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Citations for "A parametric estimation method for dynamic factor models of large dimensions"

by George Kapetanios & Massimiliano Marcellino

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  1. In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Research Institute for Market Economy, Sogang University, revised Dec 2011.
  2. Sandra Eickmeier & Joerg Breitung, 2006. "Business cycle transmission from the euro area to CEECs," Computing in Economics and Finance 2006 229, Society for Computational Economics.
  3. Boriss Siliverstovs & Konstantin A. Kholodilin, 2006. "On Selection of Components for a Diffusion Index Model: It's not the Size, It's How You Use It," Discussion Papers of DIW Berlin 598, DIW Berlin, German Institute for Economic Research.
  4. Anindya Banerjee & Victor Bystrov & Paul Mizen, 2010. "Interest rate pass-through in the major European economies - the role of expectations," Discussion Papers 10-07, Department of Economics, University of Birmingham.
  5. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  6. Christian Schumacher, 2011. "Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(1), pages 28-49, February.
  7. 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 gd10-156, Institute of Economic Research, Hitotsubashi University.
  8. Kapetanios, George & Marcellino, Massimiliano, 2010. "Factor-GMM Estimation with Large Sets of Possibly Weak Instruments," CEPR Discussion Papers 7726, C.E.P.R. Discussion Papers.
  9. Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2010. "New Eurocoin: Tracking Economic Growth in Real Time," The Review of Economics and Statistics, MIT Press, vol. 92(4), pages 1024-1034, November.
  10. Hofmann, Boris, 2008. "Do monetary indicators lead euro area inflation?," Working Paper Series 0867, European Central Bank.
  11. Marcellino, Massimiliano & Schumacher, Christian, 2008. "Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP," CEPR Discussion Papers 6708, C.E.P.R. Discussion Papers.
  12. In Choi, 2007. "Efficient Estimation of Factor Models," Working Papers 0701, Research Institute for Market Economy, Sogang University, revised Dec 2010.
  13. Rangan Gupta & Alan Kabundi & Stephen M. Miller, 2010. "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.
  14. Konstantin A. Kholodilin & Boriss Siliverstovs, 2005. "On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence," Discussion Papers of DIW Berlin 522, DIW Berlin, German Institute for Economic Research.
  15. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: An application to German GDP," CEPR Discussion Papers 7197, C.E.P.R. Discussion Papers.
  16. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank, Research Centre.
  17. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
  18. Oliver Hülsewig & Johannes Mayr & Timo Wollmershäuser, 2008. "Forecasting Euro Area Real GDP: Optimal Pooling of Information," CESifo Working Paper Series 2371, CESifo Group Munich.
  19. repec:dgr:uvatin:2012042 is not listed on IDEAS
  20. GUO-FITOUSSI, Liang, 2013. "A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets," MPRA Paper 50005, University Library of Munich, Germany.
  21. repec:dgr:uvatin:20120042 is not listed on IDEAS
  22. 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.
  23. Jungbacker, B. & Koopman, S.J. & van der Wel, M., 2011. "Maximum likelihood estimation for dynamic factor models with missing data," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1358-1368, August.
  24. Eliana González, . "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia 643, Banco de la Republica de Colombia.
  25. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," Economics Working Papers ECO2008/17, European University Institute.
  26. Camba-Méndez, Gonzalo & Kapetanios, George, 2004. "Forecasting euro area inflation using dynamic factor measures of underlying inflation," Working Paper Series 0402, European Central Bank.
  27. Gupta, Rangan & Kabundi, Alain, 2011. "A large factor model for forecasting macroeconomic variables in South Africa," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1076-1088, October.
  28. In Choi, 2011. "Efficient Estimation of Nonstationary Factor Models," Working Papers 1101, Research Institute for Market Economy, Sogang University, revised Jun 2011.
  29. Alain Kabundi & Francisco Nadal De Simone, 2011. "France in the global economy: a structural approximate dynamic factor model analysis," Empirical Economics, Springer, vol. 41(2), pages 311-342, October.
  30. Eliana González, 2011. "Forecasting With Many Predictors. An Empirical Comparison," BORRADORES DE ECONOMIA 007996, BANCO DE LA REPÚBLICA.
  31. repec:dgr:uvatin:2009010 is not listed on IDEAS
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