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Citations for "Macroeconomic Forecasting Using Diffusion Indexes"

by Stock, James H & Watson, Mark W

For a complete description of this item, click here.
Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
  2. Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Working Papers 335, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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  3. Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary Policy in Real Time," Working Papers 284, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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  4. 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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  5. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics. [Downloadable!]
  6. Kurz, Mordecai & Motolese, Maurizio, 2006. "Risk Premia, diverse belief and beauty contests," MPRA Paper 247, University Library of Munich, Germany. [Downloadable!]
  7. 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!]
  8. Kaaresvirta, Juuso & Mehrotra, Aaron, 2009. "Business surveys and inflation forecasting in China," BOFIT Discussion Papers 22/2008, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
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  9. Simone Elmer & Thomas Maag, 2009. "The Persistence of Inflation in Switzerland: Evidence from Disaggregate Data," KOF Working papers 09-235, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
  10. 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!]
  11. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank, Research Centre. [Downloadable!]
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  12. Gary Koop & Dimitris Korobilis, 2009. "UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?," Working Papers 09-17, University of Strathclyde Business School, Department of Economics. [Downloadable!]
  13. Silvio Colarossi & Andrea Zaghini, 2007. "Gradualism, Transparency and Improved Operational Framework: A Look at the Overnight Volatility Transmission," CFS Working Paper Series 2007/16, Center for Financial Studies. [Downloadable!]
  14. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Economics Working Papers ECO2008/16, European University Institute. [Downloadable!]
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  15. Curran, Declan & Funke, Michael, 2006. "Taking the temperature – forecasting GDP growth for mainland China," BOFIT Discussion Papers 6/2006, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
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  16. David F. Hendry & Kirstin Hubrich, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 589, European Central Bank. [Downloadable!]
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  17. George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  18. Dees, S. & di Mauro, F. & Pesaran, M.H. & Smith, L.V., 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Cambridge Working Papers in Economics 0518, Faculty of Economics, University of Cambridge. [Downloadable!]
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  19. Jan J. J. Groen & George Kapetanios, 2009. "Model selection criteria for factor-augmented regressions," Staff Reports 363, Federal Reserve Bank of New York. [Downloadable!]
  20. 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. [Downloadable!]
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  21. Min Fan, 2006. "Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia," Annals of Finance, Springer, vol. 2(3), pages 259-285, July. [Downloadable!] (restricted)
  22. George Pasdirtz, 2007. "Controlling the US health care system with policy wedges," Health Care Management Science, Springer, vol. 10(4), pages 311-329, December. [Downloadable!] (restricted)
  23. Boriss Siliverstovs & Konstantin A. Kholodilin, 2006. "On Selection of Components for a Diffusion Index Model: It's not the Size, It's How You Use It," Discussion Papers of DIW Berlin 598, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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  24. Fabio Canova & Matteo Ciccarelli, 2007. "Estimating Multi-country VAR models," Discussion Papers 7_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy. [Downloadable!]
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  25. Troy Matheson, 2005. "Factor model forecasts for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2005/01, Reserve Bank of New Zealand. [Downloadable!]
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  26. Matteo Ciccarelli & Benoît Mojon, 2005. "Global Inflation," Working Papers Central Bank of Chile 357, Central Bank of Chile. [Downloadable!]
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  27. Schumacher, Christian, 2009. "Factor forecasting using international targeted predictors: the case of German GDP," Discussion Paper Series 1: Economic Studies 2009,10, Deutsche Bundesbank, Research Centre. [Downloadable!]
  28. Chris Higson & Sean Holly & Ivan Petrella, 2009. "The Financial Integration of the European Union: Common and Idiosyncratic Drivers," Working Paper / FINESS 1.1d, DIW Berlin, German Institute for Economic Research. [Downloadable!]
  29. Konstantin A. Kholodilin & Boriss Siliverstovs, 2005. "On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence," Discussion Papers of DIW Berlin 522, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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  30. 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. [Downloadable!] (restricted)
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  31. Matteo Manera & Massimiliano Serati & Michele Plotegher, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," Working Papers 2008.9, Fondazione Eni Enrico Mattei. [Downloadable!]
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  32. Kenneth N Kuttner, 2008. "Equity prices as leading indicators: the Asian experience," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial market developments and their implications for monetary policy, volume 39, pages 167-192 Bank for International Settlements. [Downloadable!]
  33. David Jamieson Bolder & Yuliya Romanyuk, 2008. "Combining Canadian Interest-Rate Forecasts," Working Papers 08-34, Bank of Canada. [Downloadable!]
  34. 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!]
  35. Bušs, Ginters, 2009. "Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach," MPRA Paper 16684, University Library of Munich, Germany. [Downloadable!]
