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Citations for "Understanding and Comparing Factor-Based Forecasts"

by Boivin, Jean & Ng, Serena

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  1. George Kapetanios & Vincent Labhard & Simon Price, 2007. "Forecast combination and the Bank of England’s suite of statistical forecasting models," Bank of England working papers, Bank of England 323, Bank of England.
  2. Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/5111, Paris Dauphine University.
  3. Nombulelo Gumata, Alain Kabundi and Eliphas Ndou, 2013. "Important Channels of Transmission Monetary Policy Shock in South Africa," Working Papers 375, Economic Research Southern Africa.
  4. Clive G. Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," Economics Papers 2008-W05, Economics Group, Nuffield College, University of Oxford.
  5. Michael P. Clements & Ana Beatriz Galv�o, 2007. "Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth," Working Papers, Queen Mary, University of London, School of Economics and Finance 616, Queen Mary, University of London, School of Economics and Finance.
  6. Huyn Hak Kim & Norman R. Swanson, 2011. "Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence," Departmental Working Papers, Rutgers University, Department of Economics 201119, Rutgers University, Department of Economics.
  7. Matteo Luciani & Libero Monteforte, 2013. "Uncertainty and heterogeneity in factor models forecasting," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 930, Bank of Italy, Economic Research and International Relations Area.
  8. Domenico Giannone & Lucrezia Reichlin & David Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2005-42, Board of Governors of the Federal Reserve System (U.S.).
  9. Marcellino, Massimiliano & Schumacher, Christian, 2007. "Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP," Discussion Paper Series 1: Economic Studies 2007,34, Deutsche Bundesbank, Research Centre.
  10. Riccardo Cristadoro & Giuseppe Saporito & Fabrizio Venditti, 2013. "Forecasting inflation and tracking monetary policy in the euro area: does national information help?," Empirical Economics, Springer, Springer, vol. 44(3), pages 1065-1086, June.
  11. Rangan Gupta & Alain Kabundi, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
  12. D’Agostino, Antonello & Giannone, Domenico & Surico, Paolo, 2006. "(Un)Predictability and macroeconomic stability," Working Paper Series, European Central Bank 0605, European Central Bank.
  13. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Working Papers, Bank of Canada 07-8, Bank of Canada.
  14. 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.
  15. Breitung, Jörg & Eickmeier, Sandra, 2005. "Dynamic factor models," Discussion Paper Series 1: Economic Studies 2005,38, Deutsche Bundesbank, Research Centre.
  16. Boivin, Jean & Giannoni, Marc & Mihov, Ilian, 2007. "Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6101, C.E.P.R. Discussion Papers.
  17. Le Pen, Yannick & Sévi, Benoît, 2010. "Revisiting the excess co-movements of commodity prices in a data-rich environment," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/6800, Paris Dauphine University.
  18. Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working papers, University of Connecticut, Department of Economics 2011-02, University of Connecticut, Department of Economics, revised Aug 2012.
  19. Irma Hindrayanto & Siem Jan Koopman & Jasper de Winter, 2014. "Nowcasting and forecasting economic growth in the euro area using principal components," DNB Working Papers, Netherlands Central Bank, Research Department 415, Netherlands Central Bank, Research Department.
  20. Liu, Dandan & Jansen, Dennis W., 2007. "Macroeconomic forecasting using structural factor analysis," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(4), pages 655-677.
  21. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," SFB 649 Discussion Papers SFB649DP2014-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  22. Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper, Federal Reserve Bank of Kansas City RWP 06-02, Federal Reserve Bank of Kansas City.
  23. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  24. Sévi, Benoît & Le Pen, Yannick, 2013. "Futures trading and the excess comovement of commodity prices," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/11382, Paris Dauphine University.
  25. D''Agostino, Antonello & Giannone, Domenico, 2007. "Comparing Alternative Predictors Based on Large-Panel Factor Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6564, C.E.P.R. Discussion Papers.
  26. Dimitris Korompilis, 2009. "Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models," Working Papers, University of Strathclyde Business School, Department of Economics 0914, University of Strathclyde Business School, Department of Economics.
