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Citations for "Business cycle modeling without pretending to have too much a priori economic theory"

by Thomas J. Sargent & Christopher A. Sims

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  1. Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008. "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," Journal of Econometrics, Elsevier, vol. 146(2), pages 351-363, October.
  2. Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Levine's Bibliography 122247000000000621, UCLA Department of Economics.
  3. Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2002. "VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models," CEPR Discussion Papers 3701, C.E.P.R. Discussion Papers.
  4. Forni, Mario & Gambetti, Luca, 2008. "The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach," CEPR Discussion Papers 7098, C.E.P.R. Discussion Papers.
  5. Altug, Sumru, 1989. "Time-to-Build and Aggregate Fluctuations: Some New Evidence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(4), pages 889-920, November.
  6. 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.
  7. Michael Artis & Anindya Banerjee & Massimiliano Marcellino, . "Factor forecasts for the UK," Working Papers 203, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  8. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
  9. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638440, HAL.
  10. Michael Graff, 2006. "Ein multisektoraler Sammelindikator für die Schweizer Konjunktur," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(IV), pages 529–577, December.
  11. Igan, Deniz & Kabundi, Alain & Nadal De Simone, Francisco & Pinheiro, Marcelo & Tamirisa, Natalia, 2011. "Housing, credit, and real activity cycles: Characteristics and comovement," Journal of Housing Economics, Elsevier, vol. 20(3), pages 210-231, September.
  12. Dean Croushore & Charles L. Evans, 2000. "Data revisions and the identification of monetary policy shocks," Working Paper Series WP-00-26, Federal Reserve Bank of Chicago.
  13. Hiroshi Iyetomi & Yasuhiro Nakayama & Hiroshi Yoshikawa & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma, 2009. "What Causes Business Cycles? Analysis of the Japanese Industrial Production Data," Papers 0912.0857, arXiv.org, revised Nov 2010.
  14. Liuren Wu & Frank X. Zhang, 2005. "A no-arbitrage analysis of economic determinants of the credit spread term structure," Finance and Economics Discussion Series 2005-59, Board of Governors of the Federal Reserve System (U.S.).
  15. Olivier Biau & Hélène Erkel-Rousse & Nicolas Ferrari, 2006. "Réponses individuelles aux enquêtes de conjoncture et prévision de la production manufacturière," Économie et Statistique, Programme National Persée, vol. 395(1), pages 91-116.
  16. Kociecki, Andrzej, 2010. "Algebraic theory of identification in parametric models," MPRA Paper 26820, University Library of Munich, Germany.
  17. Robert B. Litterman, 1983. "Optimal control of the money supply," Staff Report 82, Federal Reserve Bank of Minneapolis.
  18. Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013. "Now-casting and the real-time data flow," Working Paper Series 1564, European Central Bank.
  19. Pavel Vidal Alejandro & Lya Paola Sierra Suárez & Johana Sanabria Dominguez & Jaime Andres Collazos Rodríguez, 2015. "Indicador mensual de actividad económica (IMAE) para el Valle del Cauca," Borradores de Economia 900, Banco de la Republica de Colombia.
  20. Angelini, Elena & Henry, Jérôme & Mestre, Ricardo, 2001. "Diffusion index-based inflation forecasts for the euro area," Working Paper Series 0061, European Central Bank.
  21. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series 0712, European Central Bank.
  22. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2003. "Leading Indicators for Euro Area Inflation and GDP Growth," CEPR Discussion Papers 3893, C.E.P.R. Discussion Papers.
  23. Robert J. Barro & Zvi Hercowitz, 1979. "Money Stock Revisions and Unanticipated Money Growth," NBER Working Papers 0329, National Bureau of Economic Research, Inc.
  24. Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2003. "Macroeconomic forecasting in the Euro area: Country specific versus area-wide information," European Economic Review, Elsevier, vol. 47(1), pages 1-18, February.
  25. Alexander Chudik & M. Hashem Pesaran, 2007. "Infinite Dimensional VARs and Factor Models," CESifo Working Paper Series 2176, CESifo Group Munich.
  26. Hansen, Gary D. & Sargent, Thomas J., 1988. "Straight time and overtime in equilibrium," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 281-308.
  27. Francisco Nadal De Simone & Alain N. Kabundi, 2007. "France in the Global Economy; A Structural Approximate Dynamic Factor Model Analysis," IMF Working Papers 07/129, International Monetary Fund.
