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Opening The Black Box: Structural Factor Models With Large Cross Sections

Citations

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography for Economics:
  1. > Econometrics > Time Series Models > Dynamic Factor Models > Structural Factor Models

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Cited by:

  1. André, Christophe & Caraiani, Petre & Gupta, Rangan, 2023. "Fiscal policy and stock markets at the effective lower bound," Finance Research Letters, Elsevier, vol. 58(PC).
  2. Juan José Echavarría & Andrés González, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 30(69), pages 14-66, December.
  3. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008. "Nowcasting: The real-time informational content of macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 665-676, May.
  4. Mario Forni & Luca Gambetti & Luca Sala, 2016. "VAR Information and the Empirical Validation of DSGE Models," Center for Economic Research (RECent) 119, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  5. Lucia Alessi & Mark Kerssenfischer, 2019. "The response of asset prices to monetary policy shocks: Stronger than thought," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 661-672, August.
  6. Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models," Papers 1910.09841, arXiv.org.
  7. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
  8. Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, vol. 29(6), pages 2174-2182.
  9. Mario Forni & Luca Gambetti & Luca Sala, 2014. "No News in Business Cycles," Economic Journal, Royal Economic Society, vol. 124(581), pages 1168-1191, December.
  10. 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.
  11. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models," LEM Papers Series 2007/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  12. Masud Alam, 2021. "Heterogeneous Responses to the U.S. Narrative Tax Changes: Evidence from the U.S. States," Papers 2107.13678, arXiv.org.
  13. Paul Beaudry & Franck Portier, 2014. "News-Driven Business Cycles: Insights and Challenges," Journal of Economic Literature, American Economic Association, vol. 52(4), pages 993-1074, December.
  14. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2017. "Structural FECM: Cointegration in large‐scale structural FAVAR models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1069-1086, September.
  15. Nektarios A. Michail & Christos S. Savva & Demetris Koursaros, 2017. "Size Effects of Fiscal Policy and Business Confidence in the Euro Area," IJFS, MDPI, vol. 5(4), pages 1-15, November.
  16. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
  17. Kappler, Marcus & Schleer, Frauke, 2017. "A financially stressed euro area," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 11, pages 1-37.
  18. Martin Fukac & Adrian Pagan, 2006. "Issues in Adopting DSGE Models for Use in the Policy Process," Working Papers 2006/6, Czech National Bank.
  19. 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.
  20. Kerssenfischer, Mark, 2017. "The effects of US monetary policy shocks: Applying external instrument identification to a dynamic factor model," Discussion Papers 08/2017, Deutsche Bundesbank.
  21. In Choi & Hanbat Jeong, 2019. "Model selection for factor analysis: Some new criteria and performance comparisons," Econometric Reviews, Taylor & Francis Journals, vol. 38(6), pages 577-596, July.
  22. 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).
  23. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
  24. Filippo di Mauro & L. Vanessa Smith & Stephane Dees & M. Hashem Pesaran, 2007. "Exploring the international linkages of the euro area: a global VAR analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 1-38.
  25. Amendola, Adalgiso & Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni, 2020. "The euro-area government spending multiplier at the effective lower bound," European Economic Review, Elsevier, vol. 127(C).
  26. Matteo Barigozzi & Marc Hallin, 2016. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
  27. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Explaining The Great Moderation: It Is Not The Shocks," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 621-633, 04-05.
  28. Elena Deryugina & Alexey Ponomarenko & Andrey Sinyakov & Constantine Sorokin, 2018. "Evaluating underlying inflation measures for Russia," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 11(2), pages 124-145, May.
  29. Cristina Conflitti and Matteo Luciani, 2019. "Oil Price Pass-through into Core Inflation," The Energy Journal, International Association for Energy Economics, vol. 0(Number 6).
  30. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
  31. Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2014. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(5), pages 693-714, October.
  32. Forni, Mario & Cavicchioli, Maddalena & Lippi, Marco & Zaffaroni, Paolo, 2016. "Eigenvalue Ratio Estimators for the Number of Common Factors," CEPR Discussion Papers 11440, C.E.P.R. Discussion Papers.
  33. Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013. "Now-Casting and the Real-Time Data Flow," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237, Elsevier.
  34. Qin, Duo, 2008. "Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-26.
  35. Lenza Michele & Warmedinger Thomas, 2011. "A Factor Model for Euro-area Short-term Inflation Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 50-62, February.
