355.
  21. Sydney C. Ludvigson & Serena Ng, 2009. "Macro Factors in Bond Risk Premia," Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5027-5067, December.
  22. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2004. "Forecasting Macroeconomic Variables for the Acceding Countries," Working Papers 260, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  23. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 27-42, March.
  24. Pablo A. Guerron-Quintana, 2012. "Common and idiosyncratic disturbances in developed small open economies," Working Papers 12-3, Federal Reserve Bank of Philadelphia.
  25. Fabio Canova & Matteo Ciccarelli, 2002. "Estimating multi-country VAR models," Economics Working Papers 920, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2008.
  26. Hwee Kwan Chow & Keen Meng Choy, 2009. "Analyzing and Forecasting Business Cycles in a Small Open Economy : A Dynamic Factor Model for Singapore," Macroeconomics Working Papers 22074, East Asian Bureau of Economic Research.
  27. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013. "Risks of large portfolios," MPRA Paper 44206, University Library of Munich, Germany.
  28. Peter Sandholt Jensen & Allan H. Würtz, 2006. "On determining the importance of a regressor with small and undersized samples," Economics Working Papers 2006-08, School of Economics and Management, University of Aarhus.
  29. Harun Mirza & Lidia Storjohann, 2011. "Making a Weak Instrument Set Stronger: Factor-Based Estimation of the Taylor Rule," Bonn Econ Discussion Papers bgse13_2012, University of Bonn, Germany.
  30. Pang, Iris Ai Jao, 2010. "Were Fed’s active monetary policy actions necessary?," MPRA Paper 32496, University Library of Munich, Germany.
  31. Eickmeier, Sandra & Lemke, Wolfgang & Marcellino, Massimiliano, 2011. "Classical time-varying FAVAR models - Estimation, forecasting and structural analysis," CEPR Discussion Papers 8321, C.E.P.R. Discussion Papers.
  32. U. Michael Bergman & Lars Jonung, 2011. "Business Cycle Synchronization In Europe: Evidence From The Scandinavian Currency Union," Manchester School, University of Manchester, vol. 79(2), pages 268-292, 03.
  33. Chang, Kuang Liang & Chen, Nan Kuang & Leung, Charles Ka Yui, 2011. "In the Shadow of the United States: The International Transmission Effect of Asset Returns," MPRA Paper 32776, University Library of Munich, Germany.
  34. Massimiliano Marcellino, 2005. "Pooling-based Data Interpolation and Backdating," Working Papers 299, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  35. Huiyu Huang & Tae-Hwy Lee, 2006. "To Combine Forecasts or to Combine Information?," Working Papers 200806, University of California at Riverside, Department of Economics, revised Feb 2009.
  36. Sandra Eickmeier & Tim Ng, 2009. "Forecasting national activity using lots of international predictors: an application to New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/04, Reserve Bank of New Zealand.
  37. Francisco Dias & Maximiano Pinheiro & António Rua, 2010. "Forecasting using targeted diffusion indexes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(3), pages 341-352.
  38. Jeroen Klomp & Jacob de Haan (DNB), 2010. "Banking risk and regulation: Does one size fit all?," CPB Discussion Paper 164, CPB Netherlands Bureau for Economic Policy Analysis.
  39. António Rua, 2011. "A wavelet approach for factor‐augmented forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(7), pages 666-678, November.
  40. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
  41. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers 2009-42, University of Connecticut, Department of Economics.
  42. David F. Hendry & Kirstin Hubrich, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 589, European Central Bank.
  43. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute.
  44. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter," Working Papers UWEC-2008-15-FC, University of Washington, Department of Economics.
  45. Huyn Hak Kim & Norman R. Swanson, 2011. "Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence," Departmental Working Papers 201119, Rutgers University, Department of Economics.
  46. Jan J. J. Groen & George Kapetanios, 2009. "Model selection criteria for factor-augmented regressions," Staff Reports 363, Federal Reserve Bank of New York.
  47. Jana Eklund & Sune Karlsson, 2007. "An Embarrassment of Riches: Forecasting Using Large Panels," Economics wp34, Department of Economics, Central bank of Iceland.
  48. Nathan Bedock & Dalibor Stevanovic, 2012. "An Empirical Study of Credit Shock Transmission in a Small Open Economy," CIRANO Working Papers 2012s-16, CIRANO.
  49. Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  50. Massimiliano Marcellino & James Stock & Mark Watson, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," Working Papers 285, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  51. Eliana González, 2011. "Forecasting With Many Predictors. An Empirical Comparison," BORRADORES DE ECONOMIA 007996, BANCO DE LA REPÚBLICA.
