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Citations for "VARs, common factors and the empirical validation of equilibrium business cycle models"

by Domenico Giannone & Lucrezia Reichlin & Luca Sala

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  1. Özer Karagedikli & Troy Matheson & Christie Smith & Shaun Vahey, 2008. "RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence," Working Paper, Norges Bank 2008/17, Norges Bank.
  2. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 383, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  3. 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.
  4. rea cipollini & giuseppe missaglia, 2005. "Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis," Finance, EconWPA 0502010, EconWPA.
  5. Forni, Mario & Gambetti, Luca, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7692, C.E.P.R. Discussion Papers.
  6. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Working Papers ECARES, ULB -- Universite Libre de Bruxelles 2008_012, ULB -- Universite Libre de Bruxelles.
  7. Gregor Bäurle, 2008. "Priors from DSGE Models for Dynamic Factor Analysis," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft dp0803, Universitaet Bern, Departement Volkswirtschaft.
  8. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  9. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009. "Opening The Black Box: Structural Factor Models With Large Cross Sections," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(05), pages 1319-1347, October.
  10. Forni, Mario & Gambetti, Luca, 2010. "The dynamic effects of monetary policy: A structural factor model approach," Journal of Monetary Economics, Elsevier, Elsevier, vol. 57(2), pages 203-216, March.
  11. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles 2009_023, ULB -- Universite Libre de Bruxelles.
  12. Dupaigne, Martial & Fève, Patrick & Matheron, Julien, 2005. "Technology Shocks and Employment: Do We Really Need DSGE Models with a Fall in Hours?," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 349, Institut d'Économie Industrielle (IDEI), Toulouse.
  13. Francisco Craveiro Dias & Maximiano Pinheiro & António Rua, 2008. "Determining the number of factors in approximate factor models with global and group-specific factors," Working Papers, Banco de Portugal, Economics and Research Department w200809, Banco de Portugal, Economics and Research Department.
  14. Forni, Mario & Lippi, Marco & Reichlin, Lucrezia, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4133, C.E.P.R. Discussion Papers.
  15. Darvas, Zsolt & Szapáry, György, 2004. "Konjunktúraciklusok együttmozgása a régi és új EU-tagországokban
    [Business cycle harmonization in new and old EU member-states]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 415-448.
  16. Fabio Canova & Filippo Ferroni, 2010. "Multiple Filtering Devices for the Estimation of Cyclical DSGE Models," Working Papers 498, Barcelona Graduate School of Economics.
  17. Zsolt Darvas & György Szapáry, 2006. "Business Cycle Synchronization in the Enlarged EU," Working Papers, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest 0604, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
  18. 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.
  19. Giancarlo Corsetti & Luca Dedola & Sylvain Leduc, 2007. "Productivity and the dollar," Working Paper Series, Federal Reserve Bank of San Francisco 2007-27, Federal Reserve Bank of San Francisco.
  20. Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, Elsevier, vol. 163(1), pages 29-41, July.
  21. Renee Fry & Adrian Pagan, 2005. "Some Issues In Using Vars For Macroeconometric Research," CAMA Working Papers 2005-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  22. Giancarlo Corsetti & Luca Dedola & Sylvain Leduc, 2006. "Productivity, External Balance and Exchange Rates: Evidence on the Transmission Mechanism Among G7 Countries," NBER Working Papers 12483, National Bureau of Economic Research, Inc.
  23. Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius, 2012. "Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3134-3152.
  24. 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.