  36. Krüger Fabian & Pohlmeier Winfried & Mokinski Frieder, 2011. "Combining Survey Forecasts and Time Series Models: The Case of the Euribor," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 63-81, February.
  37. 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.
  38. 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.
  39. Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
  40. Igan, Deniz & Kabundi, Alain & Nadal De Simone, Francisco & Pinheiro, Marcelo & Tamirisa, Natalia, 2011. "Housing, credit, and real activity cycles: Characteristics and comovement," Journal of Housing Economics, Elsevier, vol. 20(3), pages 210-231, September.
  41. Forni, Mario & Di Bonaventura, Luca & Pattarin, Francesco, 2018. "The Forcasting Performance of Dynamic Factor Models with Vintage Data," CEPR Discussion Papers 13034, C.E.P.R. Discussion Papers.
  42. 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.
  43. Filippo Pellegrino, 2021. "Factor-augmented tree ensembles," Papers 2111.14000, arXiv.org, revised Jun 2023.
  44. Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
  45. Stephen Hansen & Michael McMahon, 2016. "Shocking Language: Understanding the Macroeconomic Effects of Central Bank Communication," NBER Chapters, in: NBER International Seminar on Macroeconomics 2015, National Bureau of Economic Research, Inc.
  46. Marcellino, Massimiliano & Sivec, Vasja, 2016. "Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 335-348.
  47. Forni, Mario & Gambetti, Luca, 2011. "Testing for Sufficient Information in Structural VARs," CEPR Discussion Papers 8209, C.E.P.R. Discussion Papers.
  48. Bragoli, Daniela & Modugno, Michele, 2017. "A now-casting model for Canada: Do U.S. variables matter?," International Journal of Forecasting, Elsevier, vol. 33(4), pages 786-800.
  49. K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze & G. Rünstler, 2008. "Short-term forecasting of GDP using large monthly datasets – A pseudo real-time forecast evaluation exercise," Working Paper Research 133, National Bank of Belgium.
  50. Kakeu, Johnson & Bouaddi, Mohammed, 2017. "Empirical evidence of news about future prospects in the risk-pricing of oil assets," Energy Economics, Elsevier, vol. 64(C), pages 458-468.
  51. Paul Beaudry & Patrick Feve & Alain Guay & Franck Portier, 2019. "When is Nonfundamentalness in SVARs a Real Problem?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 221-243, October.
  52. Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023. "Band-Pass Filtering with High-Dimensional Time Series," CEIS Research Paper 559, Tor Vergata University, CEIS, revised 15 Jun 2023.
  53. Alexei Onatski & Francisco Ruge‐Murcia, 2013. "Factor Analysis Of A Large Dsge Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(6), pages 903-928, September.
  54. Gábor Pellényi, 2012. "The Sectoral Effects of Monetary Policy in Hungary: A Structural Factor Analysis," MNB Working Papers 2012/1, Magyar Nemzeti Bank (Central Bank of Hungary).
  55. Jiang, Yu & Guo, Yongji & Zhang, Yihao, 2017. "Forecasting China's GDP growth using dynamic factors and mixed-frequency data," Economic Modelling, Elsevier, vol. 66(C), pages 132-138.
  56. Mr. Maxym Kryshko, 2011. "Data-Rich DSGE and Dynamic Factor Models," IMF Working Papers 2011/216, International Monetary Fund.
  57. Lyu, Yifei & Nie, Jun & Yang, Shu-Kuei X., 2021. "Forecasting US economic growth in downturns using cross-country data," Economics Letters, Elsevier, vol. 198(C).
  58. 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.
  59. 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.
  60. Ms. Adina Popescu & Ms. Alina Carare, 2011. "Monetary Policy and Risk-Premium Shocks in Hungary: Results from a Large Bayesian VAR," IMF Working Papers 2011/259, International Monetary Fund.
  61. Bańbura, Marta & Bobeica, Elena & Martínez Hernández, Catalina, 2023. "What drives core inflation? The role of supply shocks," Working Paper Series 2875, European Central Bank.
  62. Ergemen, Yunus Emre & Haldrup, Niels & Rodríguez-Caballero, Carlos Vladimir, 2016. "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," Energy Economics, Elsevier, vol. 60(C), pages 79-96.
  63. Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1-2), pages 557-567, January.
  64. Francisco Corona & Pilar Poncela & Esther Ruiz, 2020. "Estimating Non-stationary Common Factors: Implications for Risk Sharing," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 37-60, January.
  65. Marco Lippi & Daniel L. Thornton, 2004. "A dynamic factor analysis of the response of U. S. interest rates to news," Working Papers 2004-013, Federal Reserve Bank of St. Louis.
