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Determining the Number of Factors in Approximate Factor Models
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- Alain Kabundi & Rangan Gupta & Sonali Das, 2008. "Is a DFM well suited for forecasting regional house price inflation?," Working Papers 085, Economic Research Southern Africa.
- Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2014.
"Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk,"
The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 898-915, December.
- Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas, 2011. "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Tinbergen Institute Discussion Papers 11-042/2/DSF16, Tinbergen Institute.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew, 2013. "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series 1626, European Central Bank.
- Corielli, Francesco & Marcellino, Massimiliano, 2006.
"Factor based index tracking,"
Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2215-2233, August.
- Francesco Corielli & Massimiliano Marcellino, "undated". "Factor Based Index Trading," Working Papers 209, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Marcellino, Massimiliano & Corielli, Francesco, 2002. "Factor Based Index Tracking," CEPR Discussion Papers 3265, C.E.P.R. Discussion Papers.
- Florian Gunsilius & Susanne M. Schennach, 2017.
"A nonlinear principal component decomposition,"
CeMMAP working papers
16/17, Institute for Fiscal Studies.
- Florian Gunsilius & Susanne M. Schennach, 2017. "A nonlinear principal component decomposition," CeMMAP working papers CWP16/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Markus Eberhardt & Christian Helmers & Hubert Strauss, 2013.
"Do Spillovers Matter When Estimating Private Returns to R&D?,"
The Review of Economics and Statistics, MIT Press, vol. 95(2), pages 436-448, May.
- Eberhardt, Markus & Helmers, Christian & Strauss, Hubert, 2010. "Do spillovers matter when estimating private returns to R&D?," Economic and Financial Reports 2010/1, European Investment Bank, Economics Department.
- Markus Eberhardt & Christian Helmers & Hubert Strauss, 2011. "Do Spillovers Matter When Estimating Private Returns to R&D?," Discussion Papers 11/22, University of Nottingham, GEP.
- Corsetti, Giancarlo & Duarte, Joao B. & Mann, Samuel, 2018.
"One money, many markets: a factor model approach to monetary policy in the Euro Area with high-frequency identification,"
LSE Research Online Documents on Economics
87182, London School of Economics and Political Science, LSE Library.
- Corsetti, G. & Duarte, J. B. & Mann, S., 2018. "One Money, Many Markets - A Factor Model Approach to Monetary Policy in the Euro Area with High-Frequency Identification," Cambridge Working Papers in Economics 1816, Faculty of Economics, University of Cambridge.
- 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.
- Juan José Echavarría & Andrés González & Enrique López & Norberto Rodríguez, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 30(69), pages 14-66, December.
- Juan José Echavarría & Andrés González & Enrique López & Norberto Rodíguez, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Borradores de Economia 728, Banco de la Republica de Colombia.
- Juan José Echavarría & Andrés gonzález & Enrique López & Norberto Rodríguez, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Borradores de Economia 9884, Banco de la Republica.
- Choi, Woon Gyu & Kang, Taesu & Kim, Geun-Young & Lee, Byongju, 2017.
"Global liquidity transmission to emerging market economies, and their policy responses,"
Journal of International Economics, Elsevier, vol. 109(C), pages 153-166.
- Woon Gyu Choi & Taesu Kang & Geun-Young Kim & Byongju Lee, 2014. "Global Liquidity Transmission to Emerging Market Economies, and Their Policy Responses," Working Papers 2014-38, Economic Research Institute, Bank of Korea.
- Woon Gyu Choi & Taesu Kang & Geun-Young Kim & Byongju Lee, 2017. "Global Liquidity Transmission to Emerging Market Economies, and Their Policy Responses," IMF Working Papers 2017/222, International Monetary Fund.
- Arce-Alfaro, Gabriel & Blagov, Boris, 2022. "Financial integration or financial fragmentation? A euro area perspective," Economic Modelling, Elsevier, vol. 114(C).