  28. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-time measurement of business conditions," International Finance Discussion Papers 901, Board of Governors of the Federal Reserve System (U.S.).
  29. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Economics Working Papers ECO2008/22, European University Institute.
  30. Shintani, Mototsugu, 2005. "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 517-38, June.
  31. 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.
  32. Chung, Hess & Fallick, Bruce C. & Nekarda, Christopher J. & Ratner, David, 2014. "Assessing the Change in Labor Market Conditions," Finance and Economics Discussion Series 2014-109, Board of Governors of the Federal Reserve System (U.S.).
  33. Robert E. Lucas, Jr. & Thomas J. Sargent, 1979. "After Keynesian macroeconomics," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr.
  34. Fabio H. Nieto & Luis Fernando Melo, 2001. "About a Coincident Index for the State of the Economy," BORRADORES DE ECONOMIA 001938, BANCO DE LA REPÚBLICA.
  35. Gikas Hardouvelis & Rafael La Porta & Thierry A. Wizman, 1994. "What Moves the Discount on Country Equity Funds?," NBER Chapters, in: The Internationalization of Equity Markets, pages 345-403 National Bureau of Economic Research, Inc.
  36. Ludvigson, Sydney C. & Ng, Serena, 2007. "The empirical risk-return relation: A factor analysis approach," Journal of Financial Economics, Elsevier, vol. 83(1), pages 171-222, January.
  37. Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2013. "Do euro area countries respond asymmetrically to the common monetary policy?," Temi di discussione (Economic working papers) 923, Bank of Italy, Economic Research and International Relations Area.
  38. Cristadoro, Riccardo & Forni, Mario & Reichlin, Lucrezia & Veronese, Giovanni, 2001. "A Core Inflation Index for the Euro Area," CEPR Discussion Papers 3097, C.E.P.R. Discussion Papers.
  39. Jacques Mairesse & Alan K. Siu, 1984. "An Extended Accelerator Model of R&D and Physical Investment," NBER Chapters, in: R&D, Patents, and Productivity, pages 271-298 National Bureau of Economic Research, Inc.
  40. Athanasoulis, S. & Shiller, R.J., 1995. "World Income Components: Measuring and Exploting International Risk Sharing Opportunities," Papers 725, Yale - Economic Growth Center.
  41. Luis Fernando Melo & Fabio H. Nieto & Carlos Esteban Posada & Yanneth Rocío Betancourt, 2001. "Un Índice Coincidente para la Actividad Económica Colombiana," BORRADORES DE ECONOMIA 003678, BANCO DE LA REPÚBLICA.
  42. Francis X. Diebold, 1997. "The Past, Present, and Future of Macroeconomic Forecasting," NBER Working Papers 6290, National Bureau of Economic Research, Inc.
  43. Orraca, Pedro & Corona, Francisco, 2016. "Remittances in Mexico and their unobserved components," DES - Working Papers. Statistics and Econometrics. WS 22674, Universidad Carlos III de Madrid. Departamento de Estadística.
  44. Diebold & Rudebusch, . "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
  45. Francisco J. Goerlich-Gisbert, 1999. "Shocks agregados versus shocks sectoriales. Un análisis factorial dinámico," Investigaciones Economicas, Fundación SEPI, vol. 23(1), pages 27-53, January.
  46. Anindya Banerjee & Massimiliano Marcellino, 2003. "Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?," Working Papers 236, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  47. 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.
  48. S. Boraǧan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP Measurement: A Measurement-Error Perspective," NBER Working Papers 18954, National Bureau of Economic Research, Inc.
  49. Altissimo, Filippo & Bassanetti, Antonio & Cristadoro, Riccardo & Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia & Veronese, Giovanni, 2001. "EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle," CEPR Discussion Papers 3108, C.E.P.R. Discussion Papers.
  50. Álvaro Aguirre R. & Luis Felipe Céspedes C., 2004. "Uso de Análisis Factorial Dinámico para Proyecciones Macroeconómicas," Working Papers Central Bank of Chile 274, Central Bank of Chile.
  51. Sumru Altug & Melike Bildirici, 2010. "Business Cycles around the Globe: A Regime Switching Approach," Koç University-TUSIAD Economic Research Forum Working Papers 1009, Koc University-TUSIAD Economic Research Forum.