  52. Gary Koop, 2013. "Using VARs and TVP-VARs with Many Macroeconomic Variables," Working Papers 1303, University of Strathclyde Business School, Department of Economics.
  53. repec:eca:wpaper:2009_004 is not listed on IDEAS
  54. andrés M. Alonso & Carolina Garcia-Martos & Julio Rodriguez & Maria Jesus Sanchez, 2008. "Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting," Statistics and Econometrics Working Papers ws081406, Universidad Carlos III, Departamento de Estadística y Econometría.
  55. Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," AMSE Working Papers 1301, Aix-Marseille School of Economics, Marseille, France, revised Jan 2013.
  56. Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2007. "New Eurocoin: Tracking Economic Growth in Real Time," Temi di discussione (Economic working papers) 631, Bank of Italy, Economic Research and International Relations Area.
  57. Herwartz, Helmut & Golosnoy, Vasyl, 2007. "Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance," Economics Working Papers 2007,23, Christian-Albrechts-University of Kiel, Department of Economics.
  58. D''Agostino, Antonello & Giannone, Domenico, 2007. "Comparing Alternative Predictors Based on Large-Panel Factor Models," CEPR Discussion Papers 6564, C.E.P.R. Discussion Papers.
  59. 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.
  60. In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Research Institute for Market Economy, Sogang University, revised Dec 2011.
  61. Olivier Darné & Laurent Ferrara, 2011. "Identification of Slowdowns and Accelerations for the Euro Area Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(3), pages 335-364, 06.
  62. Francisco Craveiro Dias & Cláudia Duarte & António Rua, 2008. "Inflation expectations in the euro area: Are consumers rational?," Working Papers w200823, Banco de Portugal, Economics and Research Department.
  63. J. Beirlant & G. Claeskens & C. Croux & H. Degryse & H. Dewachter & G. Dhaene & J. Dhaene & I. Gijbels & M. Goovaerts & M. Hubert & F. Roodhooft & W. Schouten & M. Willekens, 2005. "Managing Uncertainty: Financial, Actuarial and Statistical Modeling," Review of Business and Economics, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, vol. 0(1), pages 23-48.
  64. Guenter W. Beck & Kirstin Hubrich & Massimiliano Marcellino, 2011. "On the importance of sectoral and regional shocks for price-setting," Working Paper Series 1334, European Central Bank.
  65. Gilchrist, Simon & Yankov, Vladimir & Zakrajsek, Egon, 2009. "Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 471-493, May.
  66. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?," Discussion Paper Series 1: Economic Studies 2006,32, Deutsche Bundesbank, Research Centre.
  67. Jan Jacobs & Pieter Otter & Ard den Reijer, 2007. "Information, data dimension and factor structure," DNB Working Papers 150, Netherlands Central Bank, Research Department.
  68. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2011. "The Merit of High-Frequency Data in Portfolio Allocation," SFB 649 Discussion Papers SFB649DP2011-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  69. Andreas Beyer & Roger E. A. Farmer & Jér�me Henry & Massimiliano Marcellino, 2008. "Factor analysis in a model with rational expectations," Econometrics Journal, Royal Economic Society, vol. 11(2), pages 271-286, 07.
  70. Miguel Jerez & José Casals & Sonia Sotoca, 2009. "Likelihood stabilization for ill-conditioned vector GARCH models," Computational Statistics, Springer, vol. 24(1), pages 15-35, February.
  71. Nii Ayi Armah & Norman Swanson, 2010. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments," Econometric Reviews, Taylor and Francis Journals, vol. 29(5-6), pages 476-510.
  72. Kollmann, Robert & Zeugner, Stefan, 2012. "Leverage as a predictor for real activity and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1267-1283.
  73. Wolters, Maik H., 2011. "Forecasting under Model Uncertainty," Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48723, Verein für Socialpolitik / German Economic Association.
  74. Stéphane Dées & Matthias Burgert, 2008. "Forecasting world trade. Direct versus "bottom-up" approaches," Working Paper Series 882, European Central Bank.
  75. repec:eca:wpaper:2013/97304 is not listed on IDEAS
  76. 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.
  77. Wright, Jonathan H., 2008. "Bayesian Model Averaging and exchange rate forecasts," Journal of Econometrics, Elsevier, vol. 146(2), pages 329-341, October.
  78. Norman R. Swanson & Nii Ayi Armah, 2011. "Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators," Departmental Working Papers 201115, Rutgers University, Department of Economics.