- Leu, Shawn C.-Y. & Robertson, Mari L., 2021. "Mortgage credit volumes and monetary policy after the Great Recession," Economic Modelling, Elsevier, vol. 94(C), pages 483-500.
- 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.
- Bajraj, Gent & Lorca, Jorge & Wlasiuk, Juan M., 2023. "On foreign drivers of emerging markets fluctuations," Economic Modelling, Elsevier, vol. 129(C).
- Luisito Bertinelli & Olivier Cardi & Romain Restout, 2015.
"Technical Change Biased Toward the Traded Sector and Labor Market Frictions,"
Working Papers
halshs-01252508, HAL.
- Luisito Bertinelli & Olivier Cardi & Romain Restout, 2016. "Technical change biased toward the traded sector and labor market frictions," Working Papers of BETA 2016-05, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Luisito BERTINELLI & Olivier CARDI & Romain RESTOUT, 2015. "Technical Change Biased Toward the Traded Sector and Labor Market Frictions," LEO Working Papers / DR LEO 2298, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Gary Koop & Simon M. Potter, 2003.
"Forecasting in large macroeconomic panels using Bayesian Model Averaging,"
Staff Reports
163, Federal Reserve Bank of New York.
- Gary Koop & Simon Potter, 2003. "Forecasting in Large Macroeconomic Panels using Bayesian Model Averaging," Discussion Papers in Economics 04/16, Division of Economics, School of Business, University of Leicester.
- 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.
- Evren Erdogan Cosar & Sevim Kosem & Cagri Sarikaya, 2013. "Do We Really Need Filters In Estimating Output Gap? : Evidence From Turkey," Working Papers 1333, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Oxana Babecka Kucharcukova & Jan Bruha, 2016. "Nowcasting the Czech Trade Balance," Working Papers 2016/11, Czech National Bank.
- Carlos Trucíos & Mauricio Zevallos & Luiz K. Hotta & André A. P. Santos, 2019. "Covariance Prediction in Large Portfolio Allocation," Econometrics, MDPI, vol. 7(2), pages 1-24, May.
- Bates, Brandon J. & Plagborg-Møller, Mikkel & Stock, James H. & Watson, Mark W., 2013.
"Consistent factor estimation in dynamic factor models with structural instability,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 289-304.
- Brandon J. Bates & Mikkel Plagborg-Møller & James H. Stock & Mark W. Watson, "undated". "Consistent factor estimation in dynamic factor models with structural instability," Working Paper 84631, Harvard University OpenScholar.
- Bates, Brandon J. & Plagborg-Møller, Mikkel & Stock, James H. & Watson, Mark W., 2013. "Consistent Factor Estimation in Dynamic Factor Models with Structural Instability," Scholarly Articles 28469786, Harvard University Department of Economics.
- Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014.
"Forecasting with factor-augmented error correction models,"
International Journal of Forecasting, Elsevier, vol. 30(3), pages 589-612.
- Banerjee, Anindya & Marcellino, Massimiliano, 2008. "Factor-augmented Error Correction Models," CEPR Discussion Papers 6707, C.E.P.R. Discussion Papers.
- Igor Masten & Massimiliano Marcellino & Anindya Banerjeey, 2009. "Forecasting with Factor-augmented Error Correction Models," RSCAS Working Papers 2009/32, European University Institute.
- Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Working Papers 335, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2009. "Forecasting with Factor-Augmented Error Correction Models," Discussion Papers 09-06r, Department of Economics, University of Birmingham.
- Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2010. "Forecasting with Factor-augmented Error Correction Models," CEPR Discussion Papers 7677, C.E.P.R. Discussion Papers.
- Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Economics Working Papers ECO2008/15, European University Institute.
- Simona Delle Chiaie & Laurent Ferrara & Domenico Giannone, 2022.
"Common factors of commodity prices,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 461-476, April.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2018. "Common factors of commodity prices," Research Bulletin, European Central Bank, vol. 51.
