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Citations for "Evaluating latent and observed factors in macroeconomics and finance"

by Bai, Jushan & Ng, Serena

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  1. Eduardo A. Souza-Rodrigues, 2016. "Nonparametric Regression with Common Shocks," Econometrics, MDPI, Open Access Journal, vol. 4(3), pages 36, September.
  2. 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.
  3. Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2009. "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads," NBER Working Papers 14904, National Bureau of Economic Research, Inc.
  4. 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.
  5. Mario Crucini & Ayhan Kose & Christopher Otrok, 2011. "What are the driving forces of international business cycles?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 156-175, January.
  6. Dhyne, E. & Fuss, C. & Pesaran, H. & Sevestre, P., 2007. "Lumpy Price Adjustments, A Microeconometric Analysis," Cambridge Working Papers in Economics 0719, Faculty of Economics, University of Cambridge.
  7. Kuersteiner, Guido M. & Prucha, Ingmar R., 2013. "Limit theory for panel data models with cross sectional dependence and sequential exogeneity," Journal of Econometrics, Elsevier, vol. 174(2), pages 107-126.
  8. Kim, Hyun Hak & Swanson, Norman R., 2014. "Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence," Journal of Econometrics, Elsevier, vol. 178(P2), pages 352-367.
  9. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A stochastic discount factor approach to asset pricing using panel data," Economics Working Papers (Ensaios Economicos da EPGE) 628, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  10. Su, Liangjun & Jin, Sainan & Zhang, Yonghui, 2015. "Specification test for panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 186(1), pages 222-244.
  11. Cathy Chen & Wolfgang Härdle, 2015. "Common factors in credit defaults swap markets," Computational Statistics, Springer, vol. 30(3), pages 845-863, September.
  12. Abdullah Al-Hassan, 2009. "A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle," IMF Working Papers 09/73, International Monetary Fund.
  13. Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
  14. In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Research Institute for Market Economy, Sogang University, revised Dec 2011.
    • Jörg Breitung & In Choi, 2013. "Factor models," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 11, pages 249-265 Edward Elgar Publishing.
  15. Herrerias, M.J. & Ordoñez, J., 2012. "New evidence on the role of regional clusters and convergence in China (1952–2008)," China Economic Review, Elsevier, vol. 23(4), pages 1120-1133.
  16. 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.
  17. Nii Ayi Armah & Norman Swanson, 2011. "Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 43-60.
  18. Chen, Liang, 2012. "Identifying observed factors in approximate factor models: estimation and hypothesis testing," MPRA Paper 37514, University Library of Munich, Germany.
  19. Nii Ayi Armah & Norman R. Swanson, 2008. "Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments," Working Papers 08-25, Federal Reserve Bank of Philadelphia.
  20. Roberta Fiori & Simonetta Iannotti, 2010. "On the interaction between market and credit risk: a factor-augmented vector autoregressive (FAVAR) approach," Temi di discussione (Economic working papers) 779, Bank of Italy, Economic Research and International Relations Area.
  21. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "The Asymptotics for Panel Models with Common Shocks," Center for Policy Research Working Papers 77, Center for Policy Research, Maxwell School, Syracuse University.
  22. Cecilio R. Tamarit Escalona & Estrella Gómez, 2011. "The euro effect on trade: evidence in gravity equations using panel cointegration techniques," Working Papers. Serie EC 2011-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  23. Issler, João Victor & Lima, Luiz Renato, 2009. "A panel data approach to economic forecasting: The bias-corrected average forecast," Journal of Econometrics, Elsevier, vol. 152(2), pages 153-164, October.
  24. Peter C. B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Econometrica, Econometric Society, vol. 75(6), pages 1771-1855, November.
  25. Fousekis, Panos, 2009. "Are Food Prices in the EU Converging? Empirical Evidence from the Log t Test," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 62(4), pages 407-423.
  26. Sandra Eickmeier & Leonardo Gambacorta & Boris Hofmann, 2013. "Understanding Global Liquidity," BIS Working Papers 402, Bank for International Settlements.
  27. Ruiz, Esther & Poncela, Pilar, 2015. "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS ws1502, Universidad Carlos III de Madrid. Departamento de Estadística.
  28. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2015. "Structural Analysis with Multivariate Autoregressive Index Models," CEPR Discussion Papers 10801, C.E.P.R. Discussion Papers.
