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Citations for "A dynamic index model for large cross sections"

by Danny Quah & Thomas J. Sargent

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  1. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series 0674, European Central Bank.
  2. Giannone, Domenico & Reichlin, Lucrezia & 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.
  3. Massimiliano Marcellino & George Kapetanios, 2006. "Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation," Working Papers 306, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  4. 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.
  5. Elena Angelini & Jérôme Henry & Ricardo Mestre, 2001. "Diffusion index-based inflation forecasts for the euro area," BIS Papers chapters, in: Bank for International Settlements (ed.), Empirical studies of structural changes and inflation, volume 3, pages 109-138 Bank for International Settlements.
  6. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
  7. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
  8. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2010. "Are disaggregate data useful for factor analysis in forecasting French GDP?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 132-144.
  9. 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.
  10. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2007. "A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering," CEPR Discussion Papers 6043, C.E.P.R. Discussion Papers.
  11. Liu, Dandan & Jansen, Dennis W., 2007. "Macroeconomic forecasting using structural factor analysis," International Journal of Forecasting, Elsevier, vol. 23(4), pages 655-677.
  12. Quah, Danny, 1994. "One Business Cycle and One Trend from (Many) Many Disaggregates," CEPR Discussion Papers 873, C.E.P.R. Discussion Papers.
  13. Siem Jan Koopman & Michel van der Wel, 2011. "Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model," Tinbergen Institute Discussion Papers 11-063/4, Tinbergen Institute.
  14. Lu, Biao & Wu, Liuren, 2009. "Macroeconomic releases and the interest rate term structure," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 872-884, September.
  15. Canova, Fabio, 1993. "Detrending and Business Cycle Facts," CEPR Discussion Papers 782, C.E.P.R. Discussion Papers.
  16. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009. "Opening The Black Box: Structural Factor Models With Large Cross Sections," Econometric Theory, Cambridge University Press, vol. 25(05), pages 1319-1347, October.
  17. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
  18. Robert J. Shiller & Stefano Athanasoulis, 1995. "World Income Components: Measuring and Exploiting International Risk Sharing Opportunities," NBER Working Papers 5095, National Bureau of Economic Research, Inc.
  19. Grace H.Y. Lee, 2009. "Aggregate Shocks Decomposition For Eight East Asian Countries," Monash Economics Working Papers 17-09, Monash University, Department of Economics.
  20. Paul D. Gilbert & Lise Pichette, 2003. "Dynamic Factor Analysis for Measuring Money," Working Papers 03-21, Bank of Canada.
  21. Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc.
  22. Mora, Ricardo & Siotis, Georges, 2005. "External factors in emerging market recoveries: An empirical investigation," European Economic Review, Elsevier, vol. 49(3), pages 683-702, April.
  23. Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York.
  24. Andrade, Eduardo & Laurini, Marcio & Madalozzo, Regina & Valls Pereira, Pedro L., 2004. "Convergence clubs among Brazilian municipalities," Economics Letters, Elsevier, vol. 83(2), pages 179-184, May.
  25. Todd E. Clark, 2003. "Disaggregate evidence on the persistence of consumer price inflation," Research Working Paper RWP 03-11, Federal Reserve Bank of Kansas City.
  26. George Kapetanios & Massimiliano Marcellino, 2009. "A parametric estimation method for dynamic factor models of large dimensions," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 208-238, 03.
  27. Lucrezia Reichlin, 2003. "Factor models in large cross sections of time series," ULB Institutional Repository 2013/10179, ULB -- Universite Libre de Bruxelles.
  28. Canning, D. & Amaral, L. A. N. & Lee, Y. & Meyer, M. & Stanley, H. E., 1998. "Scaling the volatility of GDP growth rates," Economics Letters, Elsevier, vol. 60(3), pages 335-341, September.
  29. Bai, Jushan, 2004. "Estimating cross-section common stochastic trends in nonstationary panel data," Journal of Econometrics, Elsevier, vol. 122(1), pages 137-183, September.
  30. Arvid Raknerud, 2001. "A State Space Approach for Estimating VAR Models for Panel Data with Latent Dynamic Components," Discussion Papers 295, Statistics Norway, Research Department.
  31. Danny Quah, 1996. "Aggregate and Regional Disaggregate Fluctuations," CEP Discussion Papers dp0275, Centre for Economic Performance, LSE.
  32. Massimiliano Marcellino & George Kapetanios, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 305, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  33. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute, revised 20 Mar 2014.
  34. Koopman, Siem Jan & van der Wel, Michel, 2013. "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model," International Journal of Forecasting, Elsevier, vol. 29(4), pages 676-694.
  35. Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2008. "Sectoral vs. Aggregate Shocks: A Structural Factor Analysis of Industrial Production," NBER Working Papers 14389, National Bureau of Economic Research, Inc.
  36. Jens J. Krueger, 2003. "On the Dynamics of the U.S. Manufacturing Productivity Distribution," Jenaer Schriften zur Wirtschaftswissenschaft 05/2003, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät.
  37. Ben S. Bernanke & Jean Boivin, 2001. "Monetary Policy in a Data-Rich Environment," NBER Working Papers 8379, National Bureau of Economic Research, Inc.
  38. Siem Jan Koopman & Michel van der Wel, 2011. "Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model," Tinbergen Institute Discussion Papers 11-063/4, Tinbergen Institute.
  39. Del Negro, Marco & Otrok, Christopher, 2007. "99 Luftballons: Monetary policy and the house price boom across U.S. states," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1962-1985, October.
  40. Chen, Xiaoheng & Conley, Timothy G., 2001. "A new semiparametric spatial model for panel time series," Journal of Econometrics, Elsevier, vol. 105(1), pages 59-83, November.
  41. Ruey Yau, 2004. "Macroeconomic Forecasting with Independent Component Analysis," Econometric Society 2004 Far Eastern Meetings 741, Econometric Society.
  42. Committee, Nobel Prize, 2011. "Thomas J. Sargent and Christopher A. Sims: Empirical Macroeconomics," Nobel Prize in Economics documents 2011-2, Nobel Prize Committee.
  43. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0000. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 09-041/4, Tinbergen Institute, revised 17 Sep 2010.
  44. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute, revised 20 Mar 2014.
  45. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0000. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 09-041/4, Tinbergen Institute, revised 17 Sep 2010.
  46. Neusser, Klaus, 2008. "Interdependencies of US manufacturing sectoral TFPs: A spatial VAR approach," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 991-1004, September.
  47. Monteforte, Libero, 2007. "Aggregation bias in macro models: Does it matter for the euro area?," Economic Modelling, Elsevier, vol. 24(2), pages 236-261, March.
  48. Wakerly, Elizabeth C., 2002. "Disaggregate dynamics and economic growth in Canada," Economic Modelling, Elsevier, vol. 19(2), pages 197-219, March.
  49. Bai, Jushan, 2013. "Likelihood approach to dynamic panel models with interactive effects," MPRA Paper 50267, University Library of Munich, Germany.
  50. Neusser, Klaus, 2001. "A Multisectoral Log-Linear Model of Economic Growth with Marshallian Externalities," Journal of Macroeconomics, Elsevier, vol. 23(4), pages 537-564, October.
  51. repec:dgr:uvatin:0000041 is not listed on IDEAS
  52. Clifford Lam & Qiwei Yao, 2012. "Factor modeling for high-dimensional time series: inference for the number of factors," LSE Research Online Documents on Economics 45684, London School of Economics and Political Science, LSE Library.
  53. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
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