- S. Delle Chiaie & L. Ferrara & D. Giannone, 2017. "Common Factors of Commodity Prices," Working papers 645, Banque de France.
- Giannone, Domenico & Ferrara, Laurent & Delle Chiaie, Simona, 2018. "Common Factors of Commodity Prices," CEPR Discussion Papers 12767, C.E.P.R. Discussion Papers.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2017. "Common factors of commodity prices," Working Paper Series 2112, European Central Bank.
- 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.
- 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.
- Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
- Domenico Giannone & Lucrezia Reichlin & David H Small, 2007. "Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases," Money Macro and Finance (MMF) Research Group Conference 2006 164, Money Macro and Finance Research Group.
- Marine Carrasco & Barbara Rossi, 2016.
"In-Sample Inference and Forecasting in Misspecified Factor Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 313-338, July.
- Rossi, Barbara & Carrasco, Marine, 2016. "In-sample Inference and Forecasting in Misspecified Factor Models," CEPR Discussion Papers 11388, C.E.P.R. Discussion Papers.
- Marine Carrasco & Barbara Rossi, 2016. "In-sample inference and forecasting in misspecified factor models," Economics Working Papers 1530, Department of Economics and Business, Universitat Pompeu Fabra.
- Kapetanios, George, 2010.
"A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 28(3), pages 397-409.
- George Kapetanios, 2005. "A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets," Working Papers 551, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios, 2005. "A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets," Working Papers 551, Queen Mary University of London, School of Economics and Finance.
- David Rapach & Jack Strauss, 2010. "Bagging or Combining (or Both)? An Analysis Based on Forecasting U.S. Employment Growth," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 511-533.
- Joëts, Marc & Mignon, Valérie, 2012.
"On the link between forward energy prices: A nonlinear panel cointegration approach,"
Energy Economics, Elsevier, vol. 34(4), pages 1170-1175.
- Valérie Mignon & Marc Joëts, 2011. "On the link between forward energy prices: A nonlinear panel cointegration approach," Working Papers hal-04140978, HAL.
- Marc Joëts & Valérie Mignon, 2011. "On the link between forward energy prices: A nonlinear panel cointegration approach," EconomiX Working Papers 2011-25, University of Paris Nanterre, EconomiX.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015.
"Semiparametric Model Averaging of Ultra-High Dimensional Time Series,"
Discussion Papers
15/18, Department of Economics, University of York.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers CWP62/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers 62/15, Institute for Fiscal Studies.
- YAMAMOTO, Yohei & 山本, 庸平, 2015.
"Asymptotic Inference for Common Factor Models in the Presence of Jumps,"
Discussion Papers
2015-05, Graduate School of Economics, Hitotsubashi University.
- YAMAMOTO, Yohei & 山本, 庸平, 2016. "Asymptotic Inference for Common Factor Models in the Presence of Jumps," Discussion paper series HIAS-E-4, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Thomas Bittmann & Jens‐Peter Loy & Sven Anders, 2020. "Product differentiation and cost pass‐through: industry‐wide versus firm‐specific cost shocks," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 64(4), pages 1184-1209, October.
- Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
- 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.
- Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.
- Greenaway-McGrevy, Ryan & Han, Chirok & Sul, Donggyu, 2012. "Estimating the number of common factors in serially dependent approximate factor models," Economics Letters, Elsevier, vol. 116(3), pages 531-534.
- Valle e Azevedo, João & Pereira, Ana, 2013.
"Approximating and forecasting macroeconomic signals in real-time,"
International Journal of Forecasting, Elsevier, vol. 29(3), pages 479-492.
- João Valle e Azevedo & Ana Pereira, 2008. "Approximating and Forecasting Macroeconomic Signals in Real-Time," Working Papers w200819, Banco de Portugal, Economics and Research Department.
- Christian Dreger & Yanqun Zhang, 2014.
