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Citations for "Determining the Number of Factors in Approximate Factor Models"

by Jushan Bai & Serena Ng

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  1. Samarjit Das & Kaushik Bhattacharya, 2008. "Price convergence across regions in India," Empirical Economics, Springer, Springer, vol. 34(2), pages 299-313, March.
  2. Boivin, Jean & Ng, Serena, 2006. "Are more data always better for factor analysis?," Journal of Econometrics, Elsevier, Elsevier, vol. 132(1), pages 169-194, May.
  3. Kim, Bong-Han & Kim, Hyeongwoo & Min, Hong-Ghi, 2013. "Reassessing the link between the Japanese yen and emerging Asian currencies," Journal of International Money and Finance, Elsevier, Elsevier, vol. 33(C), pages 306-326.
  4. Christian Gengenbach & Franz Palm & Jean-Pierre Urbain, 2010. "Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 29(2), pages 111-145.
  5. Dreger, Christian & Herzer, Dierk, 2011. "A further examination of the export-led growth hypothesis," Discussion Papers 305, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  6. Alejandro Justiniano, 2004. "Sources and Propagation Mechanims of Foreign Disturbances in Small Open Economies: A Dynamic Factor Analysis," Econometric Society 2004 Latin American Meetings, Econometric Society 148, Econometric Society.
  7. Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2010. "Improved penalization for determining the number of factors in approximate factor models," Statistics & Probability Letters, Elsevier, Elsevier, vol. 80(23-24), pages 1806-1813, December.
  8. Jan Jacobs & Pieter Otter & Ard den Reijer, 2007. "Information, data dimension and factor structure," DNB Working Papers, Netherlands Central Bank, Research Department 150, Netherlands Central Bank, Research Department.
  9. Necati Tekatli, 2010. "A Bayesian Generalized Factor Model with Comparative Analysis (Genellestirilmis Faktor Modellerinin Bayesyen Yaklasimi ve Karsilastirmali Analizi)," Working Papers 1018, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  10. Nii Ayi Armah & Norman Swanson, 2011. "Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 21(1-2), pages 43-60.
  11. 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.
  12. Alexander Chudik & M. Hashem Pesaran, 2013. "Large Panel Data Models with Cross-Sectional Dependence: A Survey," CESifo Working Paper Series 4371, CESifo Group Munich.
  13. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components?," Working Paper Series, European Central Bank 0700, European Central Bank.
  14. Yuriy Gorodnichenko, 2005. "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics, EconWPA 0512011, EconWPA.
  15. Kamel GARFA, 2013. "Couplage Ou Découplage Des Cycles Économiques Des Mena : Une Approche En Termes De Modèle A Facteurs Dynamiques," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 38, pages 225-247.
  16. Mark W. Watson & Ricardo Reis, 2007. "Measuring changes in the value of the numeraire," 2007 Meeting Papers, Society for Economic Dynamics 324, Society for Economic Dynamics.
  17. Valle e Azevedo, João & Pereira, Ana, 2013. "Approximating and forecasting macroeconomic signals in real-time," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(3), pages 479-492.
  18. Bada, Oualid & Kneip, Alois, 2014. "Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 95-115.
  19. Dong He & Laurent Pauwels, 2008. "What Prompts the People's Bank of China to Change its Monetary Policy Stance? Evidence from a Discrete Choice Model," Working Papers 0806, Hong Kong Monetary Authority.
  20. Banerjee, Anindya & Carrion-i-Silvestre, Josep Lluís, 2006. "Cointegration in panel data with breaks and cross-section dependence," Working Paper Series, European Central Bank 0591, European Central Bank.
  21. Beck, Günter & Hubrich, Kirstin & Marcellino, Massimiliano, 2011. "On the importance of sectoral and regional shocks for price-setting," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8357, C.E.P.R. Discussion Papers.
  22. Marcellino, Massimiliano & Schumacher, Christian, 2008. "Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6708, C.E.P.R. Discussion Papers.