  36. Hansson, Jesper & Jansson, Per & Löf, Mårten, 2003. "Business Survey Data: Do They Help in Forecasting the Macro Economy?," Working Paper Series 151, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
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  37. 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. [Downloadable!]
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  38. 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 Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
  39. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Generalized Dynamic Factor Model + GARCH
    Exploiting Multivariate Information for Univariate Prediction    ," LEM Papers Series 2006/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  40. Elena Angelini & Massimiliano Marcellino, 2007. "Econometric analyses with backdated data - unified Germany and the euro area," Working Paper Series 752, European Central Bank. [Downloadable!]
  41. Oliver Hülsewig & Johannes Mayr & Timo Wollmershäuser, 2008. "Forecasting Euro Area Real GDP: Optimal Pooling of Information," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  42. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute. [Downloadable!]
  43. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
  44. Gary Koop & Simon Potter, 2003. "Forecasting in large macroeconomic panels using Bayesian Model Averaging," Staff Reports 163, Federal Reserve Bank of New York. [Downloadable!]
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  45. Marcellino, Massimiliano, 2005. "Pooling-based data interpolation and backdating," CEPR Discussion Papers 5295, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  46. Jean Boivin & Marc P. Giannoni & Ilian Mihov, 2007. "Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data," CFS Working Paper Series 2007/14, Center for Financial Studies. [Downloadable!]
  47. Andreas Beyer & Roger E. A. Farmer & Jérôme Henry & Massimiliano Marcellino, 2007. "Factor Analysis in a Model with Rational Expectations," NBER Working Papers 13404, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  48. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 2009. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," CREATES Research Papers 2009-39, School of Economics and Management, University of Aarhus. [Downloadable!]
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  49. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008. "Real-time measurement of business conditions," Working Papers 08-19, Federal Reserve Bank of Philadelphia. [Downloadable!]
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  50. 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!]
  51. 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!]
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  52. Kenneth D. West & Todd Clark, 2006. "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers 0326, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  53. Viktors Ajevskis & Gundars Davidsons, 2008. "Dynamic Factor Models in Forecasting Latvia's Gross Domestic Product," Working Papers 2008/02, Latvijas Banka. [Downloadable!]
  54. Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics 572, Boston College Department of Economics. [Downloadable!]
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  55. A. Espasa & E. Senra & R. Albacete, 2002. "Forecasting inflation in the European Monetary Union: A disaggregated approach by countries and by sectors," European Journal of Finance, Taylor and Francis Journals, vol. 8(4), pages 402-421, December. [Downloadable!] (restricted)
  56. Barhoumi, K. & Brunhes-Lesage, V. & Darné, O. & Ferrara, L. & Pluyaud, B. & Rouvreau, B., 2008. "Monthly forecasting of French GDP: A revised version of the OPTIM model," Documents de Travail 222, Banque de France. [Downloadable!]
  57. Chudik , A. & Pesaran, M.H., 2007. "Infinite Dimensional VARs and Factor Models," Cambridge Working Papers in Economics 0757, Faculty of Economics, University of Cambridge. [Downloadable!]
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  58. William T. Gavin & Kevin L. Kliesen, 2008. "Forecasting inflation and output: comparing data-rich models with simple rules," Review, Federal Reserve Bank of St. Louis, issue May, pages 175-192. [Downloadable!]
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  59. John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics. [Downloadable!]
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  60. Roberto S. Mariano & Yasutomo Murasawa, 2004. "Constructing a Coincident Index of Business Cycles without Assuming a One-factor Model," Working Papers 22-2004, Singapore Management University, School of Economics, revised Oct 2004. [Downloadable!]
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  61. Maximo Camacho & Gabriel Perez-Quiros & Lorena Saiz & Universidad de Murcia, 2006. "Do european business cycles look like one $\_?$," Computing in Economics and Finance 2006 175, Society for Computational Economics. [Downloadable!]
  62. Kapetanios, G. & Pesaran, M.H., 2005. "Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns," Cambridge Working Papers in Economics 0520, Faculty of Economics, University of Cambridge. [Downloadable!]
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  63. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society. [Downloadable!]
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  64. Antonello D’Agostino & Domenico Giannone & Paolo Surico, 2006. "(Un)Predictability and macroeconomic stability," Working Paper Series 605, European Central Bank. [Downloadable!]
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  65. Fabio Busetti & Juri Marcucci & Giovanni Veronese, 2009. "Comparing forecast accuracy: A Monte Carlo investigation," Temi di discussione (Economic working papers) 723, Bank of Italy, Economic Research Department. [Downloadable!]