  27. Yannick Le Pen & Benoît Sévi, 2011. "Macro factors in oil futures returns," Economie Internationale, CEPII research center, CEPII research center, issue 126-127, pages 13-38.
  28. Moench, Emanuel, 2008. "Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach," Journal of Econometrics, Elsevier, Elsevier, vol. 146(1), pages 26-43, September.
  29. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
  30. 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), Bank of Italy, Economic Research and International Relations Area 631, Bank of Italy, Economic Research and International Relations Area.
  31. Bańbura, Marta & Rünstler, Gerhard, 2011. "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(2), pages 333-346.
  32. Davor Kunovac, 2007. "Factor Model Forecasting of Inflation in Croatia," Financial Theory and Practice, Institute of Public Finance, Institute of Public Finance, vol. 31(4), pages 371-393.
  33. 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, Federal Reserve Bank of St. Louis, issue May, pages 175-192.
  34. Zagaglia, Paolo, 2009. "Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model," Research Papers in Economics, Stockholm University, Department of Economics 2009:7, Stockholm University, Department of Economics.
  35. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," BORRADORES DE ECONOMIA 007015, BANCO DE LA REPÚBLICA.
  36. Eklund, Jana & Karlsson, Sune, 2007. "An Embarrassment of Riches: Forecasting Using Large Panels," Working Papers, Örebro University, School of Business 2007:1, Örebro University, School of Business.
  37. 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.
  38. Jennifer Castle & David Hendry, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
  39. Maral Shamloo, 2011. "Inflation Dynamics in FYR Macedonia," IMF Working Papers 11/287, International Monetary Fund.
  40. 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.
  41. Schumacher, Christian & Breitung, Jörg, 2008. "Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(3), pages 386-398.
  42. 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.
  43. repec:ipg:wpaper:19 is not listed on IDEAS
  44. Hofmann, Boris, 2009. "Do monetary indicators lead euro area inflation?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(7), pages 1165-1181, November.
  45. Rangan Gupta, 2012. "Forecasting House Prices for the Four Census Regions and the Aggregate US Economy: The Role of a Data-Rich Environment," Working Papers 201214, University of Pretoria, Department of Economics.
  46. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  47. 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.
  48. 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, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre 0802, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
  49. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
  50. Gupta, Rangan & Kabundi, Alain & Miller, Stephen M., 2011. "Forecasting the US real house price index: Structural and non-structural models with and without fundamentals," Economic Modelling, Elsevier, Elsevier, vol. 28(4), pages 2013-2021, July.
  51. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Annual Conference Volume, Reserve Bank of Australia, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia.
  52. Favero, Carlo A & Niu, Linlin & Sala, Luca, 2007. "Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6206, C.E.P.R. Discussion Papers.
  53. Hugo Gerard & Kristoffer Nimark, 2008. "Combining multivariate density forecasts using predictive criteria," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1117, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008.
  54. A. Girardi & R. Golinelli & C. Pappalardo, 2014. "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers wp919, Dipartimento Scienze Economiche, Universita' di Bologna.
  55. Heij, C., 2007. "Improved forecasting with leading indicators: the principal covariate index," Econometric Institute Research Papers EI 2007-23, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  56. Eliana González & Luis F. Melo & Viviana Monroy & Brayan Rojas, 2009. "A Dynamic Factor Model For The Colombian Inflation," BORRADORES DE ECONOMIA 005273, BANCO DE LA REPÚBLICA.
  57. Goodness C. Aye & Stephen M. Miller & Rangan Gupta & Mehmet Balcilar, 2013. "Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors," Working Papers 201348, University of Pretoria, Department of Economics.
  58. 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.
  59. 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.
  60. Buss, Ginters, 2010. "A note on GDP now-/forecasting with dynamic versus static factor models along a business cycle," MPRA Paper 22147, University Library of Munich, Germany.
  61. Mikael Khan & Louis Morel & Patrick Sabourin, 2013. "The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada," Working Papers, Bank of Canada 13-35, Bank of Canada.
  62. Darracq Pariès, Matthieu & Maurin, Laurent, 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, European Central Bank 0894, European Central Bank.
  63. Christian Schumacher, 2011. "Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(1), pages 28-49, February.
  64. Kihwan Kim & Norman Swanson, 2013. "Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets," Departmental Working Papers, Rutgers University, Department of Economics 201315, Rutgers University, Department of Economics.