  52. Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary Policy in Real Time," Working Papers 284, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    • Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary Policy in Real Time," NBER Chapters, in: NBER Macroeconomics Annual 2004, Volume 19, pages 161-224 National Bureau of Economic Research, Inc.
  53. 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.
  54. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2003. "Are correlations of stock returns justified by subsequent changes in national outputs?," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 777-811, November.
  55. Bruno, Giancarlo & Malgarini, Marco, 2002. "An Indicator of Economic Sentiment for the Italian Economy," MPRA Paper 42331, University Library of Munich, Germany.
  56. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  57. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2005. "Forecasting macroeconomic variables for the new member states of the European Union," Working Paper Series 0482, European Central Bank.
  58. Uebele, Martin, 2011. "National and international market integration in the 19th century: Evidence from comovement," Explorations in Economic History, Elsevier, vol. 48(2), pages 226-242, April.
  59. Mario Forni & Lucrezia Reichlin, 2001. "Federal policies and local economies: Europe and the U.S," ULB Institutional Repository 2013/10141, ULB -- Universite Libre de Bruxelles.
  60. Mark W. Watson, 1991. "Measures of fit for calibrated models," Working Paper Series, Macroeconomic Issues 91-9, Federal Reserve Bank of Chicago.
  61. Maćkowiak, Bartosz & Moench, Emanuel & Wiederholt, Mirko, 2009. "Sectoral price data and models of price setting," Journal of Monetary Economics, Elsevier, vol. 56(S), pages S78-S99.
  62. Hendry, David F & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
  63. Gonzalo Echavarría M. & Wildo González P, 2011. "Un Modelo de Factores Dinámicos de Pequeña Escala para el Imacec," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 14(2), pages 109-118, August.
  64. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction," LEM Papers Series 2006/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  65. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2000. "Reference Cycles: The NBER Methodology Revisited," CEPR Discussion Papers 2400, C.E.P.R. Discussion Papers.
  66. Massimiliano Marcellino & Carlo A. Favero & Francesca Neglia, 2005. "Principal components at work: the empirical analysis of monetary policy with large data sets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 603-620.
  67. Yohei Yamamoto, 2012. "Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions," Global COE Hi-Stat Discussion Paper Series gd12-249, Institute of Economic Research, Hitotsubashi University.
  68. repec:crs:ecosta:es395-396b is not listed on IDEAS
  69. Sarferaz, Samad & Uebele, Martin, 2009. "Tracking down the business cycle: A dynamic factor model for Germany 1820-1913," Explorations in Economic History, Elsevier, vol. 46(3), pages 368-387, July.
  70. Collard, Fabrice & Fève, Patrick, 2012. "Sur les Causes et les Effets en Macro-Economie : les Contributions de Sargent et Sims,Prix Nobel d'Economie 2011," IDEI Working Papers 726, Institut d'Économie Industrielle (IDEI), Toulouse.
  71. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers.
  72. B. Jungbacker & S.J. Koopman & M. van der Wel, 2009. "Dynamic Factor Analysis in The Presence of Missing Data," Tinbergen Institute Discussion Papers 09-010/4, Tinbergen Institute, revised 11 Mar 2011.
  73. Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016. "Systemic risk and the macroeconomy: An empirical evaluation," Journal of Financial Economics, Elsevier, vol. 119(3), pages 457-471.
  74. Necati Tekatli, 2007. "Generalized Factor Models: A Bayesian Approach," UFAE and IAE Working Papers 730.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  75. 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.
  76. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2003. "The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting," LEM Papers Series 2003/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  77. Ghysels, Eric, 1994. "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-98, July.
  78. Javier Pereda, 2011. "Estimación de la tasa natural de interés para Perú: un enfoque financiero," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 429-459, octubre-d.
  79. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, Department of Economics and Business Economics, Aarhus University.
  80. Ritschl, Albrecht & Sarferaz, Samad & Uebele, Martin, 2008. "The U.S. Business Cycle, 1867-1995: A Dynamic Factor Approach," CEPR Discussion Papers 7069, C.E.P.R. Discussion Papers.
  81. 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.
  82. Marc Hallin & Marco Lippi, 2013. "Factor Models in High-Dimensional Time Series: A Time-Domain Approach," Working Papers ECARES ECARES 2013-15, ULB -- Universite Libre de Bruxelles.
  83. Belo, Frederico, 2010. "Production-based measures of risk for asset pricing," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 146-163, March.