  23. António Rua, 2010. "A Wavelet Approach for Factor-Augmented Forecasting," Working Papers, Banco de Portugal, Economics and Research Department w201007, Banco de Portugal, Economics and Research Department.
  24. Rangan Gupta & Alain Kabundi, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
  25. Michael Artis & Anindya Banerjee & Massimiliano Marcellino, . "Factor forecasts for the UK," Working Papers 203, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  26. Shu-Ling Chen & John D. Jackson & Hyeongwoo Kim & Pramesti Resiandini, 2013. "What Drives Commodity Prices?," Auburn Economics Working Paper Series, Department of Economics, Auburn University auwp2013-03, Department of Economics, Auburn University.
  27. Das, Sonali & Gupta, Rangan & Kabundi, Alain, 2009. "Could we have predicted the recent downturn in the South African housing market?," Journal of Housing Economics, Elsevier, Elsevier, vol. 18(4), pages 325-335, December.
  28. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers, Federal Reserve Bank of Dallas 0707, Federal Reserve Bank of Dallas.
  29. Barbara Rossi & Tatevik Sehkposyan, 2013. "Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set," Working Papers 689, Barcelona Graduate School of Economics.
  30. Claudia Godbout & Marco J. Lombardi, 2012. "Short-Term Forecasting of the Japanese Economy Using Factor Models," Working Papers, Bank of Canada 12-7, Bank of Canada.
  31. Bada, Oualid & Kneip, Alois, 2010. "Panel Data Models with Unobserved Multiple Time- Varying Effects to Estimate Risk Premium of Corporate Bonds," MPRA Paper 26006, University Library of Munich, Germany.
  32. Andrea Brasili & Giuseppe Vulpes, 2004. "Co-movements in EU banks’ fragility: a dynamic factor model approach," Finance, EconWPA 0411011, EconWPA, revised 02 Nov 2005.
  33. 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, Center for Policy Research, Maxwell School, Syracuse University 92, Center for Policy Research, Maxwell School, Syracuse University.
  34. Sean Holly & Ivan Petrella, 2012. "Factor Demand Linkages, Technology Shocks, and the Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 948-963, November.
  35. Natalia Bailey & Sean Holly & M. Hashem Pesaran, 2014. "A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence," CESifo Working Paper Series 4592, CESifo Group Munich.
  36. Helmut Lütkepohl, 2012. "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin 1230, DIW Berlin, German Institute for Economic Research.
  37. Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), . "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers, Instituto de Estudios Fiscales 24-05 Classification-JEL , Instituto de Estudios Fiscales.
  38. Hwee Kwan Chow & Keen Meng Choy, 2009. "Analyzing and Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Working Papers, Singapore Management University, School of Economics 05-2009, Singapore Management University, School of Economics.
  39. Michael Artis & Christian Dreger & Konstantin Kholodilin, 2009. "Common and Spatial Drivers in Regional Business Cycles," SERC Discussion Papers, Spatial Economics Research Centre, LSE 0022, Spatial Economics Research Centre, LSE.
  40. Miguel Carvalho & Paulo Júlio, 2012. "Digging out the PPP hypothesis: an integrated empirical coverage," Empirical Economics, Springer, Springer, vol. 42(3), pages 713-744, June.
  41. Branimir Jovanovic & Magdalena Petrovska, 2010. "Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting," Working Papers, National Bank of the Republic of Macedonia 2010-02, National Bank of the Republic of Macedonia, revised Aug 2010.
  42. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome 2011/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
  43. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers, University of Milano-Bicocca, Department of Economics 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
  44. Josep Carrion-i-Silvestre & Vicente German-Soto, 2009. "Panel data stochastic convergence analysis of the Mexican regions," Empirical Economics, Springer, Springer, vol. 37(2), pages 303-327, October.
  45. M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata, 2008. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," Discussion Papers, Department of Economics, University of York 08/03, Department of Economics, University of York.
  46. Derek Bunn & Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2014. "Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices," Working Papers, Department of Research, Ipag Business School 2014-414, Department of Research, Ipag Business School.
  47. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Journal of Econometrics, Elsevier, Elsevier, vol. 164(1), pages 188-205, September.
