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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. Niang, Abdou-Aziz & Diagne, Abdoulaye & Pichery, Marie-Claude, 2010. "Exploring the finance-real economy link in U.S.: Empirical evidence from Panel Unit Root and Cointegration Analysis," MPRA Paper 23531, University Library of Munich, Germany.
  2. 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.
  3. 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.
  4. 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.
  5. Lima, Luiz Renato Regis de Oliveira & Issler, João Victor, 2008. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 668, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  6. 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.
  7. 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.
  8. Christopher Otrok & Ayhan Kose & Mario J. Crucini, 2009. "What are the driving forces of international business cycles," 2009 Meeting Papers 820, Society for Economic Dynamics.
  9. 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..
  10. Liang Chen & Juan Dolado & Jesus Gonzalo, 2013. "Detecting Big Structural Breaks in Large Factor Models," Economics Series Working Papers 677, University of Oxford, Department of Economics.
  11. 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.
  12. Norman R. Swanson & Nii Ayi Armah, 2011. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments," Departmental Working Papers 201105, Rutgers University, Department of Economics.
  13. Bianco, Dominique & Niang, Abdou-Aziz, 2012. "On international spillovers," Economics Letters, Elsevier, vol. 117(1), pages 280-282.
  14. Chen, Liang, 2012. "Identifying observed factors in approximate factor models: estimation and hypothesis testing," MPRA Paper 37514, University Library of Munich, Germany.
  15. Peter C. B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Econometrica, Econometric Society, vol. 75(6), pages 1771-1855, November.
  16. Liangjun Su & Sainan Jin & Yonghui Zhang, 2014. "Specification Test for Panel Data Models with Interactive Fixed Effects," Working Papers 08-2014, Singapore Management University, School of Economics.
  17. Sandra Eickmeier & Leonardo Gambacorta & Boris Hofmann, 2013. "Understanding Global Liquidity," BIS Working Papers 402, Bank for International Settlements.
  18. 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.
  19. 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.
  20. 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.
  21. Trapani, Lorenzo, 2013. "On bootstrapping panel factor series," Journal of Econometrics, Elsevier, vol. 172(1), pages 127-141.
  22. 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.
  23. Michael T. Owyang & David E. Rapach & Howard J. Wall, 2008. "States and the business cycle," Working Papers 2007-050, Federal Reserve Bank of St. Louis.
  24. 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.
  25. 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.
  26. Norman R. Swanson & Nii Ayi Armah, 2011. "Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators," Departmental Working Papers 201115, Rutgers University, Department of Economics.
  27. M. J. Herrerias & Javier Ordoñez, 2011. "New Evidence on the Role of Regional Clusters and Convergence in China (1952-2008)," Working Papers 2011/07, Economics Department, Universitat Jaume I, Castellón (Spain).
  28. Wagner, Martin, 2005. "On PPP, Unit Roots and Panels," Economics Series 176, Institute for Advanced Studies.
  29. Rocio Alvarez & Maximo Camacho & Gabriel Perez-Quiros, 2012. "Finite sample performance of small versus large scale dynamic factor models," Banco de Espa�a Working Papers 1204, Banco de Espa�a.
  30. Abdullah Al-Hassan, 2009. "A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle," IMF Working Papers 09/73, International Monetary Fund.
  31. 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.
  32. 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.
    • In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Research Institute for Market Economy, Sogang University, revised Dec 2011.
  33. 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.
  34. Esther Ruiz & Pilar Poncela, 2015. "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," Statistics and Econometrics Working Papers ws1502, Universidad Carlos III, Departamento de Estadística y Econometría.
  35. Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1), pages 557-567.
  36. 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.
  37. 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.
  38. Kelly, Logan, 2007. "Measuring the Economic Stock of Money," MPRA Paper 4914, University Library of Munich, Germany.
  39. 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.
  40. 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.
  41. 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.
  42. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-18.
  43. 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).
  44. repec:ebl:ecbull:v:3:y:2008:i:33:p:1-18 is not listed on IDEAS
  45. 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.
  46. 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.
  47. 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).
  48. 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.
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