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The Generalized Dynamic Factor Model: Identification and Estimation

Citations

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Cited by:

  1. Serati, Massimiliano & Manera, Matteo & Plotegher, Michele, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," International Energy Markets Working Papers 44426, Fondazione Eni Enrico Mattei (FEEM).
  2. repec:rza:wpaper:085 is not listed on IDEAS
  3. Corielli, Francesco & Marcellino, Massimiliano, 2006. "Factor based index tracking," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2215-2233, August.
  4. Necati Tekatli, 2010. "A Bayesian Generalized Factor Model with Comparative Analysis (Genellestirilmis Faktor Modellerinin Bayesyen Yaklasimi ve Karsilastirmali Analizi)," Working Papers 1018, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  5. Thierry Aimar & Francis Bismans & Claude Diebolt, 2010. "Le cycle économique : une synthèse," Revue Française d'Économie, Programme National Persée, vol. 24(4), pages 3-65.
  6. Oguzhan Cepni & I. Ethem Guney & Norman R. Swanson, 2020. "Forecasting and nowcasting emerging market GDP growth rates: The role of latent global economic policy uncertainty and macroeconomic data surprise factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 18-36, January.
  7. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2021. "Modelling non-stationary ‘Big Data’," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1556-1575.
  8. Monteforte, Libero, 2007. "Aggregation bias in macro models: Does it matter for the euro area?," Economic Modelling, Elsevier, vol. 24(2), pages 236-261, March.
  9. Michele Ca' Zorzi & Alexander Chudik & Alistair Dieppe, 2012. "The perils of aggregating foreign variables in panel data models," Globalization Institute Working Papers 111, Federal Reserve Bank of Dallas.
  10. Haroon Mumtaz & Paolo Surico, 2006. "Inflation Globalization and the Fall of Country Specific Fluctuations," Computing in Economics and Finance 2006 166, Society for Computational Economics.
  11. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Papers 2013:17, Department of Economics, University of Venice "Ca' Foscari", revised 2014.
  12. Aramayis Dallakyan, 2021. "Nonparanormal Structural VAR for Non-Gaussian Data," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1093-1113, April.
  13. Lupu, Radu & Călin, Adrian Cantemir & Dumitrescu, Dan Gabriel & Lupu, Iulia, 2025. "Introducing a novel fragility index for assessing financial stability amid asset bubble episodes," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
  14. Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2015. "Robust approaches to forecasting," International Journal of Forecasting, Elsevier, vol. 31(1), pages 99-112.
  15. Javier Emmanuel Anguiano Pita & Antonio Ruiz Porras, 2020. "Market dynamics and integration of the financial markets of the NAFTA countries," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 92, pages 67-100, Enero-Jun.
  16. Canova, Fabio, 2002. "G-7 Inflation forecasts," Working Paper Series 151, European Central Bank.
  17. Mario Forni & Luca Gambetti & Luca Sala, 2014. "No News in Business Cycles," Economic Journal, Royal Economic Society, vol. 124(581), pages 1168-1191, December.
  18. Yuefeng Han & Dan Yang & Cun-Hui Zhang & Rong Chen, 2021. "CP Factor Model for Dynamic Tensors," Papers 2110.15517, arXiv.org, revised Apr 2024.
  19. Christian Macaro & Raquel Prado, 2014. "Spectral Decompositions of Multiple Time Series: A Bayesian Non-parametric Approach," Psychometrika, Springer;The Psychometric Society, vol. 79(1), pages 105-129, January.
  20. Antonio Pacifico, 2019. "Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems," Econometrics, MDPI, vol. 7(1), pages 1-24, March.
  21. Efthymios G. Tsionas, 2014. "On modeling banking risk," Working Papers 183, Bank of Greece.
  22. Philip Liu & Rafael Romeu, 2011. "A Dynamic Factor Model of Quarterly Real Gross Domestic Product Growth in the Caribbean: The Case of Cuba and the Bahamas," Money Affairs, CEMLA, vol. 0(1), pages 77-95, January-J.
  23. Joseph P. Byrne & Fatima Kaneez & Alexandros Kontonikas, 2010. "Inflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility," Working Papers 2010_09, Business School - Economics, University of Glasgow.
  24. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
  25. Doko Tchatoka, Firmin & Groshenny, Nicolas & Haque, Qazi & Weder, Mark, 2017. "Monetary policy and indeterminacy after the 2001 slump," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 83-95.
  26. Eickmeier, Sandra & Ng, Tim, 2011. "Forecasting national activity using lots of international predictors: An application to New Zealand," International Journal of Forecasting, Elsevier, vol. 27(2), pages 496-511, April.