  48. Sandra Eickmeier & Joerg Breitung, 2006. "Business cycle transmission from the euro area to CEECs," Computing in Economics and Finance 2006, Society for Computational Economics 229, Society for Computational Economics.
  49. Sandra Eickmeier, 2009. "Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 24(6), pages 933-959.
  50. Joseph P. Byrne & Giorgio Fazio & Norbert Fiess, 2010. "Interest Rate Co-movements, Global Factors and the Long End of the Term Spread," Working Papers, Business School - Economics, University of Glasgow 2010_10, Business School - Economics, University of Glasgow.
  51. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Working Paper Series, The Rimini Centre for Economic Analysis 42_10, The Rimini Centre for Economic Analysis.
  52. Brasili, Cristina & Fanfani, Roberto & Gutierrez, Luciano, 2006. "Convergence in the Agricultural Incomes: A Comparison between the US and EU," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists 25363, International Association of Agricultural Economists.
  53. 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.
  54. Nasri Harb, 2009. "Oil Exports, Non-Oil GDP, and Investment in the GCC Countries," Review of Development Economics, Wiley Blackwell, Wiley Blackwell, vol. 13(4), pages 695-708, November.
  55. Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers, Department of Research, Ipag Business School 2013-020, Department of Research, Ipag Business School.
  56. Kappler, Marcus, 2006. "Panel Tests for Unit Roots in Hours Worked," ZEW Discussion Papers 06-22, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  57. Pilar Poncela & Esther Ruiz, 2012. "More is not always better : back to the Kalman filter in dynamic factor models," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws122317, Universidad Carlos III, Departamento de Estadística y Econometría.
  58. Mariam Camarero & Inmaculada Martínez-Zarzoso & Felicitas Nowak-Lehmenn D. & Cecilio Tamarit, 2013. "Trade Openness and Income: A Tale of Two Regions," Ibero America Institute for Econ. Research (IAI) Discussion Papers 226, Ibero-America Institute for Economic Research.
  59. L. Vanessa Smith & Takashi Yamagata, 2008. "Firm Level Volatility-Return Analysis using Dynamic Panels," Discussion Papers, Department of Economics, University of York 08/09, Department of Economics, University of York.
  60. Necati Tekatli, 2007. "Understanding Sources of the Change in International Business Cycles," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) 731.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  61. Bianco, Dominique & Niang, Abdou-Aziz, 2012. "On international spillovers," Economics Letters, Elsevier, Elsevier, vol. 117(1), pages 280-282.
  62. Mayr, Johannes, 2010. "Forecasting Macroeconomic Aggregates," Munich Dissertations in Economics, University of Munich, Department of Economics 11140, University of Munich, Department of Economics.
  63. Wagner, Martin, 2006. "The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?," Economics Series, Institute for Advanced Studies 197, Institute for Advanced Studies.
  64. Heather Anderson & Fashid Vahid, 2005. "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics 2005-451, Australian National University, College of Business and Economics, School of Economics.
  65. repec:ipg:wpaper:20 is not listed on IDEAS
  66. den Reijer, Ard H.J., 2011. "Regional and sectoral dynamics of the Dutch staffing labor cycle," Economic Modelling, Elsevier, Elsevier, vol. 28(4), pages 1826-1837, July.
  67. T. Berger & F. Heylen, 2009. "Differences in hours worked in the OECD: institutions or fiscal policies?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 09/601, Ghent University, Faculty of Economics and Business Administration.
  68. In Choi, 2007. "Efficient Estimation of Factor Models," Working Papers, Research Institute for Market Economy, Sogang University 0701, Research Institute for Market Economy, Sogang University, revised Dec 2010.
  69. repec:wyi:journl:002139 is not listed on IDEAS
  70. Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  71. Huiyu Huang & Tae-Hwy Lee, 2010. "To Combine Forecasts or to Combine Information?," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 29(5-6), pages 534-570.
  72. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, Springer, vol. 39(2), pages 303-336, October.