  84. Chris Heaton & Paul Oslington, 2006. "Micro Vs Macro Explanations of Post-War US Unemployment Movements," Research Papers 0604, Macquarie University, Department of Economics.
  85. Nii Ayi Armah & Norman Swanson, 2010. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 476-510.
  86. Sonia de Lucas Santos & M. Jesús Delgado Rodríguez & Inmaculada Álvarez Ayuso & José Luis Cendejas Bueno, 2011. "Los ciclos económicos internacionales: antecedentes y revisión de la literatura," Cuadernos de Economía - Spanish Journal of Economics and Finance, ELSEVIER, vol. 34(95), pages 73-84, Agosto.
  87. Allan W. Gregory & Allen C. Head, 1996. "Common and Country-specific Fluctuations in Productivity, Investment, and the Current Account," Working Papers 931, Queen's University, Department of Economics.
  88. Gouriéroux, Christian & Peaucelle, Irina, 1993. "Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques," CEPREMAP Working Papers (Couverture Orange) 9326, CEPREMAP.
  89. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "A Dynamic Factor Analysis of Business Cycle on Firm-Level Data," LEM Papers Series 2006/27, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  90. Chan G. Huh, 1991. "Recession probability indexes: a survey," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 31-40.
  91. repec:era:chaptr:2013-rpr-29-10 is not listed on IDEAS
  92. Neely, Christopher J. & Rapach, David E., 2011. "International comovements in inflation rates and country characteristics," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1471-1490.
  93. Marco Del Negro & Christopher Otrok, 2005. "Monetary policy and the house price boom across U.S. states," FRB Atlanta Working Paper 2005-24, Federal Reserve Bank of Atlanta.
  94. Robert E. Lucas Jr., 2003. "Macroeconomic Priorities," American Economic Review, American Economic Association, vol. 93(1), pages 1-14, March.
  95. 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.
  96. Thomas J. Sargent, 1979. "Estimating vector autoregressions using methods not based on explicit economic theories," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum.
  97. M. Ayhan Kose & Christopher Otrok & Eswar Prasad, 2012. "Global Business Cycles: Convergence Or Decoupling?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 511-538, 05.
  98. 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.
  99. Croux, Christophe & Renault, Eric & Werker, Bas, 2004. "Dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 223-230, April.
  100. Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2002. "Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited," CEPR Discussion Papers 3550, C.E.P.R. Discussion Papers.
  101. Natalia T. Tamirisa & Alain N. Kabundi & Deniz Igan & Francisco Nadal De Simone & Marcelo Pinheiro, 2009. "Three Cycles; Housing, Credit, and Real Activity," IMF Working Papers 09/231, International Monetary Fund.
  102. Al-Sadoon, Majid M., 2014. "Geometric and long run aspects of Granger causality," Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.
  103. Saul Lach & Mark Schankerman, 1987. "The Interaction Between Capital Investment and R&D in Science-Based Firms," NBER Working Papers 2377, National Bureau of Economic Research, Inc.
  104. Maria Antoinette Silgoner, 2005. "An Overview of European Economic Indicators: Great Variety of Data on the Euro Area, Need for More Extensive Coverage of the New EU Member States," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 66–89.
  105. Thomas J. Sargent, 1977. "Is Keynesian economics a dead end?," Working Papers 101, Federal Reserve Bank of Minneapolis.
  106. Keith R. Phillips, 1988. "The development and uses of regional indexes of leading economic indicators," Research Paper 8808, Federal Reserve Bank of Dallas.
  107. Li, Kunpeng & Lu, Lina, 2014. "Efficient estimation of heterogeneous coefficients in panel data models with common shock," MPRA Paper 59312, University Library of Munich, Germany.
  108. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers 0707, Federal Reserve Bank of Dallas.
  109. Matthieu Cornec & Thierry Deperraz, 2006. "Un nouvel indicateur synthétique mensuel résumant le climat des affaires dans les services en France," Économie et Statistique, Programme National Persée, vol. 395(1), pages 13-38.
  110. George J. Hall, 1994. "Overtime, effort and the propagation of business cycle shocks," Working Paper Series, Macroeconomic Issues 94-25, Federal Reserve Bank of Chicago.
  111. Sánchez, María Jesús & Rodríguez, Julio & García-Martos, Carolina & Alonso, Andrés M., 2008. "Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting," DES - Working Papers. Statistics and Econometrics. WS ws081406, Universidad Carlos III de Madrid. Departamento de Estadística.