  27. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute.
  28. Egon Smeral & Michael Wüger, 2004. "Does Complexity Matter? Methods for Improving Forecasting Accuracy in Tourism," WIFO Working Papers 225, WIFO.
  29. Aye, Goodness C. & Balcilar, Mehmet & Gupta, Rangan & Majumdar, Anandamayee, 2015. "Forecasting aggregate retail sales: The case of South Africa," International Journal of Production Economics, Elsevier, vol. 160(C), pages 66-79.
  30. repec:ebl:ecbull:v:12:y:2008:i:35:p:1-8 is not listed on IDEAS
  31. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
  32. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
  33. Fulvio Pegoraro & Siegel, A. F. & Luca Tiozzo Pezzoli, 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
  34. Bekiros Stelios & Paccagnini Alessia, 2015. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 107-136, April.
  35. Marek Chudý & Erhard Reschenhofer, 2019. "Macroeconomic Forecasting with Factor-Augmented Adjusted Band Regression," Econometrics, MDPI, vol. 7(4), pages 1-14, December.
  36. Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2022. "A Suggestion For A Dynamic Multifactor Model (Dmfm)," Macroeconomic Dynamics, Cambridge University Press, vol. 26(6), pages 1423-1443, September.
  37. Heaton, Chris & Oslington, Paul, 2010. "Micro vs macro explanations of post-war US unemployment movements," Economics Letters, Elsevier, vol. 106(2), pages 87-91, February.
  38. António Rua, 2002. "Composite Indicators for the Euro Area Economic Activity," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  39. N. Kundan Kishor & Salome Giorgadze, 2022. "Business cycle synchronization in the CIS region," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 30(1), pages 135-158, January.
  40. Niu, Linlin & Xu, Xiu & Chen, Ying, 2017. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," Economic Modelling, Elsevier, vol. 66(C), pages 201-213.
  41. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  42. Jörg Breitung & In Choi, 2013. "Factor models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 11, pages 249-265, Edward Elgar Publishing.
    • In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Dec 2011.
  43. Martyna Marczak & Víctor Gómez, 2017. "Monthly US business cycle indicators: a new multivariate approach based on a band-pass filter," Empirical Economics, Springer, vol. 52(4), pages 1379-1408, June.
  44. Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004. "Testing for a unit root in panels with dynamic factors," Journal of Econometrics, Elsevier, vol. 122(1), pages 81-126, September.
  45. Poghosyan, K., 2012. "Structural and reduced-form modeling and forecasting with application to Armenia," Other publications TiSEM ad1a24c3-15e6-4f04-b338-3, Tilburg University, School of Economics and Management.
  46. Forni, Mario & Cavicchioli, Maddalena & Lippi, Marco & Zaffaroni, Paolo, 2016. "Eigenvalue Ratio Estimators for the Number of Common Factors," CEPR Discussion Papers 11440, Centre for Economic Policy Research.
  47. Caruso, Alberto, 2018. "Nowcasting with the help of foreign indicators: The case of Mexico," Economic Modelling, Elsevier, vol. 69(C), pages 160-168.
  48. Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
  49. Heij, C. & Groenen, P.J.F. & van Dijk, D.J.C., 2006. "Time series forecasting by principal covariate regression," Econometric Institute Research Papers EI 2006-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  50. Bai, Jushan & Wang, Peng, 2012. "Identification and estimation of dynamic factor models," MPRA Paper 38434, University Library of Munich, Germany.
  51. George Kapetanios, 2002. "Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting," Working Papers 466, Queen Mary University of London, School of Economics and Finance.
  52. Troy D. Matheson, 2006. "Factor Model Forecasts for New Zealand," International Journal of Central Banking, International Journal of Central Banking, vol. 2(2), May.
  53. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES 2009_023, ULB -- Universite Libre de Bruxelles.
  54. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
  55. Liebl, Dominik, 2010. "Estimation of the Semiparametric Factor Model: Application to Modelling Time Series of Electricity Spot Prices," MPRA Paper 26800, University Library of Munich, Germany.
  56. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
  57. Antonello D'Agostino & Domenico Giannone & Paolo Surico, 2005. "(Un)Predictability and Macroeconomic Stability," Macroeconomics 0510024, University Library of Munich, Germany.
  58. Beyer, Andreas & Farmer, Roger E. A. & Henry, Jérôme & Marcellino, Massimiliano, 2005. "Factor analysis in a New-Keynesian model," Working Paper Series 510, European Central Bank.