  65. Luciani, Matteo, 2014. "Forecasting with approximate dynamic factor models: The role of non-pervasive shocks," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 20-29.
  66. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
  67. Hofmann, Boris, 2006. "Do monetary indicators (still) predict euro area inflation?," Discussion Paper Series 1: Economic Studies 2006,18, Deutsche Bundesbank, Research Centre.
  68. Mayr, Johannes, 2010. "Forecasting Macroeconomic Aggregates," Munich Dissertations in Economics, University of Munich, Department of Economics 11140, University of Munich, Department of Economics.
  69. James H. Stock & Mark W. Watson, 2008. "Phillips Curve Inflation Forecasts," NBER Working Papers 14322, National Bureau of Economic Research, Inc.
  70. Beck, Günter W. & Hubrich, Kirstin & Marcellino, Massimiliano, 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," Working Paper Series, European Central Bank 0681, European Central Bank.
  71. Mestekemper, Thomas & Kauermann, Göran & Smith, Michael S., 2013. "A comparison of periodic autoregressive and dynamic factor models in intraday energy demand forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(1), pages 1-12.
  72. Hyun Hak Kim & Norman Swanson, 2013. "Mining Big Data Using Parsimonious Factor and Shrinkage Methods," Departmental Working Papers, Rutgers University, Department of Economics 201316, Rutgers University, Department of Economics.
  73. Ibarra, Raul, 2012. "Do disaggregated CPI data improve the accuracy of inflation forecasts?," Economic Modelling, Elsevier, Elsevier, vol. 29(4), pages 1305-1313.
  74. Alessandro Giovannelli, 2012. "Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies," CEIS Research Paper, Tor Vergata University, CEIS 255, Tor Vergata University, CEIS, revised 08 Nov 2012.
  75. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," BORRADORES DE ECONOMIA 007014, BANCO DE LA REPÚBLICA.
  76. Liebermann, Joelle, 2011. "Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters," Research Technical Papers 3/RT/11, Central Bank of Ireland.
  77. Piotr Białowolski & Tomasz Kuszewski & Bartosz Witkowski, 2012. "Macroeconomic Forecasts in Models with Bayesian Averaging of Classical Estimates," Contemporary Economics, University of Finance and Management in Warsaw, University of Finance and Management in Warsaw, vol. 6(1), March.
  78. Eliana González, . "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 604, Banco de la Republica de Colombia.
  79. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "A Dynamic Factor Analysis of Business Cycle on Firm-Level Data," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy 2006/27, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  80. Knut Aastveit & Tørres Trovik, 2012. "Nowcasting norwegian GDP: the role of asset prices in a small open economy," Empirical Economics, Springer, Springer, vol. 42(1), pages 95-119, February.
  81. Julieta Fuentes & Pilar Poncela & Julio Rodríguez, 2012. "Sparse partial least squares in time series for macroeconomic forecasting," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws122216, Universidad Carlos III, Departamento de Estadística y Econometría.
  82. Christian Gillitzer & Jonathan Kearns, 2007. "Forecasting with Factors: The Accuracy of Timeliness," RBA Research Discussion Papers, Reserve Bank of Australia rdp2007-03, Reserve Bank of Australia.
  83. 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.
  84. 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.
  85. Ard Reijer, 2013. "Forecasting Dutch GDP and inflation using alternative factor model specifications based on large and small datasets," Empirical Economics, Springer, Springer, vol. 44(2), pages 435-453, April.
  86. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," BORRADORES DE ECONOMIA 007013, BANCO DE LA REPÚBLICA.
  87. Domenico Giannone & Lucrezia Reichlin & David Small, 2008. "Nowcasting: the real time informational content of macroeconomic data releases," ULB Institutional Repository 2013/6409, ULB -- Universite Libre de Bruxelles.
  88. Rotger, G.P. & Franses, Ph.H.B.F., 2006. "Forecasting high-frequency electricity demand with a diffusion index model," Econometric Institute Research Papers EI 2006-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  89. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(6), pages 1175-1188, June.
  90. 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.