  29. Kelly, Logan, 2007. "Measuring the Economic Stock of Money," MPRA Paper 4914, University Library of Munich, Germany.
  30. Mariam Camarero & Estrella Gómez & Cecilio Tamarit, 2012. "The euro impact on trade. Long run evidence with structural breaks," ThE Papers 10/27, Department of Economic Theory and Economic History of the University of Granada..
  31. 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.
  32. Abdou-Aziz Niang & Abdoulaye Diagne & Marie-Claude Pichery, 2011. "Exploring the finance-real economy link in U.S.: empirical evidence from panel unit root and cointegration analysis," Empirical Economics, Springer, vol. 40(1), pages 253-268, February.
  33. Eric Bataille & Catherine Bruneau & Frederic Michaud, 2007. "Business cycle and corporate failure in France: Is there a link?," Computational Economics, Society for Computational Economics, vol. 29(2), pages 173-197, March.
  34. Wu, Jianhong & Li, Jinchang, 2014. "Testing for individual and time effects in panel data models with interactive effects," Economics Letters, Elsevier, vol. 125(2), pages 306-310.
  35. Herrerias, M.J., 2013. "The environmental convergence hypothesis: Carbon dioxide emissions according to the source of energy," Energy Policy, Elsevier, vol. 61(C), pages 1140-1150.
  36. 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.
  37. Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J.F., 2008. "Macroeconomic forecasting with matched principal components," International Journal of Forecasting, Elsevier, vol. 24(1), pages 87-100.
  38. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-18.
  39. Trapani, Lorenzo, 2013. "On bootstrapping panel factor series," Journal of Econometrics, Elsevier, vol. 172(1), pages 127-141.
  40. Wagner, Martin, 2005. "On PPP, Unit Roots and Panels," Economics Series 176, Institute for Advanced Studies.
  41. Guido M. Kuersteiner & Ingmar R. Prucha, 2015. "Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity," CESifo Working Paper Series 5445, CESifo Group Munich.
  42. 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.
  43. Bai, Jushan & Ando, Tomohiro, 2013. "Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors," MPRA Paper 52785, University Library of Munich, Germany, revised Dec 2013.
  44. Owyang, Michael T. & Rapach, David E. & Wall, Howard J., 2009. "States and the business cycle," Journal of Urban Economics, Elsevier, vol. 65(2), pages 181-194, March.
  45. Jushan Bai & Serena Ng, 2008. "Extremum Estimation when the Predictors are Estimated from Large Panels," Annals of Economics and Finance, Society for AEF, vol. 9(2), pages 201-222, November.
  46. Kim, Young Se, 2015. "Electricity consumption and economic development: Are countries converging to a common trend?," Energy Economics, Elsevier, vol. 49(C), pages 192-202.
  47. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank, Research Centre.
  48. Bianco, Dominique & Niang, Abdou-Aziz, 2012. "On international spillovers," Economics Letters, Elsevier, vol. 117(1), pages 280-282.
  49. Goyal, Amit & Pérignon, Christophe & Villa, Christophe, 2008. "How common are common return factors across the NYSE and Nasdaq?," Journal of Financial Economics, Elsevier, vol. 90(3), pages 252-271, December.
  50. Alvarez, Rocio & Camacho, Maximo & Pérez-Quirós, Gabriel, 2012. "Finite sample performance of small versus large scale dynamic factor models," CEPR Discussion Papers 8867, C.E.P.R. Discussion Papers.
  51. Lin, Jianhao & Wang, Meijin & Cai, Lingfeng, 2012. "Are the Fama–French factors good proxies for latent risk factors? Evidence from the data of SHSE in China," Economics Letters, Elsevier, vol. 116(2), pages 265-268.
  52. Kleibergen, Frank & Zhan, Zhaoguo, 2015. "Unexplained factors and their effects on second pass R-squared’s," Journal of Econometrics, Elsevier, vol. 189(1), pages 101-116.
  53. repec:ebl:ecbull:v:3:y:2008:i:33:p:1-18 is not listed on IDEAS
  54. Atak, Alev & Kapetanios, George, 2013. "A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors," Economics Letters, Elsevier, vol. 120(2), pages 224-228.
  55. Castagnetti, Carolina & Rossi, Eduardo, 2008. "Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study," MPRA Paper 26196, University Library of Munich, Germany.
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