"On the relevance of exports for regional output growth in China,"
Applied Economics, Taylor & Francis Journals, vol. 46(35), pages 4302-4308, December.
- Dreger, Christian & Zhang, Yanqun, 2013. "On the relevance of exports for regional output growth in China," Discussion Papers 331, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
- Christian Dreger & Yanqun Zhang, 2013. "On the Relevance of Exports for Regional Output Growth in China," Discussion Papers of DIW Berlin 1264, DIW Berlin, German Institute for Economic Research.
- Ambrogio Cesa-Bianchi & M Hashem Pesaran & Alessandro Rebucci & Stijn Van Nieuwerburgh, 2020.
"Uncertainty and Economic Activity: A Multicountry Perspective [Emerging market business cycles: The cycle is the trend],"
The Review of Financial Studies, Society for Financial Studies, vol. 33(8), pages 3393-3445.
- Rebucci, Alessandro & Cesa-Bianchi, Ambrogio & Pesaran, M. Hashem, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," CEPR Discussion Papers 12713, C.E.P.R. Discussion Papers.
- Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," NBER Working Papers 24325, National Bureau of Economic Research, Inc.
- Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," CESifo Working Paper Series 6910, CESifo.
- Cesa-Bianchi, Ambrogio & Pesaran, M Hashem & Rebucci, Alessandro, 2018. "Uncertainty and economic activity: a multi-country perspective," Bank of England working papers 730, Bank of England.
- Mario Forni & Luca Gambetti & Luca Sala, 2014.
"No News in Business Cycles,"
Economic Journal, Royal Economic Society, vol. 124(581), pages 1168-1191, December.
- Forni, Mario & Sala, Luca & Gambetti, Luca, 2011. "No News in Business Cycles," CEPR Discussion Papers 8274, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti & Luca Sala, 2013. "No News in Business Cycles," Working Papers 491, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 535, Barcelona School of Economics.
- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," UFAE and IAE Working Papers 862.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No news in business cycles," Center for Economic Research (RECent) 063, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 383, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Yuefeng Han & Cun-Hui Zhang & Rong Chen, 2021. "CP Factor Model for Dynamic Tensors," Papers 2110.15517, arXiv.org.
- Lu, Xun & Su, Liangjun, 2016.
"Shrinkage estimation of dynamic panel data models with interactive fixed effects,"
Journal of Econometrics, Elsevier, vol. 190(1), pages 148-175.
- Xun Lu & Su Liangjun, 2015. "Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects," Working Papers 02-2015, Singapore Management University, School of Economics.
- Nathan Bedock & Dalibor Stevanovic, 2017.
"An empirical study of credit shock transmission in a small open economy,"
Canadian Journal of Economics, Canadian Economics Association, vol. 50(2), pages 541-570, May.
- Nathan Bedock & Dalibor Stevanović, 2017. "An empirical study of credit shock transmission in a small open economy," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(2), pages 541-570, May.
- Nathan Bedock & Dalibor Stevanovic, 2012. "An Empirical Study of Credit Shock Transmission in a Small Open Economy," CIRANO Working Papers 2012s-16, CIRANO.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2004.
"The generalized dynamic factor model consistency and rates,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 231-255, April.
- Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2004. "The generalised dynamic factor model: consistency and rates," ULB Institutional Repository 2013/10133, ULB -- Universite Libre de Bruxelles.
- Gent Bajraj & Jorge Lorca & Juan M. Wlasiuk, 2022. "On Foreign Drivers of EMEs Fluctuations," Working Papers Central Bank of Chile 951, Central Bank of Chile.
- Matteo Barigozzi & Lorenzo Trapani, 2018.
"Determining the dimension of factor structures in non-stationary large datasets,"
Discussion Papers
18/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Matteo Barigozzi & Lorenzo Trapani, 2018. "Determining the dimension of factor structures in non-stationary large datasets," Papers 1806.03647, arXiv.org.
