Dynamic factor models with jagged edge panel data: Taking on board the dynamics of the idiosyncratic components
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- Maximiano Pinheiro & António Rua & Francisco Dias, 2013. "Dynamic Factor Models with Jagged Edge Panel Data: Taking on Board the Dynamics of the Idiosyncratic Components," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(1), pages 80-102, February.
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- repec:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1158-5 is not listed on IDEAS
- repec:eme:aecozz:s0731-905320150000035010 is not listed on IDEAS
- António Rua, 2016. "A wavelet-based multivariate multiscale approach for forecasting," Working Papers w201612, Banco de Portugal, Economics and Research Department.
- repec:eee:intfor:v:33:y:2017:i:3:p:581-590 is not listed on IDEAS
- Alvarez, Rocio & Camacho, Maximo & Perez-Quiros, Gabriel, 2016. "Aggregate versus disaggregate information in dynamic factor models," International Journal of Forecasting, Elsevier, vol. 32(3), pages 680-694.
- 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.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2017.
"Determining the number of factors after stationary univariate transformations,"
Springer, vol. 53(1), pages 351-372, August.
- Corona, Francisco & Poncela, Maria Pilar & Ruiz, Esther, 2016. "Determining the number of factors after stationary univariate transformations," DES - Working Papers. Statistics and Econometrics. WS ws1602, Universidad Carlos III de Madrid. Departamento de Estadística.
- Pilar Poncela & Esther Ruiz, 2016.
"Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment,"
Advances in Econometrics,in: Dynamic Factor Models, volume 35, pages 401-434
Emerald Publishing Ltd.
- Ruiz, Esther & Poncela, Pilar, 2015. "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS ws1502, Universidad Carlos III de Madrid. Departamento de Estadística.
- Dias, Francisco & Pinheiro, Maximiano & Rua, António, 2015. "Forecasting Portuguese GDP with factor models: Pre- and post-crisis evidence," Economic Modelling, Elsevier, vol. 44(C), pages 266-272.
More about this item
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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