Citations for "Determining the number of factors from empirical distribution of eigenvalues"
by Alexei Onatski
For a complete description of this item, click here
. For a RSS feed for citations of this item, click here
- Qin, Duo, 2008.
"Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries,"
Economics - The Open-Access, Open-Assessment E-Journal,
Kiel Institute for the World Economy, vol. 2(7), pages 1-26.
- Onatski, Alexei, 2012.
"Asymptotics of the principal components estimator of large factor models with weakly influential factors,"
Journal of Econometrics,
Elsevier, vol. 168(2), pages 244-258.
- Kihwan Kim & Norman Swanson, 2013.
"Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets,"
Departmental Working Papers
201315, Rutgers University, Department of Economics.
- Steffen Henzel & Malte Rengel, 2013.
"Dimensions of macroeconomic uncertainty: A common factor analysis,"
Ifo Working Paper Series
Ifo Working Paper No. 167, Ifo Institute for Economic Research at the University of Munich.
- Xu Han & Atsushi Inoue, 2011.
"Tests for Parameter Instability in Dynamic Factor Models,"
TERG Discussion Papers
306, Graduate School of Economics and Management, Tohoku University, revised May 2013.
- In Choi, 2013.
"Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons,"
1209, Research Institute for Market Economy, Sogang University.
- Magdalena Erdem & Kostas Tsatsaronis, 2013.
"Financial conditions and economic activity: a statistical approach,"
BIS Quarterly Review,
Bank for International Settlements, March.
- Hyungsik Roger Moon & Matthew Shum & Martin Weidner, 2012.
"Estimation of random coefficients logit demand models with interactive fixed effects,"
CeMMAP working papers
CWP08/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- YAMAMOTO, Yohei & TANAKA, Shinya, 2013.
"Testing for Factor Loading Structural Change under Common Breaks,"
2013-17, Graduate School of Economics, Hitotsubashi University.
- Chen, Liang & Dolado, Juan Jose & Gonzalo, Jesus, 2011.
"Detecting big structural breaks in large factor models,"
31344, University Library of Munich, Germany.
- Fan, Jianqing & Liao, Yuan & Mincheva, Martina, 2011.
"Large covariance estimation by thresholding principal orthogonal complements,"
38697, University Library of Munich, Germany.
- Chen, Liang, 2012.
"Identifying observed factors in approximate factor models: estimation and hypothesis testing,"
37514, University Library of Munich, Germany.
- Karaman Örsal, Deniz Dilan, 2014.
"Do the global stochastic trends drive the real house prices in OECD countries?,"
Elsevier, vol. 123(1), pages 9-13.
- Reijer, Ard H.J. de & Jacobs, Jan P.A.M. & Otter, Pieter W., 2014.
"A criterion for the number of factors in a data-rich environment,"
14008-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- Matteo Luciani & Antoniomaria Conti & Matteo Barigozzi, 2013.
"Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?,"
ULB Institutional Repository
2013/153330, ULB -- Universite Libre de Bruxelles.
- Mario Forni & Luca Gambetti, 2011.
"Testing for Sufficient Information in Structural VARs,"
536, Barcelona Graduate School of Economics.
- Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2012.
"How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads,"
21, National Bank of Serbia.
- Antonia Arsova & Deniz Dilan Karaman Oersal, 2013.
"Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence,"
Working Paper Series in Economics
280, University of Lüneburg, Institute of Economics.
- Bai, Jushan & Liao, Yuan, 2012.
"Efficient Estimation of Approximate Factor Models,"
41558, University Library of Munich, Germany.
- Travaglini, Guido, 2011.
"Principal Components and Factor Analysis. A Comparative Study,"
35486, University Library of Munich, Germany.
- Mario Forni & Luca Gambetti, 2011.
"Sufficient information in structural VARs,"
Center for Economic Research (RECent)
062, University of Modena and Reggio E., Dept. of Economics.
- Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2013.
"Do euro area countries respond asymmetrically to the common monetary policy?,"
Temi di discussione (Economic working papers)
923, Bank of Italy, Economic Research and International Relations Area.
- Alexander Chudik & M. Hashem Pesaran, 2013.
"Large panel data models with cross-sectional dependence: a survey,"
Globalization and Monetary Policy Institute Working Paper
153, Federal Reserve Bank of Dallas.
- Gribisch, Bastian, 2013.
"A latent dynamic factor approach to forecasting multivariate stock market volatility,"
Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order
79823, Verein für Socialpolitik / German Economic Association.
- Atak, Alev & Kapetanios, George, 2013.
"A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors,"
Elsevier, vol. 120(2), pages 224-228.