  73. Goodness C. Aye & Stephen M. Miller & Rangan Gupta & Mehmet Balcilar, 2014. "Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors," Working Papers, Department of Research, Ipag Business School 2014-465, Department of Research, Ipag Business School.
  74. Mariam Camarero & Estrella Gómez & Cecilio Tamarit, 2012. "EMU and intra-European trade. Long-run evidence using gravity equations," ThE Papers, Department of Economic Theory and Economic History of the University of Granada. 10/25, Department of Economic Theory and Economic History of the University of Granada..
  75. Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," CREATES Research Papers 2010-21, School of Economics and Management, University of Aarhus.
  76. Ciccarelli, Matteo & Mojon, Benoît, 2005. "Global inflation," Working Paper Series, European Central Bank 0537, European Central Bank.
  77. repec:dgr:uvatin:1420130 is not listed on IDEAS
  78. Mario Forni & Luca Gambetti & Luca Sala, 2013. "No News in Business Cycles," Working Papers 491, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  79. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy 2007/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  80. Joseph P. Byrne & Giorgio Fazio & Norbert Fiess, 2008. "The Global Side of the Investments-Savings Puzzle," Working Papers, Business School - Economics, University of Glasgow 2008_14, Business School - Economics, University of Glasgow.
  81. Guglielmo Maria Caporale & Mario Cerrato, 2004. "Panel Data Tests Of Ppp: A Critical Overview," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 04-18, Economics and Finance Section, School of Social Sciences, Brunel University.
  82. Bai, Jushan & Ng, Serena, 2013. "Principal components estimation and identification of static factors," Journal of Econometrics, Elsevier, Elsevier, vol. 176(1), pages 18-29.
  83. Christophe Hurlin & Valérie Mignon, 2005. "Une synthèse des tests de racine unitaire sur données de panel," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 169(3), pages 253-294.
  84. Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24504, London School of Economics and Political Science, LSE Library.
  85. Elena Angelini & Jérôme Henry & Ricardo Mestre, 2001. "Diffusion index-based inflation forecasts for the euro area," BIS Papers chapters, in: Bank for International Settlements (ed.), Empirical studies of structural changes and inflation, volume 3, pages 109-138 Bank for International Settlements.
  86. Ando, Tomohiro, 2009. "Bayesian factor analysis with fat-tailed factors and its exact marginal likelihood," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 100(8), pages 1717-1726, September.
  87. Christian Schulz, 2008. "Forecasting economic activity for Estonia : The application of dynamic principal component analyses," Bank of Estonia Working Papers, Bank of Estonia 2008-02, Bank of Estonia, revised 30 Oct 2008.
  88. Giray Gozgor, 2013. "Testing Unemployment Persistence in Central and Eastern European Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 694-700.
  89. Romain Houssa, 2004. "Monetary Union in West Africa and Asymmetric Shocks: A Dynamic Structural Factor Model Approach," Economics Series Working Papers WPS/2004-17, University of Oxford, Department of Economics.
  90. Eberhardt, Markus & Teal, Francis, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," MPRA Paper 15813, University Library of Munich, Germany.
  91. Creal, Drew & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2013. "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series, European Central Bank 1626, European Central Bank.
  92. YAMAMOTO, Yohei & TANAKA, Shinya, 2013. "Testing for Factor Loading Structural Change under Common Breaks," Discussion Papers 2013-17, Graduate School of Economics, Hitotsubashi University.
  93. Michael Bleaney & Paul Mizen & Veronica Veleanu, . "Bond Spreads as Predictors of Economic Activity in Eight European Economies," Discussion Papers 12/11, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  94. Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2014. "Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models?," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 24(17), pages 1147-1157, September.
  95. María Santana-Gallego & Francisco Ledesma-Rodríguez & Jorge Pérez-Rodríguez, 2011. "Tourism and trade in OECD countries. A dynamic heterogeneous panel data analysis," Empirical Economics, Springer, Springer, vol. 41(2), pages 533-554, October.