  66. Jean Boivin & Marc P. Giannoni & Dalibor Stevanović, 2020. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 272-284, April.
  67. Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
  68. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014. "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
  69. Auer, Simone, 2019. "Monetary policy shocks and foreign investment income: Evidence from a large Bayesian VAR," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 142-166.
  70. Tommaso Proietti, 2021. "Predictability, real time estimation, and the formulation of unobserved components models," Econometric Reviews, Taylor & Francis Journals, vol. 40(5), pages 433-454, April.
  71. Matteo Luciani, 2015. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 199-218, March.
  72. 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.
  73. Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  74. James N. Blignaut & Jan H. van Heerden, 2015. "Is Water Shedding Next?," Working Papers 50, Economic Research Southern Africa.
  75. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noisy News in Business Cycles," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(4), pages 122-152, October.
  76. Bian, Zhicun & Ma, Jun & Ni, Jinlan & Stewart, Shamar, 2020. "Synchronization of regional growth dynamics in China," China Economic Review, Elsevier, vol. 61(C).
  77. Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised Dec 2023.
  78. Kirstin Hubrich & Guenter Beck & Massimiliano Marcellino, 2000. "Regional Inflation Dynamics within and across Euro Area Countries and a Comparison with the US," Regional and Urban Modeling 283600037, EcoMod.
  79. Batini, Nicoletta & Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni & Waldron, Anthony, 2022. "Building back better: How big are green spending multipliers?," Ecological Economics, Elsevier, vol. 193(C).
  80. Mario Forni & Luca Gambetti, 2010. "Fiscal Foresight and the Effects of Government Spending," UFAE and IAE Working Papers 851.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  81. Bin Chen & Jinho Choi & Juan Carlos Escanciano, 2017. "Testing for fundamental vector moving average representations," Quantitative Economics, Econometric Society, vol. 8(1), pages 149-180, March.
  82. Stock, James H. & Watson, Mark, 2011. "Dynamic Factor Models," Scholarly Articles 28469541, Harvard University Department of Economics.
  83. Stefano Neri & Tiziano Ropele, 2015. "The macroeconomic effects of the sovereign debt crisis in the euro area," Temi di discussione (Economic working papers) 1007, Bank of Italy, Economic Research and International Relations Area.
  84. Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca, 2020. "Common Component Structural VARs," CEPR Discussion Papers 15529, C.E.P.R. Discussion Papers.
  85. Reichlin, Lucrezia & Giannone, Domenico & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers 5178, C.E.P.R. Discussion Papers.
  86. 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.
  87. Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel [The sectoral effects of monetary policy in Hungary: a structural factor]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
  88. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
  89. Eickmeier, Sandra, 2007. "Business cycle transmission from the US to Germany--A structural factor approach," European Economic Review, Elsevier, vol. 51(3), pages 521-551, April.
  90. Ricco, Giovanni & Ellahie, Atif, 2012. "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper 42105, University Library of Munich, Germany.
  91. Herwartz, Helmut & Rohloff, Hannes, 2018. "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," University of Göttingen Working Papers in Economics 358, University of Goettingen, Department of Economics.
  92. Lof Matthijs, 2013. "Noncausality and asset pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 211-220, April.
  93. Domenico Giannone & Lucrezia Reichlin, 2006. "Does information help recovering structural shocks from past observations?," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 455-465, 04-05.
  94. Daniel A. Dias & João B. Duarte, 2019. "Monetary policy, housing rents, and inflation dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 673-687, August.
  95. Masud Alam, 2021. "Output, Employment, and Price Effects of U.S. Narrative Tax Changes: A Factor-Augmented Vector Autoregression Approach," Papers 2106.10844, arXiv.org.
  96. Belviso Francesco & Milani Fabio, 2006. "Structural Factor-Augmented VARs (SFAVARs) and the Effects of Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(3), pages 1-46, December.
  97. Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021. "Time-varying general dynamic factor models and the measurement of financial connectedness," Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
  98. Matteo Luciani & Madhavi Pundit & Arief Ramayandi & Giovanni Veronese, 2018. "Nowcasting Indonesia," Empirical Economics, Springer, vol. 55(2), pages 597-619, September.
  99. Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2017. "Tracking the Slowdown in Long-Run GDP Growth," The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 343-356, May.
  100. AMENDOLA, Adalgiso & DI SERIO, Mario & FRAGETTA, Matteo, 2018. "The Government Spending Multiplier at the Zero Lower Bound: Evidence from the Euro Area," CELPE Discussion Papers 153, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy.
