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Citations for "A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models"

by Catherine Doz & Domenico Giannone & Lucrezia Reichlin

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  1. Gijsbert Suren & Guilherme Moura, 2012. "Heteroskedastic Dynamic Factor Models: A Monte Carlo Study," Economics Bulletin, AccessEcon, vol. 32(4), pages 2884-2898.
  2. Gobillon, Laurent & Magnac, Thierry, 2013. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," IZA Discussion Papers 7493, Institute for the Study of Labor (IZA).
  3. Muriel Nguiffo-Boyom, 2014. "2007-2013: This is what the indicator told us ? Evaluating the performance of real-time nowcasts from a dynamic factor model," BCL working papers, Central Bank of Luxembourg 88, Central Bank of Luxembourg.
  4. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," MPRA Paper 39452, University Library of Munich, Germany.
  5. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008. "Nowcasting: The real-time informational content of macroeconomic data," Journal of Monetary Economics, Elsevier, Elsevier, vol. 55(4), pages 665-676, May.
  6. Barnett, William A. & Chauvet, Marcelle & Leiva-Leon, Danilo, 2014. "Real-Time Nowcasting Nominal GDP Under Structural Break," MPRA Paper 53699, University Library of Munich, Germany.
  7. Banbura, Marta & Rünstler, Gerhard, 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, European Central Bank 0751, European Central Bank.
  8. In Choi & Jorg Breitung, 2011. "Factor models," Working Papers, Research Institute for Market Economy, Sogang University 1121, Research Institute for Market Economy, Sogang University, revised Dec 2011.
  9. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 13-061, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 03 Sep 2013.
  10. Matteo Ciccarelli & Benoît Mojon, 2008. "Global inflation," Working Paper Series, Federal Reserve Bank of Chicago WP-08-05, Federal Reserve Bank of Chicago.
  11. Bai, Jushan & Wang, Peng, 2012. "Identification and estimation of dynamic factor models," MPRA Paper 38434, University Library of Munich, Germany.
  12. Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, Elsevier, vol. 168(2), pages 244-258.
  13. Modugno, Michele, 2011. "Nowcasting inflation using high frequency data," Working Paper Series, European Central Bank 1324, European Central Bank.
  14. Hideaki Hirata & M. Ayhan Kose & Christopher Otrok, 2013. "Regionalization vs. Globalization," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1302, Koc University-TUSIAD Economic Research Forum.
  15. 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.
  16. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  17. 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.
  18. Scott Brave & R. Andrew Butters, 2010. "Gathering insights on the forest from the trees: a new metric for financial conditions," Working Paper Series, Federal Reserve Bank of Chicago WP-2010-07, Federal Reserve Bank of Chicago.
  19. Bai, Jushan & Li, Kunpeng, 2012. "Maximum likelihood estimation and inference for approximate factor models of high dimension," MPRA Paper 42099, University Library of Munich, Germany, revised 19 Oct 2012.
  20. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 2009. "Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-39, School of Economics and Management, University of Aarhus.
  21. Modugno, Michele & Nikolaou, Kleopatra, 2009. "The forecasting power of internal yield curve linkages," Working Paper Series, European Central Bank 1044, European Central Bank.
  22. 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.
  23. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "A Review of Nonfundamentalness and Identification in Structural VAR Models," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy 2007/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  24. D'Agostino, Antonello & Surico, Paolo, 2007. "Does global liquidity help to forecast US inflation?," Research Technical Papers, Central Bank of Ireland 10/RT/07, Central Bank of Ireland.
  25. 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, Tinbergen Institute 11-042/2/DSF16, Tinbergen Institute.
  26. Mackowiak, Bartosz Adam & Moench, Emanuel & Wiederholt, Mirko, 2009. "Sectoral Price Data and Models of Price Setting," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7339, C.E.P.R. Discussion Papers.
  27. Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  28. Shinya Tanaka & Eiji Kurozumi, 2010. "Investigating Finite Sample Properties of Estimators for Approximate Factor Models When N Is Small," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd10-156, Institute of Economic Research, Hitotsubashi University.
  29. Hendry, David F & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5485, C.E.P.R. Discussion Papers.
  30. Robert Lehmann & Klaus Wohlrabe, 2014. "Forecasting gross value-added at the regional level: are sectoral disaggregated predictions superior to direct ones?," Jahrbuch für Regionalwissenschaft, Springer, Springer, vol. 34(1), pages 61-90, February.