  96. Joseph P. Byrne & Jun Nagayasu, 2012. "Common Factors Of The Exchange Risk Premium In Emerging European Markets," Bulletin of Economic Research, Wiley Blackwell, vol. 64(Supplemen), pages s71-s85, December.
  97. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: An application to German GDP," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7197, C.E.P.R. Discussion Papers.
  98. Gobillon, Laurent & Magnac, Thierry, 2013. "Regional Policy Evaluation:Interactive Fixed Effects and Synthetic Controls," TSE Working Papers, Toulouse School of Economics (TSE) 13-419, Toulouse School of Economics (TSE).
  99. 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.
  100. Amélie Charles & Olivier Darné & Jean-François Hoarau, 2009. "Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa?," Working Papers hal-00422522, HAL.
  101. Lima, Luiz Renato Regis de Oliveira & Issler, João Victor, 2008. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 668, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  102. 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.
  103. 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," Research Report 14008-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  104. Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  105. Domenico Giannone & Michele Lenza, 2010. "The Feldstein-Horioka Fact," NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 103-117 National Bureau of Economic Research, Inc.
  106. Selien De Schryder & Gert Peersman, 2013. "The U.S. Dollar Exchange Rate and the Demand for Oil," CESifo Working Paper Series 4126, CESifo Group Munich.
  107. Luciano Gutierrez, 2003. "Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison," Econometrics, EconWPA 0310004, EconWPA.
  108. Nagayasu, Jun, 2010. "Macroeconomic interdependence in East Asia," Japan and the World Economy, Elsevier, Elsevier, vol. 22(4), pages 219-227, December.
  109. Frauke Dobnik, 2013. "Long-run money demand in OECD countries: what role do common factors play?," Empirical Economics, Springer, Springer, vol. 45(1), pages 89-113, August.
  110. Dina Azhgaliyeva, 2013. "What Makes Oil Revenue Funds Effective," International Conference on Energy, Regional Integration and Socio-economic Development 6023, EcoMod.
  111. Mario Forni & Filippo Altissimo & Riccardo Cristadoro & Marco Lippi & Giovanni Veronese., 2008. "New Eurocoin: Tracking Economic Growth in Real Time," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics 020, University of Modena and Reggio E., Dept. of Economics.
  112. Domenico Giannone & Troy Matheson, 2006. "A new core inflation indicator for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
  113. Kamhon Kan & Chihwa Kao, 2005. "Simulation-Based Two-Step Estimation with Endogenous Regressors," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 76, Center for Policy Research, Maxwell School, Syracuse University.
  114. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5178, C.E.P.R. Discussion Papers.
  115. Robinson, Peter M., 2012. "Nonparametric trending regression with cross-sectional dependence," Journal of Econometrics, Elsevier, Elsevier, vol. 169(1), pages 4-14.
  116. Ludvigson, Sydney C. & Ng, Serena, 2007. "The empirical risk-return relation: A factor analysis approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 83(1), pages 171-222, January.
  117. Le Pen, Yannick & Sévi, Benoît, 2011. "Macro factors in oil futures returns," Economics Papers from University Paris Dauphine 123456789/11663, Paris Dauphine University.
  118. Gary Koop & Simon Potter, 2003. "Forecasting in Large Macroeconomic Panels using Bayesian Model Averaging," Discussion Papers in Economics 04/16, Department of Economics, University of Leicester.
  119. Valentina Corradi & Norman Swanson, 2013. "Testing for Structural Stability of Factor Augmented Forecasting Models," Departmental Working Papers, Rutgers University, Department of Economics 201314, Rutgers University, Department of Economics.
  120. Norkute, Milda, 2013. "Assessing the New Keynesian Phillips Curve in the Euro Area Using Disaggregate Data," Working Papers, Lund University, Department of Economics 2013:31, Lund University, Department of Economics.
  121. Declan French, 2012. "Causation between health and income: a need to panic," Empirical Economics, Springer, Springer, vol. 42(2), pages 583-601, April.
  122. Joseph Byrne & Norbert Fiess, 2010. "Euro area inflation: aggregation bias and convergence," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 146(2), pages 339-357, June.