  66. Bank for International Settlements and Bank Negara Malaysia, 2008. "Financial market developments and their implications for monetary policy," BIS Papers, Bank for International Settlements, number 39, Janvier-M. [Downloadable!]
  67. Agostino Consolo & Carlo A. Favero & Alessia Paccagnini, 2007. "On the Statistical Identification of DSGE Models," Working Papers 324, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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  68. 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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  69. Carlo A. Favero & Linlin Niu & Luca Sala, 2007. "Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set," Working Papers 318, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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  70. Craig S. Hakkio, 2009. "Global inflation dynamics," Research Working Paper RWP 09-01, Federal Reserve Bank of Kansas City. [Downloadable!]
  71. 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!]
  72. Jan J. J. Groen & George Kapetanios, 2008. "Revisiting useful approaches to data-rich macroeconomic forecasting," Staff Reports 327, Federal Reserve Bank of New York. [Downloadable!]
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  73. 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!]
  74. Troy Matheson, 2006. "Phillips curve forecasting in a small open economy," Reserve Bank of New Zealand Discussion Paper Series DP2006/01, Reserve Bank of New Zealand. [Downloadable!]
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  75. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2008. "How Has the Euro Changed the Monetary Transmission?," NBER Working Papers 14190, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  76. Andrew McCallum & Frank Smets, 2007. "Real wages and monetary policy transmission in the euro area," Kiel Working Papers 1360, Kiel Institute for the World Economy. [Downloadable!]
  77. Konstantin A. Kholodilin & Boriss Siliverstovs & Stefan Kooths, 2007. "A Dynamic Panel Data Approach to the Forecasting of the GDP of German Länder," Discussion Papers of DIW Berlin 664, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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  78. Marc P. Giannoni & Jean Boivin, 2005. "DSGE Models in a Data-Rich Environment," Computing in Economics and Finance 2005 431, Society for Computational Economics. [Downloadable!]
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  79. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers 0707, Federal Reserve Bank of Dallas. [Downloadable!]
  80. Simonetta Longhi & Peter Nijkamp, 2005. "Forecasting Regional Labour Market Developments Under Spatial Heterogeneity and Spatial Autocorrelation," Tinbergen Institute Discussion Papers 05-041/3, Tinbergen Institute. [Downloadable!]
  81. Peter Kugler & Beatrice Weder, 2004. "International Portfolio Holdings and Swiss Franc Asset Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 301-325, September. [Downloadable!]
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  82. 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. [Downloadable!]
  83. Francesco Belviso & Fabio Milani, 2005. "Structural Factor-Augmented VAR (SFAVAR) and the Effects of Monetary Policy," Macroeconomics 0503023, EconWPA. [Downloadable!]
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  84. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, Göteborg University, Department of Economics. [Downloadable!]
  85. Roberto Tatiwa Ferreira & Herman Bierens & Ivan Castelar, 2005. "Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 6(3), pages 261-292. [Downloadable!]
  86. Christophe Van Nieuwenhuyze, 2006. "A generalised dynamic factor model for the Belgian economy - Useful business cycle indicators and GDP growth forecasts," Research series 200603-2, National Bank of Belgium. [Downloadable!]
  87. 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. [Downloadable!]
  88. Todd E. Clark & Michael W. McCracken, 2008. "Combining forecasts from nested models," Working Papers 2008-037, Federal Reserve Bank of St. Louis. [Downloadable!]
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  89. 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)
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  90. Marc Hallin & Charles Mathias & Hugues Pirotte & David Veredas, 2009. "Market Liquidity as Dynamic Factors," ECARES Working Papers 2009_004, Université Libre de Bruxelles, Ecares. [Downloadable!]
  91. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, School of Economics and Management, University of Aarhus. [Downloadable!]
  92. Jens Carsten Jackwerth & James E. Hodder & Olga Kolokolova, 2008. "Recovering Delisting Returns of Hedge Funds," CoFE Discussion Paper 08-09, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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  93. Mehrotra, Aaron & Rautava, Jouko, 2007. "Do sentiment indicators help to assess and predict actual developments of the Chinese economy?," BOFIT Discussion Papers 11/2007, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
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  94. Stéphane Dées & Matthias Burgert, 2008. "Forecasting world trade. Direct versus "bottom-up" approaches," Working Paper Series 882, European Central Bank. [Downloadable!]
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  95. Marlene Amstad & Andreas M. Fischer, 2009. "Do macroeconomic announcements move inflation forecasts?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 507-518. [Downloadable!]
  96. 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!]
  97. Nii Ayi Armah & Norman R. Swanson, 2008. "Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments," Working Papers 08-25, Federal Reserve Bank of Philadelphia. [Downloadable!]