  31. 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.
  32. James H. Stock & Mark W. Watson, 2012. "Generalized Shrinkage Methods for Forecasting Using Many Predictors," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(4), pages 481-493, June.
  33. Steffen Henzel & Malte Rengel, 2013. "Dimensions of macroeconomic uncertainty: A common factor analysis," Ifo Working Paper Series, Ifo Institute for Economic Research at the University of Munich Ifo Working Paper No. 167, Ifo Institute for Economic Research at the University of Munich.
  34. S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," NBER Working Papers 15657, National Bureau of Economic Research, Inc.
  35. 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.
  36. Emilio Espino & Julian Kozlowski & Juan M. Sánchez, 2013. "Regionalization vs. globalization," Working Papers, Federal Reserve Bank of St. Louis 2013-002, Federal Reserve Bank of St. Louis.
  37. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests For Dynamic Factor Models," Working Papers, CEMFI wp2013_1306, CEMFI.
  38. 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.
  39. Lasse BORK & Hans DEWACHTER & Romain HOUSSA, 2009. "Identification of macroeconomic factors in large panels," Center for Economic Studies - Discussion papers, Katholieke Universiteit Leuven, Centrum voor Economische Studiën ces09.18, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  40. Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2014. "Exploiting the monthly data-flow in structural forecasting," Discussion Papers, Centre for Macroeconomics (CFM) 1416, Centre for Macroeconomics (CFM).
  41. Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series, European Central Bank 1379, European Central Bank.
  42. Matteo Barigozzi & Antonio Conti & Matteo Luciani, 2012. "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 43344, London School of Economics and Political Science, LSE Library.
  43. 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.
  44. Carlos Pérez Montes, 2013. "Estimation of Regulatory Credit Risk Models," Banco de Espa�a Working Papers, Banco de Espa�a 1305, Banco de Espa�a.
  45. Ricardo Reis & Mark W. Watson, 2007. "Relative Goods' Prices, Pure Inflation, and the Phillips Correlation," NBER Working Papers 13615, National Bureau of Economic Research, Inc.
  46. Boivin, Jean & Giannoni, Marc & Stevanovic, Dalibor, 2013. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9470, C.E.P.R. Discussion Papers.
  47. Nikolaos Zirogiannis & Yorghos Tripodis, 2013. "A Generalized Dynamic Factor Model for Panel Data: Estimation with a Two-Cycle Conditional Expectation-Maximization Algorithm," Working Papers, University of Massachusetts Amherst, Department of Resource Economics 2013-1, University of Massachusetts Amherst, Department of Resource Economics.
  48. Brave, Scott & Butters, R. Andrew, 2014. "Nowcasting Using the Chicago Fed National Activity Index," Economic Perspectives, Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago, issue Q I, pages 19-37.
  49. Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00460461, HAL.
  50. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2009. "How Has the Euro Changed the Monetary Transmission Mechanism?," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 2008, Volume 23, pages 77-125 National Bureau of Economic Research, Inc.
  51. Branimir, Jovanovic & Magdalena, Petrovska, 2010. "Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting," MPRA Paper 43162, University Library of Munich, Germany.
  52. Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2010. "Nowcasting," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7883, C.E.P.R. Discussion Papers.
  53. Maximo Camacho & Gabriel Perez-Quiros, 2008. "Introducing the EURO-STING: Short Term INdicator of Euro Area Growth," Banco de Espa�a Working Papers, Banco de Espa�a 0807, Banco de Espa�a.
  54. Michele Lenza & Thomas Warmedinger, 2011. "A Factor Model for Euro-area Short-term Inflation Analysis," 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 50-62, February.
  55. Deicy J. Cristiano & Manuel D. Hernández & José David Pulido, 2012. "Pronósticos de corto plazo en tiempo real para la actividad económica colombiana," Borradores de Economia, Banco de la Republica de Colombia 724, Banco de la Republica de Colombia.
  56. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  57. Del Negro, Marco & Otrok, Christopher, 2007. "99 Luftballons: Monetary policy and the house price boom across U.S. states," Journal of Monetary Economics, Elsevier, Elsevier, vol. 54(7), pages 1962-1985, October.