- Nadezhda Malysheva & Pierre-Daniel G. Sarte, 2009. "Heterogeneity in sectoral employment and the business cycle," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 95(Fall), pages 335-355.
- Mr. Emil Stavrev, 2009. "Forces Driving Inflation in the New EU10 Members," IMF Working Papers 2009/051, International Monetary Fund.
- Aye, Goodness & Gupta, Rangan & Hammoudeh, Shawkat & Kim, Won Joong, 2015.
"Forecasting the price of gold using dynamic model averaging,"
International Review of Financial Analysis, Elsevier, vol. 41(C), pages 257-266.
- Goodness C. Aye & Rangan Gupta & Shawkat Hammoudeh & Won Joong Kim, 2014. "Forecasting the Price of Gold Using Dynamic Model Averaging," Working Papers 201415, University of Pretoria, Department of Economics.
- Efthymios G. Tsionas, 2014. "On modeling banking risk," Working Papers 183, Bank of Greece.
- Qu, Xi & Lee, Lung-fei & Yang, Chao, 2021. "Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables," Journal of Econometrics, Elsevier, vol. 221(1), pages 180-197.
- Valter Di Giacinto & Giacinto Micucci & Pasqualino Montanaro, 2012.
"Network effects of public transport infrastructure: Evidence on Italian regions,"
Papers in Regional Science, Wiley Blackwell, vol. 91(3), pages 515-541, August.
- Valter Di Giacinto & Giacinto Micucci & Pasqualino Montanaro, 2012. "Network effects of public transport infrastructure: evidence on Italian regions," Temi di discussione (Economic working papers) 869, Bank of Italy, Economic Research and International Relations Area.
- Sophie Piton, 2017.
"A European Disease? Non-tradable Inflation and Real Interest Rate Divergence,"
CESifo Economic Studies, CESifo Group, vol. 63(2), pages 210-234.
- Sophie Piton, 2016. "A European Disease? Non-tradable inflation and real interest rate divergence," Working Papers 2016-09, CEPII research center.
- Sophie Piton, 2016. "A European Disease?Non-tradable inflation and real interest rate divergence," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01321836, HAL.
- Sophie Piton, 2016. "A European Disease?Non-tradable inflation and real interest rate divergence," Post-Print halshs-01321836, HAL.
- Sophie Piton, 2016. "A European Disease? Non-tradable inflation and real interest rate divergence," Documents de travail du Centre d'Economie de la Sorbonne 16044, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Yongxia Zhang & Qi Wang & Maozai Tian, 2022. "Smoothed Quantile Regression with Factor-Augmented Regularized Variable Selection for High Correlated Data," Mathematics, MDPI, vol. 10(16), pages 1-30, August.
- Greenaway-McGrevy, Ryan & Han, Chirok & Sul, Donggyu, 2012. "Asymptotic distribution of factor augmented estimators for panel regression," Journal of Econometrics, Elsevier, vol. 169(1), pages 48-53.
- Ma, Shujie & Su, Liangjun, 2018. "Estimation of large dimensional factor models with an unknown number of breaks," Journal of Econometrics, Elsevier, vol. 207(1), pages 1-29.
- Cepni, Oguzhan & Clements, Michael P., 2024.
"How local is the local inflation factor? Evidence from emerging European countries,"
International Journal of Forecasting, Elsevier, vol. 40(1), pages 160-183.
- Cepni, Oguzhan & Clements, Michael P., 2021. "How Local is the Local Inflation Factor? Evidence from Emerging European Countries," Working Papers 8-2021, Copenhagen Business School, Department of Economics.
- Moscone, F. & Tosetti, E., 2010. "Testing for error cross section independence with an application to US health expenditure," Regional Science and Urban Economics, Elsevier, vol. 40(5), pages 283-291, September.
- Christian Dreger & Dierk Herzer, 2013.
"A further examination of the export-led growth hypothesis,"
Empirical Economics, Springer, vol. 45(1), pages 39-60, August.
