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Citations for "The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting"

by Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin

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  1. Arbués, Ignacio, 2013. "Determining the MSE-optimal cross section to forecast," Journal of Econometrics, Elsevier, vol. 175(2), pages 61-70.
  2. Nii Ayi Armah & Norman Swanson, 2010. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 476-510.
  3. João Valle e Azevedo & Ana Pereira, 2008. "Approximating and Forecasting Macroeconomic Signals in Real-Time," Working Papers w200819, Banco de Portugal, Economics and Research Department.
  4. Sonali Jain-Chandra & D. Filiz Unsal, 2012. "The Effectiveness of Monetary Policy Transmission Under Capital Inflows: Evidence from Asia," IMF Working Papers 12/265, International Monetary Fund.
  5. Andrea Carriero & Massimiliano Marcellino, 2007. "Sectoral Survey-based Confidence Indicators for Europe," Working Papers 320, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  6. Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series 2011/24, Center for Financial Studies (CFS).
  7. Bontempi, Maria Elena & Mammi, Irene, 2012. "A strategy to reduce the count of moment conditions in panel data GMM," MPRA Paper 40720, University Library of Munich, Germany.
  8. Banbura, 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, vol. 27(2), pages 333-346, April.
  9. 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, vol. 29(1), pages 1-12.
  10. Amstad, Marlene & Fischer, Andreas M., 2010. "Monthly pass-through ratios," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1202-1213, July.
  11. Maximo Camacho & Gabriel Perez-Quiros, 2004. "Are European business cycles close enough to be just one?," Computing in Economics and Finance 2004 16, Society for Computational Economics.
  12. 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.
  13. Choi, In, 2012. "Efficient Estimation Of Factor Models," Econometric Theory, Cambridge University Press, vol. 28(02), pages 274-308, April.
  14. 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, vol. 164(1), pages 188-205, September.
  15. Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working Papers 1106, University of Nevada, Las Vegas , Department of Economics.
  16. Shibamoto, Masahiko, 2008. "The estimation of monetary policy reaction function in a data-rich environment: The case of Japan," Japan and the World Economy, Elsevier, vol. 20(4), pages 497-520, December.
  17. Igor Masten & Massimiliano Marcellino & Anindya Banerjeey, 2009. "Forecasting with Factor-augmented Error Correction Models," RSCAS Working Papers 2009/32, European University Institute.
  18. 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.
  19. Eliana González, 2011. "Forecasting With Many Predictors. An Empirical Comparison," BORRADORES DE ECONOMIA 007996, BANCO DE LA REPÚBLICA.
  20. Eliana González, . "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 604, Banco de la Republica de Colombia.
  21. Knut Are Aastveit & Tørres G. Trovik, 2008. "Nowcasting Norwegian GDP: The role of asset prices in a small open economy," Working Paper 2007/09, Norges Bank.
  22. Marc Hallin & Mario Forni & Marco Lippi & Lucrezia Reichlin, 2003. "Do financial variables help forecasting inflation and real activity in the Euro area ?," ULB Institutional Repository 2013/2123, ULB -- Universite Libre de Bruxelles.
  23. 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.
  24. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," Research Technical Papers 07/RT/12, Central Bank of Ireland.
  25. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Working Papers 07-8, Bank of Canada.
  26. Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, vol. 29(6), pages 2174-2182.
  27. 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.
  28. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia.
  29. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 535, Barcelona Graduate School of Economics.
  30. Riccardo Cristadoro & Fabrizio Venditti & Giuseppe Saporito, 2008. "Forecasting inflation and tracking monetary policy in the euro area: does national information help?," Temi di discussione (Economic working papers) 677, Bank of Italy, Economic Research and International Relations Area.
  31. Alexander Chudik & M. Hashem Pesaran, 2013. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Globalization and Monetary Policy Institute Working Paper 146, Federal Reserve Bank of Dallas.
  32. Alessandro Giovannelli, 2012. "Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies," CEIS Research Paper 255, Tor Vergata University, CEIS, revised 08 Nov 2012.
