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Implications of Aggregation with Common Factors

Citations

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Cited by:

  1. repec:eee:econom:v:201:y:2017:i:2:p:176-197 is not listed on IDEAS
  2. Alexander Chudik & M. Hashem Pesaran, 2016. "Theory And Practice Of Gvar Modelling," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 165-197, February.
  3. WAN, Shui-Ki & WANG, Shin-Huei & WOO, Chi-Keung, 2012. "Total tourist arrival forecast: aggregation vs. disaggregation," CORE Discussion Papers 2012039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Georgarakos, Dimitris & Lojschova, Adriana & Ward-Warmedinger, Melanie E., 2009. "Mortgage Indebtedness and Household Financial Distress," IZA Discussion Papers 4631, Institute for the Study of Labor (IZA).
  5. Pesaran, M. Hashem & Chudik, Alexander, 2014. "Aggregation in large dynamic panels," Journal of Econometrics, Elsevier, pages 273-285.
  6. Clive W. J. Granger, 1988. "Aggregation of time series variables-a survey," Discussion Paper / Institute for Empirical Macroeconomics 1, Federal Reserve Bank of Minneapolis.
  7. SILVESTRINI, Andrea & VEREDAS, David, 2005. "Temporal aggregation of univariate linear time series models," CORE Discussion Papers 2005059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006. "Common factors in conditional distributions for bivariate time series," Journal of Econometrics, Elsevier, pages 43-57.
  9. Markus Eberhardt & Francis Teal, "undated". "Aggregation versus Heterogeneity in Cross-Country Growth Empirics," Discussion Papers 11/08, University of Nottingham, CREDIT.
  10. Jean Imbs & Eric Jondeau & Florian Pelgrin, 2006. "Aggregating Phillips curves," 2006 Meeting Papers 640, Society for Economic Dynamics.
  11. Fildes, Robert & Wei, Yingqi & Ismail, Suzilah, 2011. "Evaluating the forecasting performance of econometric models of air passenger traffic flows using multiple error measures," International Journal of Forecasting, Elsevier, vol. 27(3), pages 902-922.
  12. Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
  13. Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010. "Regression models with mixed sampling frequencies," Journal of Econometrics, Elsevier, pages 246-261.
  14. Alexandre Petkovic & David Veredas, 2009. "Aggregation of linear models for panel data," Working Papers ECARES 2009-012, ULB -- Universite Libre de Bruxelles.
  15. Giacomini, Raffaella & Granger, Clive W. J., 2004. "Aggregation of space-time processes," Journal of Econometrics, Elsevier, pages 7-26.
  16. van Garderen, Kees Jan & Lee, Kevin & Pesaran, M. Hashem, 2000. "Cross-sectional aggregation of non-linear models," Journal of Econometrics, Elsevier, pages 285-331.
  17. Marcellino, Massimiliano, 2000. "Linear aggregation with common trends and cycles," Research in Economics, Elsevier, pages 117-131.
  18. Barrera, Carlos, 2013. "El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011," Working Papers 2013-009, Banco Central de Reserva del Perú.
  19. Cobb, Marcus P A, 2017. "Joint Forecast Combination of Macroeconomic Aggregates and Their Components," MPRA Paper 76556, University Library of Munich, Germany.
  20. Hendricks, Nathan P. & Smith, Aaron D., 2012. "Comparing the Bias of Dynamic Panel Estimators in Multilevel Panels: Individual versus Grouped Data," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124548, Agricultural and Applied Economics Association.
  21. Forni, Mario & Lippi, Marco & Reichlin, Lucrezia, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers.
  22. Cobb, Marcus P A, 2017. "Forecasting Economic Aggregates Using Dynamic Component Grouping," MPRA Paper 81585, University Library of Munich, Germany.
  23. Athanasopoulos, George & Hyndman, Rob J., 2011. "The value of feedback in forecasting competitions," International Journal of Forecasting, Elsevier, pages 845-849.
  24. Bayer, Patrick & Khan, Shakeeb & Timmins, Christopher, 2011. "Nonparametric Identification and Estimation in a Roy Model With Common Nonpecuniary Returns," Journal of Business & Economic Statistics, American Statistical Association, pages 201-215.
  25. repec:eee:spacre:v:20:y:2017:i:1:p:95-106 is not listed on IDEAS
  26. Marcellino, Massimiliano, 2000. "Linear aggregation with common trends and cycles," Research in Economics, Elsevier, pages 117-131.
  27. van Garderen, Kees Jan & Lee, Kevin & Pesaran, M. Hashem, 2000. "Cross-sectional aggregation of non-linear models," Journal of Econometrics, Elsevier, pages 285-331.
  28. David F. Hendry & Kirstin Hubrich, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, Taylor & Francis Journals, pages 216-227.
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