  58. Angelini, Elena & Camba-Mendez, Gonzalo & Giannone, Domenico & Reichlin, Lucrezia & Rünstler, Gerhard, 2008. "Short-term Forecasts of Euro Area GDP Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6746, C.E.P.R. Discussion Papers.
  59. Scott Brave & Hesna Genay, 2011. "Federal Reserve policies and financial market conditions during the crisis," Working Paper Series, Federal Reserve Bank of Chicago WP-2011-04, Federal Reserve Bank of Chicago.
  60. Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports, Federal Reserve Bank of New York 326, Federal Reserve Bank of New York.
  61. Antipa, P. & Barhoumi, K. & Brunhes-Lesage, V. & Darné, O., 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Working papers, Banque de France 401, Banque de France.
  62. Domenico Giannone & Lucrezia Reichlin & Saverio Simonelli, 2009. "Nowcasting Euro Area Economic Activity in Real-Time: The Role of Confidence Indicator," Working Papers ECARES, ULB -- Universite Libre de Bruxelles 2009_021, ULB -- Universite Libre de Bruxelles.
  63. Hallin, Marc & Lippi, Marco, 2013. "Factor models in high-dimensional time series—A time-domain approach," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 123(7), pages 2678-2695.
  64. repec:hal:wpaper:halshs-00849071 is not listed on IDEAS
  65. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers, Tinbergen Institute 08-007/4, Tinbergen Institute, revised 20 Mar 2014.
  66. Siem Jan Koopman & Michel van der Wel, 2011. "Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model," Tinbergen Institute Discussion Papers, Tinbergen Institute 11-063/4, Tinbergen Institute.
  67. Gregor Bäurle, 2008. "Priors from DSGE Models for Dynamic Factor Analysis," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft dp0803, Universitaet Bern, Departement Volkswirtschaft.
  68. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0000. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers, Tinbergen Institute 09-041/4, Tinbergen Institute, revised 17 Sep 2010.
  69. 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.
  70. Jan J. J. Groen & George Kapetanios, 2009. "Model selection criteria for factor-augmented regressions," Staff Reports, Federal Reserve Bank of New York 363, Federal Reserve Bank of New York.
  71. 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.
  72. Chiara Scotti, 2013. "Surprise and uncertainty indexes: real-time aggregation of real-activity macro surprises," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1093, Board of Governors of the Federal Reserve System (U.S.).
  73. Scott Brave & R. Andrew Butters, 2012. "Diagnosing the Financial System: Financial Conditions and Financial Stress," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 8(2), pages 191-239, June.
  74. 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.
  75. 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.
  76. Philip Liu & Rafael Romeu & Troy Matheson, 2011. "Real-Time Forecasts of Economic Activity for Latin American Economies," IMF Working Papers, International Monetary Fund 11/98, International Monetary Fund.
  77. Gábor Pellényi, 2012. "The Sectoral Effects of Monetary Policy in Hungary: A Structural Factor Analysis," MNB Working Papers, Magyar Nemzeti Bank (the central bank of Hungary) 2012/1, Magyar Nemzeti Bank (the central bank of Hungary).
  78. Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers, Czech National Bank, Research Department 2013/06, Czech National Bank, Research Department.
  79. 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.
  80. Matteo Barigozzi & Alessio Moneta, 2012. "Identifying the Independent Sources of Consumption Variation," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy 2012/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  81. B. Jungbacker & S.J. Koopman & M. van der Wel, 2009. "Dynamic Factor Analysis in The Presence of Missing Data," Tinbergen Institute Discussion Papers, Tinbergen Institute 09-010/4, Tinbergen Institute, revised 11 Mar 2011.
  82. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research 36-2010, ICER - International Centre for Economic Research.
  83. Bai, Jushan & Li, Kunpeng, 2010. "Theory and methods of panel data models with interactive effects," MPRA Paper 43441, University Library of Munich, Germany, revised Dec 2012.
  84. Marco Jacopo Lombardi & Feng Zhu, 2014. "A shadow policy rate to calibrate US monetary policy at the zero lower bound," BIS Working Papers, Bank for International Settlements 452, Bank for International Settlements.
  85. Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel
    [The sectoral effects of monetary policy in Hungary: a structural factor]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.