  33. Jana Eklund & Sune Karlsson, 2007. "An Embarrassment of Riches: Forecasting Using Large Panels," Economics wp34, Department of Economics, Central bank of Iceland.
  34. Forni, Mario & Gambetti, Luca, 2008. "The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach," CEPR Discussion Papers 7098, C.E.P.R. Discussion Papers.
  35. Gao, Quansheng & Hu, Chengjun, 2009. "Dynamic mortality factor model with conditional heteroskedasticity," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 410-423, December.
  36. Mojon, Benoît & Altissimo, Filippo & Zaffaroni, Paolo, 2007. "Fast micro and slow macro: can aggregation explain the persistence of inflation?," Working Paper Series 0729, European Central Bank.
  37. Cubadda, Gianluca & Guardabascio, Barbara, 2012. "A medium-N approach to macroeconomic forecasting," Economic Modelling, Elsevier, vol. 29(4), pages 1099-1105.
  38. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2008. "Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?," Journal of Econometrics, Elsevier, vol. 146(2), pages 318-328, October.
  39. Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008. "A robust criterion for determining the number of static factors in approximate factor models," Working Paper Series 0903, European Central Bank.
  40. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States," Working papers 2009-13, University of Connecticut, Department of Economics.
  41. Huyn Hak Kim & Norman R. Swanson, 2011. "Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence," Departmental Working Papers 201119, Rutgers University, Department of Economics.
  42. Katerina Arnostova & David Havrlant & Luboš Rùžièka & Peter Tóth, 2011. "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 566-583, December.
  43. Konstantins Benkovskis, 2010. "LATCOIN: Determining Medium to Long-Run Tendencies of Economic Growth in Latvia in Real Time," Working Papers 2010/01, Latvijas Banka.
  44. Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model fiscal," Working Papers 440, Barcelona Graduate School of Economics.
  45. Mario Forno & Marco Lippi & Lucrezia Reichlin & Filippo Altissimo & Antonio Bassanetti, 2003. "Eurocoin: A Real Time Coincident Indicator Of The Euro Area Business Cycle," Computing in Economics and Finance 2003 242, Society for Computational Economics.
  46. Boriss Siliverstovs & Konstantin A. Kholodilin, 2012. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 232(4), pages 429-444, July.
  47. Antonello D’ Agostino & Domenico Giannone, 2012. "Comparing Alternative Predictors Based on Large‐Panel Factor Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 306-326, 04.
  48. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
  49. Amstad, Marlene & Fischer, Andreas M, 2004. "Sequential Information Flow and Real-Time Diagnosis of Swiss Inflation: Intra-Monthly DCF Estimates for a Low-Inflation Environment," CEPR Discussion Papers 4627, C.E.P.R. Discussion Papers.
  50. 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 2005-42, Board of Governors of the Federal Reserve System (U.S.).
  51. Christian Schulz, 2007. "Forecasting economic growth for Estonia : application of common factor methodologies," Bank of Estonia Working Papers 2007-09, Bank of Estonia, revised 04 Sep 2007.
  52. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," Working Papers 334, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  53. Hahn, Elke, 2002. "Core inflation in the euro area: An application of the generalized dynamic factor model," CFS Working Paper Series 2002/11, Center for Financial Studies (CFS).
  54. Antonello D'Agostino & Kieran McQuinn & Derry O’Brien, 2012. "Nowcasting Irish GDP," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2012(2), pages 21-31.
  55. Beck, Günter W. & Hubrich, Kirstin & Marcellino, Massimiliano, 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," CFS Working Paper Series 2007/01, Center for Financial Studies (CFS).
  56. Bosq, D., 2014. "Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 436-450.
  57. 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.
  58. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
  59. 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.
  60. Cecilia Frale & Stefano Grassi & Massimiliano Marcellino & Gianluigi Mazzi & Tommaso Proietti, 2013. "EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries," CEIS Research Paper 287, Tor Vergata University, CEIS, revised 01 Oct 2013.
  61. Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, vol. 163(1), pages 29-41, July.
  62. Romain Houssa, 2004. "Monetary Union in West Africa and Asymmetric Shocks: A Dynamic Structural Factor Model Approach," Development and Comp Systems 0409063, EconWPA.