  79. Mazzi, Gian Luigi & Mathieu, Catherine & Charpin, Françoise, 2008. "Construction of coincident indicators for the euro area. 5th EUROSTAT Colloquium on Modern Tools For Business Cycle Analysis, Luxembourg, 29th September – 1st October 2008," Open Access publications from Sciences Po info:hdl:2441/9802, Sciences Po.
  80. Raúl Ibarra-Ramírez, 2010. "Forecasting Inflation in Mexico Using Factor Models: Do Disaggregated CPI Data Improve Forecast Accuracy?," Working Papers 2010-01, Banco de México.
  81. Pang, Iris Ai Jao, 2010. "Forecasting Hong Kong economy using factor augmented vector autoregression," MPRA Paper 32495, University Library of Munich, Germany.
  82. Dagum, Estela Bee, 2010. "Business Cycles and Current Economic Analysis/Los ciclos económicos y el análisis económico actual," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 28, pages 577-594, Diciembre.
  83. Eliana González, . "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 604, Banco de la Republica de Colombia.
  84. Beyer, Andreas & Farmer, Roger E A & Henry, Jérôme & Marcellino, Massimiliano, 2005. "Factor Analysis in a New-Keynesian Model," CEPR Discussion Papers 5266, C.E.P.R. Discussion Papers.
  85. Proietti, Tommaso, 2010. "Trend Estimation," MPRA Paper 21607, University Library of Munich, Germany.
  86. Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," Economics Series 2011_1, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  87. 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.
  88. Marcus Kappler, 2011. "Business Cycle Co-movement and Trade Intensity in the Euro Area: is there a Dynamic Link?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(2), pages 247-265, April.
  89. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
  90. Jushan Bai & Serena Ng, 2008. "Extremum Estimation when the Predictors are Estimated from Large Panels," Annals of Economics and Finance, Society for AEF, vol. 9(2), pages 201-222, November.
  91. de Silva, Ashton J, 2010. "Forecasting Australian Macroeconomic variables, evaluating innovations state space approaches," MPRA Paper 27411, University Library of Munich, Germany.
  92. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market," HSC Research Reports HSC/13/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  93. Ivan Kitov, 2007. "Inflation, Unemployment, Labor Force Change in European Counties," Mechonomics mechonomics7, Socionet.
  94. Scott Brave & R. Andrew Butters, 2010. "Gathering insights on the forest from the trees: a new metric for financial conditions," Working Paper Series WP-2010-07, Federal Reserve Bank of Chicago.
  95. Eliana González, . "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia 643, Banco de la Republica de Colombia.
  96. Ard H.J. den Reijer, 2005. "Forecasting Dutch GDP using Large Scale Factor Models," DNB Working Papers 028, Netherlands Central Bank, Research Department.
  97. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2012. "Robust inference in linear asset pricing models," Working Paper 2012-17, Federal Reserve Bank of Atlanta.
  98. 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.
  99. Chen, Pu, 2010. "A Grouped Factor Model," MPRA Paper 28083, University Library of Munich, Germany, revised 11 Jan 2011.
  100. Jan J.J. Groen & George Kapetanios, 2008. "Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting," Working Papers 624, Queen Mary, University of London, School of Economics and Finance.
  101. G. Rünstler & K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze, 2008. "Short-Term Forecasting of GDP Using Large Monthly Datasets: A Pseudo Real-Time Forecast Evaluation Exercise," Bank of Lithuania Working Paper Series 1, Bank of Lithuania.
  102. Ron Bird & Richard Gerlach, 2006. "A Bayesian Model Averaging Approach to Enhance Value Investment," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 5(2), pages 111-127, August.
  103. Kemal Bagzibagli, 2012. "Monetary Transmission Mechanism and Time Variation in the Euro Area," Discussion Papers 12-12, Department of Economics, University of Birmingham.
  104. Francisco Craveiro Dias & Maximiano Pinheiro & António Rua, 2008. "Determining the number of factors in approximate factor models with global and group-specific factors," Working Papers w200809, Banco de Portugal, Economics and Research Department.
  105. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," Economics Working Papers ECO2008/17, European University Institute.
  106. Bessonovs, Andrejs, 2011. "GDP Modelling with Factor Model: an Impact of Nested Data on Forecasting Accuracy," MPRA Paper 30211, University Library of Munich, Germany.
  107. Jonathan H. Wright, 2009. "Forecasting US inflation by Bayesian model averaging," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(2), pages 131-144.