  59. Zsolt Darvas & György Szapáry, 2004. "Business Cycle Synchronisation in the Enlarged EU: Comovements in the New and Old Members," MNB Working Papers 2004/1, Magyar Nemzeti Bank (Central Bank of Hungary).
  60. Adnan Khaliq, 2019. "The Impact of Public Health Policy on Labor Force Participation in Paksitan: A Bound Test Approuch," Journal of Social Science Studies, Macrothink Institute, vol. 6(2), pages 135-166, December.
  61. 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.
  62. Christian Genest, 2024. "A Conversation With Marc Hallin," International Statistical Review, International Statistical Institute, vol. 92(2), pages 137-159, August.
  63. André Nunes Maranhão, 2024. "Brazilian Business Cycle Analysis in a High-Dimensional and Time-Irregular Span Context," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 20(1), pages 1-58, August.
  64. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016. "Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1352-1370, November.
  65. Fabio Araujo & Joao Victor Issler, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Computing in Economics and Finance 2005 202, Society for Computational Economics.
  66. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
  67. Marek Jarociński & Bartosz Maćkowiak, 2017. "Granger Causal Priority and Choice of Variables in Vector Autoregressions," The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 319-329, May.
  68. Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T., 2011. "Panels with non-stationary multifactor error structures," Journal of Econometrics, Elsevier, vol. 160(2), pages 326-348, February.
  69. Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
  70. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2025. "Informing DSGE Models Through Dynamic Factor Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(5), pages 487-507, August.
  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 0802, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
  72. Donato Ceci & Andrea Silvestrini, 2023. "Nowcasting the state of the Italian economy: The role of financial markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1569-1593, November.
  73. 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.
  74. Ignacio Arbués, 2008. "An Extended Portmanteau Test for VARMA Models With Mixing Nonlinear Constraints," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 741-761, September.
  75. Hansson, Jesper & Jansson, Per & Löf, Mårten, 2003. "Business Survey Data: Do They Help in Forecasting the Macro Economy?," Working Papers 84, National Institute of Economic Research.
  76. Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2016. "Exponent of Cross‐Sectional Dependence: Estimation and Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 929-960, September.
  77. Marc Hallin & Siegfried Hörmann & Marco Lippi, 2018. "Optimal dimension reduction for high-dimensional and functional time series," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 385-398, July.
  78. Donatella Baiardi & Carluccio Bianchi, 2012. "Un Indicatore per la Lombardia e per le Province di Milano e Pavia (Nuova versione)," Quaderni di Dipartimento 158, University of Pavia, Department of Economics and Quantitative Methods.
  79. Angelopoulos, Jason & Sahoo, Satya & Visvikis, Ilias D., 2020. "Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 133(C).
  80. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," Working Papers 334, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  81. Pirschel, Inske & Wolters, Maik H., 2014. "Forecasting German key macroeconomic variables using large dataset methods," Kiel Working Papers 1925, Kiel Institute for the World Economy.
  82. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
  83. 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.
  84. Marco Causi & Andrea Baldini, 2018. "Determinants Of Loan And Bad Loan Dynamics: Evidence From Italy," Departmental Working Papers of Economics - University 'Roma Tre' o232, Department of Economics - University Roma Tre.
  85. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A stochastic discount factor approach to asset pricing using panel data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 628, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  86. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2020. "Volatility forecasting using related markets’ information for the Tokyo stock exchange," Economic Modelling, Elsevier, vol. 90(C), pages 143-158.
  87. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
  88. Laurent Ferrara & Dominique Guégan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 186-199.
  89. Kurter, Zeynep O., 2024. "How macroeconomic conditions affect systemic risk in the short and long-run?," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  90. Kilian, Lutz & Inoue, Atsushi, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers 5304, Centre for Economic Policy Research.
  91. Christian Schulz, 2007. "Forecasting economic growth for Estonia : application of common factor methodologies," Bank of Estonia Working Papers 2007-09, Bank of Estonia, revised 04 Sep 2007.
  92. Jun Nagayasu, 2013. "Co-movements in real effective exchange rates: evidence from the dynamic hierarchical factor model," Working Papers 1318, University of Strathclyde Business School, Department of Economics.
  93. Carlo A. Favero, 2009. "The Econometrics of Monetary Policy: An Overview," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 16, pages 821-850, Palgrave Macmillan.
  94. Eliana Gonz�lez, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 7013, Banco de la Republica.
  95. U. Michael Bergman & Lars Jonung, 2011. "Business Cycle Synchronization In Europe: Evidence From The Scandinavian Currency Union," Manchester School, University of Manchester, vol. 79(2), pages 268-292, March.