  63. Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2007. "New Eurocoin: Tracking Economic Growth in Real Time," Temi di discussione (Economic working papers) 631, Bank of Italy, Economic Research and International Relations Area.
  64. G. Rünstler & K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze, 2008. "Short-Term Forecasting of GDP Using Large Monthly Datasets: A Pseudo Real-Time Forecast Evaluation Exercise," Bank of Lithuania Working Paper Series 1, Bank of Lithuania.
  65. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
  66. Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary, University of London, School of Economics and Finance.
  67. 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.
  68. 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).
  69. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers.
  70. Matteo Luciani & Libero Monteforte, 2013. "Uncertainty and heterogeneity in factor models forecasting," Temi di discussione (Economic working papers) 930, Bank of Italy, Economic Research and International Relations Area.
  71. Mattéo Luciani, 2012. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers ECARES ECARES 2012-035, ULB -- Universite Libre de Bruxelles.
  72. Ángel Cuevas & Enrique Quilis, 2012. "A factor analysis for the Spanish economy," SERIEs, Spanish Economic Association, vol. 3(3), pages 311-338, September.
  73. Daniel Grenouilleau, 2004. "A sorted leading indicators dynamic (SLID) factor model for short-run euro-area GDP forecasting," European Economy - Economic Papers 219, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
  74. Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Center for Economic Research (RECent) 008, University of Modena and Reggio E., Dept. of Economics.
  75. Norman R. Swanson & Nii Ayi Armah, 2011. "Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators," Departmental Working Papers 201115, Rutgers University, Department of Economics.
  76. repec:ipg:wpaper:19 is not listed on IDEAS
  77. Heather Anderson & Fashid Vahid, 2005. "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?," ANU Working Papers in Economics and Econometrics 2005-451, Australian National University, College of Business and Economics, School of Economics.
  78. Inoue, Atsushi & Kilian, Lutz, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers 5304, C.E.P.R. Discussion Papers.
  79. Andrea Carriero & Massimiliano Marcellino, 2007. "Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes," Working Papers 319, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  80. Neusser, Klaus, 2008. "Interdependencies of US manufacturing sectoral TFPs: A spatial VAR approach," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 991-1004, September.
  81. Eliana González, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," BORRADORES DE ECONOMIA 007015, BANCO DE LA REPÚBLICA.
  82. Forni, Mario & Gambetti, Luca, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," CEPR Discussion Papers 7692, C.E.P.R. Discussion Papers.
  83. Robert Lehmann & Klaus Wohlrabe, 2013. "Forecasting gross value-added at the regional level: Are sectoral disaggregated predictions superior to direct ones?," Ifo Working Paper Series Ifo Working Paper No. 171, Ifo Institute for Economic Research at the University of Munich.
  84. Lasse Bork & Hans Dewachter & Romain Houssa, 2009. "Identification of Macroeconomic Factors in Large Panels," CREATES Research Papers 2009-43, School of Economics and Management, University of Aarhus.
  85. Jan J. J. Groen & George Kapetanios, 2008. "Revisiting useful approaches to data-rich macroeconomic forecasting," Staff Reports 327, Federal Reserve Bank of New York.
  86. Liebermann, Joelle, 2011. "Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters," Research Technical Papers 3/RT/11, Central Bank of Ireland.
  87. Luciani, Matteo, 2014. "Forecasting with approximate dynamic factor models: The role of non-pervasive shocks," International Journal of Forecasting, Elsevier, vol. 30(1), pages 20-29.
  88. Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.
  89. Cimadomo, Jacopo & Bénassy-Quéré, Agnès, 2012. "Changing patterns of fiscal policy multipliers in Germany, the UK and the US," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 845-873.
  90. Chua, Chew Lian & Tsiaplias, Sarantis, 2011. "Predicting economic contractions and expansions with the aid of professional forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 438-451.
  91. Viktors Ajevskis & Gundars Davidsons, 2008. "Dynamic Factor Models in Forecasting Latvia's Gross Domestic Product," Working Papers 2008/02, Latvijas Banka.