  108. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2013. "Understanding global liquidity," Discussion Papers 03/2013, Deutsche Bundesbank, Research Centre.
  109. Ryan Greenaway-McGrevy & Nelson C. Mark & Donggyu Sul & Jyh-Lin Wu, 2012. "Exchange Rates as Exchange Rate Common Factors," Working Papers 212012, Hong Kong Institute for Monetary Research.
  110. Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," Working Papers halshs-00793724, HAL.
  111. Elena Angelini & Massimiliano Marcellino, 2007. "Econometric analyses with backdated data - unified Germany and the euro area," Working Paper Series 752, European Central Bank.
  112. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 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).
  113. M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," CESifo Working Paper Series 2543, CESifo Group Munich.
  114. Christopher J. Neely & David E. Rapach, 2009. "Common fluctuations in OECD budget balances," Working Papers 2009-055, Federal Reserve Bank of St. Louis.
  115. Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  116. repec:ebl:ecbull:v:3:y:2008:i:33:p:1-18 is not listed on IDEAS
  117. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "The Asymptotics for Panel Models with Common Shocks," Center for Policy Research Working Papers 77, Center for Policy Research, Maxwell School, Syracuse University.
  118. Jon Faust & Jonathan H. Wright, 2007. "Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset," NBER Working Papers 13397, National Bureau of Economic Research, Inc.
  119. 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.
  120. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute.
  121. Branimir, Jovanovic & Magdalena, Petrovska, 2010. "Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting," MPRA Paper 43162, University Library of Munich, Germany.
  122. Russell Smyth & Qingguo Zhai & Xiaoxu Li, 2009. "Determinants of turnover intentions among Chinese off farm migrants," Economic Change and Restructuring, Springer, vol. 42(3), pages 189-209, August.
  123. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States," Working papers 2009-13, University of Connecticut, Department of Economics.
  124. Jushan Bai & Serena Ng, 2009. "Boosting diffusion indices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 607-629.
  125. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," BORRADORES DE ECONOMIA 007015, BANCO DE LA REPÚBLICA.
  126. Eric Ghysels & Casidhe Horan & Emanuel Moench, 2012. "Forecasting through the rear-view mirror: data revisions and bond return predictability," Staff Reports 581, Federal Reserve Bank of New York.
  127. Lutz Kilian & Atsushi Inoue, 2004. "Bagging Time Series Models," Econometric Society 2004 North American Summer Meetings 110, Econometric Society.
  128. 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.
  129. Norman R. Swanson & Nii Ayi Armah, 2011. "Diffusion Index Models and Index Proxies: Recent Results and New Directions," Departmental Working Papers 201114, Rutgers University, Department of Economics.
  130. Rachida Ouysse, 2011. "Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models," Discussion Papers 2012-03, School of Economics, The University of New South Wales.
  131. Eric J. Bartelsman & Zoltan Wolf, 2009. "Forecasting Aggregate Productivity using Information from Firm-Level Data," Tinbergen Institute Discussion Papers 09-043/3, Tinbergen Institute.
  132. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-18.
  133. Chevallier, Julien, 2010. "Volatility forecasting of carbon prices using factor models," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/4349, Université Paris-Dauphine.
  134. In Choi, 2011. "Efficient Estimation of Nonstationary Factor Models," Working Papers 1101, Research Institute for Market Economy, Sogang University, revised Jun 2011.
  135. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," BORRADORES DE ECONOMIA 007013, BANCO DE LA REPÚBLICA.
  136. Le Pen, Yannick & Sévi, Benoît, . "Revisiting the excess co-movements of commodity prices in a data-rich environment," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/6800, Université Paris-Dauphine.
  137. Salvador Barrios & Per Iversen & Magdalena Lewandowska & Ralph Setzer, 2009. "Determinants of intra-euro area government bond spreads during the financial crisis," European Economy - Economic Papers 388, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
  138. Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," MPRA Paper 36147, University Library of Munich, Germany.
  139. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute.
  140. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," BORRADORES DE ECONOMIA 007014, BANCO DE LA REPÚBLICA.
  141. Ang, James B. & McKibbin, Warwick J., 2007. "Financial liberalization, financial sector development and growth: Evidence from Malaysia," Journal of Development Economics, Elsevier, vol. 84(1), pages 215-233, September.
  142. Travaglini, Guido, 2011. "Principal Components and Factor Analysis. A Comparative Study," MPRA Paper 35486, University Library of Munich, Germany.
  143. Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," CAMA Working Papers 2011-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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