The generalised dynamic factor model: consistency and rates
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|Date of creation:||Apr 2004|
|Publication status:||Published in: Journal of Econometrics (2004) v.119 n° 2,p.231-255|
|Contact details of provider:|| Postal: CP135, 50, avenue F.D. Roosevelt, 1050 Bruxelles|
Web page: http://difusion.ulb.ac.be
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- Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-162, April.
- Jushan Bai & Serena Ng, 2000.
"Determining the Number of Factors in Approximate Factor Models,"
Boston College Working Papers in Economics
440, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
- Forni, Mario, et al, 2001.
"Coincident and Leading Indicators for the Euro Area,"
Royal Economic Society, vol. 111(471), pages C62-85, May.
- Lucrezia Reichlin & Mario Forni & Marc Hallin & Marco Lippi, 2001. "Coincident and leading indicators for the Euro area," ULB Institutional Repository 2013/10137, ULB -- Universite Libre de Bruxelles.
- Forni, Mario & Lippi, Marco, 2001.
"The Generalized Dynamic Factor Model: Representation Theory,"
Cambridge University Press, vol. 17(06), pages 1113-1141, December.
- Forni, Mario & Lippi, Marco, 2000. "The Generalized Dynamic Factor Model: Representation Theory," CEPR Discussion Papers 2509, C.E.P.R. Discussion Papers.
- Granger, Clive W. J., 2001. "Macroeconometrics - Past and future," Journal of Econometrics, Elsevier, vol. 100(1), pages 17-19, January.
- Danny Quah & Thomas J. Sargent, 1993.
"A Dynamic Index Model for Large Cross Sections,"
in: Business Cycles, Indicators and Forecasting, pages 285-310
National Bureau of Economic Research, Inc.
- Danny Quah & Thomas J. Sargent, 1993. "A Dynamic Index Model for Large Cross Sections," CEP Discussion Papers dp0132, Centre for Economic Performance, LSE.
- Danny Quah & Thomas J. Sargent, 1992. "A dynamic index model for large cross sections," Discussion Paper / Institute for Empirical Macroeconomics 77, Federal Reserve Bank of Minneapolis.
- Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
- Connor, Gregory & Korajczyk, Robert A., 1986. "Performance measurement with the arbitrage pricing theory : A new framework for analysis," Journal of Financial Economics, Elsevier, vol. 15(3), pages 373-394, March.
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