  101. 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.
  102. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," Working Papers halshs-02235543, HAL.
  103. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2017. "Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis," Journal of Econometrics, Elsevier, vol. 199(1), pages 74-92.
  104. Mario Forni & Alessandro Giovannelli & Marco Lippi & Stefano Soccorsi, 2018. "Dynamic factor model with infinite‐dimensional factor space: Forecasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 625-642, August.
  105. Christian Schulz, 2008. "Forecasting economic activity for Estonia : The application of dynamic principal component analyses," Bank of Estonia Working Papers 2008-02, Bank of Estonia, revised 30 Oct 2008.
  106. Ouysse, Rachida, 2016. "Bayesian model averaging and principal component regression forecasts in a data rich environment," International Journal of Forecasting, Elsevier, vol. 32(3), pages 763-787.
  107. Mario Forni & Luca Gambetti & Luca Sala, 2018. "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent) 139, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  108. Elena Deryugina & Alexey Ponomarenko, 2020. "Disinflation and Reliability of Underlying Inflation Measures," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(1), pages 91-111, March.
  109. Luca Gambetti, 2010. "Fiscal Policy, Foresight and the Trade Balance in the U.S," UFAE and IAE Working Papers 852.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  110. Kapetanios, G. & Pagan, A. & Scott, A., 2007. "Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling," Journal of Econometrics, Elsevier, vol. 136(2), pages 565-594, February.
  111. Mirko Abbritti & Salvatore Dell’Erba & Antonio Moreno & Sergio Sola, 2018. "Global Factors in the Term Structure of Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 14(2), pages 301-340, March.
  112. Steffen R. Henzel & Malte Rengel, 2017. "Dimensions Of Macroeconomic Uncertainty: A Common Factor Analysis," Economic Inquiry, Western Economic Association International, vol. 55(2), pages 843-877, April.
  113. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," DSS Empirical Economics and Econometrics Working Papers Series 2011/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
  114. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, Department of Economics and Business Economics, Aarhus University.
  115. Luciana Juvenal & Ivan Petrella, 2015. "Speculation in the Oil Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 621-649, June.
  116. Alain Kabundi, 2009. "Synchronisation Between South Africa And The U.S.: A Structural Dynamic Factor Analysis," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 1-27, March.
  117. Kabundi, Alain & De Simone, Francisco Nadal, 2022. "Euro area banking and monetary policy shocks in the QE era," Journal of Financial Stability, Elsevier, vol. 63(C).
  118. repec:dgr:rugsom:12005-eef is not listed on IDEAS
  119. Antonello D’ Agostino & Domenico Giannone, 2012. "Comparing Alternative Predictors Based on Large‐Panel Factor Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 306-326, April.
  120. Manganelli, Simone & Wolswijk, Guido, 2007. "Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?," Working Paper Series 745, European Central Bank.
  121. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2008. "Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?," Journal of Econometrics, Elsevier, vol. 146(2), pages 318-328, October.
  122. Giacomo De Giorgi & Luca Gambetti, 2017. "Business Cycle Fluctuations and the Distribution of Consumption," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 23, pages 19-41, January.
  123. Davide Brignone & Alessandro Franconi & Marco Mazzali, 2023. "Robust Impulse Responses using External Instruments: the Role of Information," Papers 2307.06145, arXiv.org.
  124. Marco M. Sorge, 2013. "On the Fundamentalness of Nonfundamentalness in DSGE Models," CSEF Working Papers 340, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  125. Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni, 2021. "The impact of r-g on Euro-Area government spending multipliers," Journal of International Money and Finance, Elsevier, vol. 119(C).
  126. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas Quising, 2006. "Forecasting Inflation and GDP growth: Comparison of Automatic Leading Indicator (ALI) Method with Macro Econometric Structural Models (MESMs)," Working Papers 554, Queen Mary University of London, School of Economics and Finance.
  127. Petrella, Ivan & Drechsel, Thomas & Antolin-Diaz, Juan, 2014. "Following the Trend: Tracking GDP when Long-Run Growth is Uncertain," CEPR Discussion Papers 10272, C.E.P.R. Discussion Papers.
  128. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas F. Quising, 2006. "Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach - The Case of Developing Asia," Working Papers 565, Queen Mary University of London, School of Economics and Finance.
  129. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
  130. Ard H.J. den Reijer, 2005. "Forecasting Dutch GDP using Large Scale Factor Models," DNB Working Papers 028, Netherlands Central Bank, Research Department.
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