  112. Lee, Grace HY & M, Azali, 2010. "Is East Asia an optimum currency area?," MPRA Paper 52556, University Library of Munich, Germany.
  113. Ayhan Kose, M. & Otrok, Christopher & Whiteman, Charles H., 2008. "Understanding the evolution of world business cycles," Journal of International Economics, Elsevier, vol. 75(1), pages 110-130, May.
  114. Christopher Otrok & Charles H. Whiteman, 1996. "Baynesian Leading Indicators: Measuring and Predicting Economic Conditions," Macroeconomics 9610002, EconWPA.
  115. Neely, Christopher J. & Rapach, David E., 2015. "Common Fluctuations in OECD Budget Balances," Review, Federal Reserve Bank of St. Louis, vol. 97(2), pages 109-132.
  116. Carlos A. Medel Vera, 2011. "¿Akaike o Schwarz? ¿Cuál utilizar para predecir el PIB chileno?," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 591-615, octubre-d.
  117. 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.
  118. Hwee Kwan Chow & Keen Meng Choy, 2008. "Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Economic Growth Centre Working Paper Series 0802, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  119. Marco Del Negro, 2001. "Turn, turn, turn: Predicting turning points in economic activity," Economic Review, Federal Reserve Bank of Atlanta, issue Q2, pages 1-12.
  120. John Fernald & Mark M. Spiegel & Eric T. Swanson, 2014. "Monetary Policy Effectiveness in China: Evidence from a FAVAR Model," NBER Working Papers 20518, National Bureau of Economic Research, Inc.
  121. Ben S. Bernanke & Jean Boivin, 2001. "Monetary Policy in a Data-Rich Environment," NBER Working Papers 8379, National Bureau of Economic Research, Inc.
  122. Wang, Zijun & Bessler, David A., 2004. "Forecasting performance of multivariate time series models with full and reduced rank: an empirical examination," International Journal of Forecasting, Elsevier, vol. 20(4), pages 683-695.
  123. Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K., 2016. "A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 134-155.
  124. Al-Sadoon, M.M., 2009. "Causality Along Subspaces: Theory," Cambridge Working Papers in Economics 0919, Faculty of Economics, University of Cambridge.
  125. James H. Stock & Mark W. Watson, 1988. "A Probability Model of The Coincident Economic Indicators," NBER Working Papers 2772, National Bureau of Economic Research, Inc.
  126. Maćkowiak, Bartosz & Smets, Frank, 2008. "On implications of micro price data for macro models," Working Paper Series 0960, European Central Bank.
  127. Tamara Burdisso & Eduardo Ariel Corso, 2011. "Incertidumbre y dolarización de cartera: el caso argentino en el último medio siglo," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 461-515, octubre-d.
  128. B. Jungbacker & S.J. Koopman & M. Van Der Wel, 2011. "Maximum likelihood estimation for dynamic factor models with missing data," Post-Print hal-00828980, HAL.
  129. Zhang, Dandan & Shi, Xunpeng & Sheng, Yu, 2015. "Comprehensive measurement of energy market integration in East Asia: An application of dynamic principal component analysis," Energy Economics, Elsevier, vol. 52(PB), pages 299-305.
  130. Mestekemper, Thomas & Kauermann, Göran & Smith, Michael S., 2013. "A comparison of periodic autoregressive and dynamic factor models in intraday energy demand forecasting," International Journal of Forecasting, Elsevier, vol. 29(1), pages 1-12.
  131. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2012. "Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations," Working Papers ECARES ECARES 2012-046, ULB -- Universite Libre de Bruxelles.
  132. Massimiliano Serati & Gianni Amisano, 2008. "Building composite leading indexes in a dynamic factor model framework: a new proposal," LIUC Papers in Economics 212, Cattaneo University (LIUC).
  133. Matteo Manera & Massimiliano Serati & Michele Plotegher, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," Working Papers 2008.9, Fondazione Eni Enrico Mattei.
  134. 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.
  135. Dennis J. Fixler & Jeremy Nalewaik, 2010. "News, Noise, and Estimates of the "True" Unobserved State of the Economy," BEA Working Papers 0068, Bureau of Economic Analysis.
  136. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 2009. "Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates," CREATES Research Papers 2009-39, Department of Economics and Business Economics, Aarhus University.
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