  92. Ard Reijer, 2013. "Forecasting Dutch GDP and inflation using alternative factor model specifications based on large and small datasets," Empirical Economics, Springer, vol. 44(2), pages 435-453, April.
  93. M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2010. "Variable Selection, Estimation and Inference for Multi-period Forecasting Problems," DNB Working Papers 250, Netherlands Central Bank, Research Department.
  94. Carlo A. Favero & Linlin Niu & Luca Sala, 2012. "Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(2), pages 124-156, 03.
  95. Christophe Van Nieuwenhuyze, 2006. "A generalised dynamic factor model for the Belgian economy - Useful business cycle indicators and GDP growth forecasts," Working Paper Research 80, National Bank of Belgium.
  96. Riccardo Cristadoro & Mario Forni & Lucrezia Reichlin & Giovanni Veronese, 2001. "A core inflation index for the euro area," Temi di discussione (Economic working papers) 435, Bank of Italy, Economic Research and International Relations Area.
  97. Eickmeier, Sandra, 2007. "Business cycle transmission from the US to Germany--A structural factor approach," European Economic Review, Elsevier, vol. 51(3), pages 521-551, April.
  98. Christian Schumacher & Christian Dreger, 2004. "Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 224(6), pages 731-750, November.
  99. Christian Gayer & Julien Genet, 2006. "Using factor models to construct composite indicators from BCS data - a comparison with European Commission confidence indicators," European Economy - Economic Papers 240, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
  100. Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2011. "Modeling frailty-correlated defaults using many macroeconomic covariates," Journal of Econometrics, Elsevier, vol. 162(2), pages 312-325, June.
  101. Forni, Mario & Lippi, Marco, 2011. "The general dynamic factor model: One-sided representation results," Journal of Econometrics, Elsevier, vol. 163(1), pages 23-28, July.
  102. Sonali Das & Rangan Gupta & Alain Kabundi, 2008. "Could We Have Predicted The Recent Downturn In The South African Housing Market?," Working Papers 200831, University of Pretoria, Department of Economics.
  103. In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Research Institute for Market Economy, Sogang University, revised Dec 2011.
  104. Bellégo, C. & Ferrara, L., 2012. "Macro-financial linkages and business cycles: A factor-augmented probit approach," Economic Modelling, Elsevier, vol. 29(5), pages 1793-1797.
  105. 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.
  106. J.-P. Bouchaud & L. Laloux & M. A. Miceli & M. Potters, 2007. "Large dimension forecasting models and random singular value spectra," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 55(2), pages 201-207, 01.
  107. Branimir Jovanovic & Magdalena Petrovska, 2010. "Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting," Working Papers 2010-02, National Bank of the Republic of Macedonia, revised Aug 2010.
  108. Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011. "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series 2011-19, Board of Governors of the Federal Reserve System (U.S.).
  109. Christian Schulz, 2008. "Forecasting economic activity for Estonia : The application of dynamic principal component analyses," Bank of Estonia Working Papers 2008-02, Bank of Estonia, revised 30 Oct 2008.
  110. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2008. "A Monthly Indicator of the Euro Area GDP," Economics Working Papers ECO2008/32, European University Institute.
  111. Roberto Golinelli & Giuseppe Parigi, 2013. "Tracking world trade and GDP in real time," Temi di discussione (Economic working papers) 920, Bank of Italy, Economic Research and International Relations Area.
  112. Hendry, David F. & Hubrich, Kirstin, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 0589, European Central Bank.
  113. Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas, 2011. "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Tinbergen Institute Discussion Papers 11-042/2/DSF16, Tinbergen Institute.
  114. Ard H.J. den Reijer, 2005. "Forecasting Dutch GDP using Large Scale Factor Models," DNB Working Papers 028, Netherlands Central Bank, Research Department.
  115. Goodness C. Aye & Rangan Gupta, 2013. "Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors," Working Papers 201348, University of Pretoria, Department of Economics.
  116. Song Song & Wolfgang K. Härdle & Ya'acov Ritov, 2010. "High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model," SFB 649 Discussion Papers SFB649DP2010-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  117. Gianluca Lagana, 2004. "Measuring monetary policy in the UK: a factor augmented vector autoregressive approach," Money Macro and Finance (MMF) Research Group Conference 2004 64, Money Macro and Finance Research Group.