  98. Antonio García-Ferrer & Ester González-Prieto & Daniel Peña, 2008. "A multivariate generalized independent factor GARCH model with an application to financial stock returns," Statistics and Econometrics Working Papers ws087528, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  99. Silvio Colarossi & Andrea Zaghini, 2009. "Gradualism, transparency and the improved operational framework: a look at the overnight volatility transmission," Temi di discussione (Economic working papers) 710, Bank of Italy, Economic Research Department. [Downloadable!]
  100. Pesaran, M.H. & Timmermann, A., 2004. "‘Real Time Econometrics’," Cambridge Working Papers in Economics 0432, Faculty of Economics, University of Cambridge. [Downloadable!]
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  101. 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!]
  102. Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2005. "Do european business cycles look like one?," Banco de España Working Papers 0518, Banco de España. [Downloadable!]
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  103. Carlo Altavilla & Matteo Ciccarelli, 2007. "Information combination and forecast (st)ability. Evidence from vintages of time-series data," Working Paper Series 846, European Central Bank. [Downloadable!]
  104. 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)
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  105. Longhi, Simonetta & Nijkamp, Peter, 2006. "Forecasting regional labor market developments under spatial heterogeneity and spatial correlation," Serie Research Memoranda 0015, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
  106. Domenico Giannone & Michele Lenza, 2009. "The Feldstein-Horioka fact," NBER Working Papers 15519, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  107. Chris Bloor & Troy Matheson, 2008. "Analysing shock transmission in a data-rich environment: A large BVAR for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/09, Reserve Bank of New Zealand. [Downloadable!]
  108. 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!]
  109. Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008. [Downloadable!]
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  110. 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!]
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  111. 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)
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  112. Lutz Kilian & Atsushi Inoue, 2004. "Bagging Time Series Models," Econometric Society 2004 North American Summer Meetings 110, Econometric Society. [Downloadable!]
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  113. 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!]
  114. De Bandt. O. & Bruneau, C. & Flageollet, B., 2006. "Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area," Documents de Travail 145, Banque de France. [Downloadable!]
  115. Álvaro Aguirre R. & Luis Felipe Céspedes C., 2004. "Uso de Análisis Factorial Dinámico para Proyecciones Macroeconómicas," Working Papers Central Bank of Chile 274, Central Bank of Chile. [Downloadable!]
  116. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Economics Working Papers ECO2008/22, European University Institute. [Downloadable!]
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  117. Dreger, Christian & Schumacher, Christian, 2002. "Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models?," Discussion Paper Series 26321, Hamburg Institute of International Economics. [Downloadable!]
  118. Lanne, Markku & Luoma, Arto & Luoto, Jani, 2008. "A Naïve Sticky Information Model of Households’ Inflation Expectations," MPRA Paper 8663, University Library of Munich, Germany. [Downloadable!]
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  119. Marta Banbura & Gerhard Rünstler, 2007. "A look into the factor model black box - publication lags and the role of hard and soft data in forecasting GDP," Working Paper Series 751, European Central Bank. [Downloadable!]
  120. Andrea Cipollini & George Kapetanios, 2006. "Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis," Computing in Economics and Finance 2006 477, Society for Computational Economics. [Downloadable!]
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  121. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute. [Downloadable!]
  122. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics. [Downloadable!]
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  123. 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!]
  124. Vojtech Benda & Lubos Ruzicka, 2007. "Short-term Forecasting Methods Based on the LEI Approach: The Case of the Czech Republic," Research and Policy Notes 2007/01, Czech National Bank, Research Department. [Downloadable!]
  125. Amstad, Marlene & Fischer, Andreas M, 2005. "Shock Identification of Macroeconomic Forecasts Based on Daily Panels," CEPR Discussion Papers 5008, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  126. James B. Ang & Warwick J. McKibbin, 2005. "Financial Liberalization, Financial Sector Development And Growth: Evidence From Malaysia," CAMA Working Papers 2005-05, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
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  127. 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)
  128. Charles L. Evans & David A. Marshall, 2005. "Fundamental Economic Shocks and The Macroeconomy," Working Papers Central Bank of Chile 351, Central Bank of Chile. [Downloadable!]
  129. Alexander Chudik & M. Hashem Pesaran & Elisa Tosetti, 2009. "Weak and Strong Cross Section Dependence and Estimation of Large Panels," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  130. Andrew J. Patton & Allan Timmermann, 2008. "The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast," CREATES Research Papers 2008-54, School of Economics and Management, University of Aarhus. [Downloadable!]
  131. 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!]
  132. Michal Brzoza-Brzezina & Jacek Kotlowski, 2009. "Estimating pure inflation in the Polish economy," Working Papers 37, Department of Applied Econometrics, Warsaw School of Economics. [Downloadable!]
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This page was last updated on 2009-12-19.

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