- Dierk Herzer, 2010. "A further examination of the export-led growth hypothesis," Ibero America Institute for Econ. Research (IAI) Discussion Papers 200, Ibero-America Institute for Economic Research.
- Christian Dreger & Dierk Herzer, 2012. "A further examination of the export-led growth hypothesis," FIW Working Paper series 084, FIW.
- Dreger, Christian & Herzer, Dierk, 2011. "A further examination of the export-led growth hypothesis," Discussion Papers 305, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
- Christian Dreger & Dierk Herzer, 2011. "A Further Examination of the Export-Led Growth Hypothesis," Discussion Papers of DIW Berlin 1149, DIW Berlin, German Institute for Economic Research.
- Gilles Dufrenot & Valerie Mignon & Anne Peguin-Feissolle, 2010.
"Testing the finance-growth link: is there a difference between developed and developing countries?,"
Economics Bulletin, AccessEcon, vol. 30(3), pages 1794-1807.
- Gilles Dufrénot & Valérie Mignon & Anne Péguin-Feissolle, 2007. "Testing the Finance-Growth Link: is There a Difference Between Developed and Developing Countries?," Working Papers 2007-24, CEPII research center.
- Gilles Dufrénot & Valérie Mignon & Anne Peguin-Feissolle, 2010. "Testing the finance-growth link: is there a difference between developed and developing countries?," Working Papers halshs-00536160, HAL.
- Gilles Dufrénot & Valérie Mignon & Anne Peguin-Feissolle, 2008. "Testing The Finance-Growth Link: Is There A Difference Between Developed And Developing Countries?," Working Papers halshs-00348350, HAL.
- Cheng, Ka Ming & Durmaz, Nazif & Kim, Hyeongwoo & Stern, Michael L., 2012.
"Hysteresis vs. natural rate of US unemployment,"
Economic Modelling, Elsevier, vol. 29(2), pages 428-434.
- Ka Ming Cheng & Nazif Durmaz & Hyeongwoo Kim & Michael Stern, 2011. "Hysteresis vs. Natural Rate of US Unemployment," Auburn Economics Working Paper Series auwp2011-01, Department of Economics, Auburn University.
- 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.
- Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014. "Structural FECM: Cointegration in large-scale structural FAVAR models," CEPR Discussion Papers 9858, C.E.P.R. Discussion Papers.
- 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.
- Zhaoxing Gao & Ruey S. Tsay, 2020. "Modeling High-Dimensional Unit-Root Time Series," Papers 2005.03496, arXiv.org, revised Aug 2020.
- Wu, Jianhong, 2019. "Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance," Economics Letters, Elsevier, vol. 176(C), pages 60-63.
- 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.
- Sul, Donggyu, 2009. "Panel unit root tests under cross section dependence with recursive mean adjustment," Economics Letters, Elsevier, vol. 105(1), pages 123-126, October.
- Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
- Jannati, Sima & Korniotis, George & Kumar, Alok, 2020. "Big fish in a small pond: Locally dominant firms and the business cycle," Journal of Economic Behavior & Organization, Elsevier, vol. 180(C), pages 219-240.
- 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.
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- Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
- Idrisov Georgy & Loginova D. & Knobel Alexander & Firanchuk Alexander & Tsukhlo Sergey & Uzun Vasily & Kaukin Andrey & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 32, pages 1-27, September.
- Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Andrei Kaukin & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
- Mikhail Khromov & Yuri Bobylev & Sergey Tsukhlo & E. Avraamova & D. Loginov & O. Rasenko & Ekaterina Ponomareva & Sergey Sudakov, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 23, pages 1-27, March.
- Firanchuk Alexander & Shagaida Natalia & Mamedov Arseny & Fomina Elena & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 26, pages 1-27, May.
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- Idrisov Georgy & Loginova D. & Knobel Alexander & Firanchuk Alexander & Tsukhlo Sergey & Uzun Vasily & Kaukin Andrey & Zubarevich Natalia, 2016.
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