  118. Eliana González, . "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia 643, Banco de la Republica de Colombia.
  119. Le Pen, Yannick & Sévi, Benoît, 2011. "Macro factors in oil futures returns," Economics Papers from University Paris Dauphine 123456789/11663, Paris Dauphine University.
  120. Bovi, M., 2005. "Economic Clubs and European Commitment. Evidence from the International Business Cycles," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(2), pages 101-122.
  121. Girardin, Eric & Moussa, Zakaria, 2011. "Quantitative easing works: Lessons from the unique experience in Japan 2001–2006," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 461-495, October.
  122. Lutz Kilian & Atsushi Inoue, 2004. "Bagging Time Series Models," Econometric Society 2004 North American Summer Meetings 110, Econometric Society.
  123. Julius Stakenas, 2012. "Generating short-term forecasts of the Lithuanian GDP using factor models," Bank of Lithuania Working Paper Series 13, Bank of Lithuania.
  124. Chris Bloor & Troy Matheson, 2010. "Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand," Empirical Economics, Springer, vol. 39(2), pages 537-558, October.
  125. Matthias Burgert & Stephane Dees, 2009. "Forecasting World Trade: Direct Versus “Bottom-Up” Approaches," Open Economies Review, Springer, vol. 20(3), pages 385-402, July.
  126. 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 0894, European Central Bank.
  127. Moench, Emanuel, 2008. "Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach," Journal of Econometrics, Elsevier, vol. 146(1), pages 26-43, September.
  128. Carolina Osorio & D. Filiz Unsal & Runchana Pongsaparn, 2011. "A Quantitative Assessment of Financial Conditions in Asia," IMF Working Papers 11/170, International Monetary Fund.
  129. Amisano, Gianni & Geweke, John, 2013. "Prediction using several macroeconomic models," Working Paper Series 1537, European Central Bank.
  130. Eichler, Michael & Motta, Giovanni & von Sachs, Rainer, 2011. "Fitting dynamic factor models to non-stationary time series," Journal of Econometrics, Elsevier, vol. 163(1), pages 51-70, July.
  131. Aslanidis, Nektarios & Cipollini, Andrea, 2009. "Leading indicator properties of US high-yield credit spreads," Working Papers 2072/15810, Universitat Rovira i Virgili, Department of Economics.
  132. Falk Brauning & Siem Jan Koopman, 2012. "Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis," Tinbergen Institute Discussion Papers 12-042/4, Tinbergen Institute.
  133. Abdullah Al-Hassan, 2009. "A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle," IMF Working Papers 09/73, International Monetary Fund.
  134. Sydney C. Ludvigson & Serena Ng, 2009. "A Factor Analysis of Bond Risk Premia," NBER Working Papers 15188, National Bureau of Economic Research, Inc.
  135. Rangan Gupta & Alan Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 1001, University of Nevada, Las Vegas , Department of Economics.
  136. In Choi, 2011. "Efficient Estimation of Nonstationary Factor Models," Working Papers 1101, Research Institute for Market Economy, Sogang University, revised Jun 2011.
  137. Ziegler, Christina & Eickmeier, Sandra, 2006. "How good are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Discussion Paper Series 1: Economic Studies 2006,42, Deutsche Bundesbank, Research Centre.
  138. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," Working Papers ECARES ECARES 2011-019, ULB -- Universite Libre de Bruxelles.
  139. Anindya Banerjee & Victor Bystrov & Paul Mizen, . "Interest rate Pass-Through in the Major European Economies - The Role of Expectations," Discussion Papers 10/03, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  140. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Working Papers ECARES 2008_012, ULB -- Universite Libre de Bruxelles.
  141. Fady Barsoum & Sandra Stankiewicz, 2013. "Forecasting GDP Growth Using Mixed-Frequency Models With Switching Regimes," Working Paper Series of the Department of Economics, University of Konstanz 2013-10, Department of Economics, University of Konstanz.
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