  96. Onatski, Alexei, 2015. "Asymptotic analysis of the squared estimation error in misspecified factor models," Journal of Econometrics, Elsevier, vol. 186(2), pages 388-406.
  97. Matteo Barigozzi & Christian Brownlees, 2019. "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
  98. 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, vol. 164(1), pages 188-205, September.
  99. Borus Jungbacker & Siem Jan Koopman & Michel Wel, 2014. "Smooth Dynamic Factor Analysis With Application To The Us Term Structure Of Interest Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 65-90, January.
  100. Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2023. "Synchronization patterns in the European Union," Applied Economics, Taylor & Francis Journals, vol. 55(18), pages 2038-2059, April.
  101. Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 206(1), pages 187-225.
  102. Rodríguez-Caballero, Carlos Vladimir & Caporin, Massimiliano, 2019. "A multilevel factor approach for the analysis of CDS commonality and risk contribution," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  103. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2013. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 240-251, April.
  104. Eickmeier, Sandra & Kühnlenz, Markus, 2018. "China'S Role In Global Inflation Dynamics," Macroeconomic Dynamics, Cambridge University Press, vol. 22(2), pages 225-254, March.
  105. Emil Stavrev, 2010. "Measures of underlying inflation in the euro area: assessment and role for informing monetary policy," Empirical Economics, Springer, vol. 38(1), pages 217-239, February.
  106. S. J. Koopman & G. Mesters, 2017. "Empirical Bayes Methods for Dynamic Factor Models," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 486-498, July.
  107. Antonio Palestrini, 2008. "Common Components in Firms' Growth and the Sectors Scaling Puzzle," Economics Bulletin, AccessEcon, vol. 12(35), pages 1-8.
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  110. Poncela, Pilar & Ruiz Ortega, Esther, 2012. "More is not always better : back to the Kalman filter in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS ws122317, Universidad Carlos III de Madrid. Departamento de Estadística.
  111. Chudik, Alexander & Fratzscher, Marcel, 2011. "Identifying the global transmission of the 2007-2009 financial crisis in a GVAR model," European Economic Review, Elsevier, vol. 55(3), pages 325-339, April.
  112. Mestekemper, Thomas & Kauermann, Göran & Smith, Michael S., 2013. "A comparison of periodic autoregressive and dynamic factor models in intraday energy demand forecasting," International Journal of Forecasting, Elsevier, vol. 29(1), pages 1-12.
  113. Yury Achkasov, 2016. "Nowcasting of the Russian GDP Using the Current Statistics: Approach Modification," Bank of Russia Working Paper Series wps8, Bank of Russia.
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  115. Hendry, David F. & Hubrich, Kirstin, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 216-227.
  116. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1120-1154, December.
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  118. Samuele Centorrino & Antonia Diakantoni & Alexander Keck & Michele Ruta & Monika Sztajerowska & Yuting Wei, 2025. "Measuring Global Trade Policy Activity," IMF Working Papers 2025/220, International Monetary Fund.
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  123. Rozite, Kristiana & Bezemer, Dirk J. & Jacobs, Jan P.A.M., 2019. "Towards a financial cycle for the U.S., 1973–2014," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  124. Stock, James H. & Watson, Mark, 2011. "Dynamic Factor Models," Scholarly Articles 28469541, Harvard University Department of Economics.
  125. Matteo Barigozzi & Marc Hallin, 2026. "The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 47(1), pages 201-219, January.
  126. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
  127. Christian Mücher & Giorgio Calzolari & Roxana Halbleib, 2026. "Sequential estimation of multivariate factor stochastic volatility models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 110(1), pages 41-63, March.
  128. Tibor Szendrei & Katalin Varga, 2020. "FISS - A Factor-based Index of Systemic Stress in the Financial System," Russian Journal of Money and Finance, Bank of Russia, vol. 79(1), pages 3-34, March.
  129. Kai Carstensen & Steffen Henzel & Johannes Mayr & Klaus Wohlrabe, 2009. "IFOCAST: Methoden der ifo-Kurzfristprognose," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 62(23), pages 15-28, December.
  130. James H. Stock & Mark W. Watson, 2005. "Understanding Changes In International Business Cycle Dynamics," Journal of the European Economic Association, MIT Press, vol. 3(5), pages 968-1006, September.
  131. Vasilis Sarafidis & Tom Wansbeek, 2012. "Cross-Sectional Dependence in Panel Data Analysis," Econometric Reviews, Taylor & Francis Journals, vol. 31(5), pages 483-531, September.
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