  123. Forni, Mario & Gambetti, Luca, 2011. "Testing for Sufficient Information in Structural VARs," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8209, C.E.P.R. Discussion Papers.
  124. Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, Elsevier, vol. 180(1), pages 30-48.
  125. James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova, 2012. "Recovering Delisting Returns of Hedge Funds," Working Paper Series of the Department of Economics, University of Konstanz 2012-34, Department of Economics, University of Konstanz.
  126. Breitung, Jörg & Eickmeier, Sandra, 2009. "Testing for structural breaks in dynamic factor models," Discussion Paper Series 1: Economic Studies 2009,05, Deutsche Bundesbank, Research Centre.
  127. Bates, Brandon J. & Plagborg-Møller, Mikkel & Stock, James H. & Watson, Mark W., 2013. "Consistent factor estimation in dynamic factor models with structural instability," Journal of Econometrics, Elsevier, Elsevier, vol. 177(2), pages 289-304.
  128. Bagliano, Fabio C. & Morana, Claudio, 2009. "International macroeconomic dynamics: A factor vector autoregressive approach," Economic Modelling, Elsevier, Elsevier, vol. 26(2), pages 432-444, March.
  129. Costantini, Mauro & Pappalardo, Carmine, 2010. "A hierarchical procedure for the combination of forecasts," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(4), pages 725-743, October.
  130. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2013. "A Note on the Extent of US Regional Income Convergence," Working Paper Series, The Rimini Centre for Economic Analysis 10_13, The Rimini Centre for Economic Analysis.
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  564. Francisco Craveiro Dias & Maximiano Pinheiro & António Rua, 2014. "Forecasting Portuguese GDP with factor models," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department, Banco de Portugal, Economics and Research Department.
  565. Chen, Liang, 2012. "Identifying observed factors in approximate factor models: estimation and hypothesis testing," MPRA Paper 37514, University Library of Munich, Germany.
  566. Pang, Iris Ai Jao, 2010. "Were Fed’s active monetary policy actions necessary?," MPRA Paper 32496, University Library of Munich, Germany.
  567. Baetje, Fabian & Menkhoff, Lukas, 2013. "Macro determinants of U.S. stock market risk premia in bull and bear markets," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-520, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  568. Ard den Reijer, 2007. "Identifying Regional and Sectoral Dynamics of the Dutch Staffing Labour Cycle," DNB Working Papers, Netherlands Central Bank, Research Department 153, Netherlands Central Bank, Research Department.
  569. Raúl Ibarra-Ramírez, 2010. "Forecasting Inflation in Mexico Using Factor Models: Do Disaggregated CPI Data Improve Forecast Accuracy?," Working Papers, Banco de México 2010-01, Banco de México.
  570. Massimo Filippini & Elisa Tosetti, 2014. "Stochastic Frontier Models for Long Panel Data Sets: Measurement of the Underlying Energy Efficiency for the OECD Countries," CER-ETH Economics working paper series 14/198, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  571. Takao Fujii & Kazuki Hiraga & Masafumi Kozuka, 2012. "Analyses of Public Investment Shock in Japan: Factor Augmented Vector Autoregressive Approach," Keio/Kyoto Joint Global COE Discussion Paper Series, Keio/Kyoto Joint Global COE Program 2012-006, Keio/Kyoto Joint Global COE Program.
  572. 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), Bank of Italy, Economic Research and International Relations Area 923, Bank of Italy, Economic Research and International Relations Area.
  573. Westerlund, Joakim & Urbain, Jean-Pierre, 2013. "On the implementation and use of factor-augmented regressions in panel data," Journal of Asian Economics, Elsevier, Elsevier, vol. 28(C), pages 3-11.
  574. Martijn Cremers & Jianping Mei, 2004. "Turning Over Turnover," Yale School of Management Working Papers, Yale School of Management ysm429, Yale School of Management, revised 01 May 2008.
  575. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers, Federal Reserve Bank of St. Louis 2004-027, Federal Reserve Bank of St. Louis.
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