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Citations for "A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models"

by Catherine Doz & Domenico Giannone & Lucrezia Reichlin

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  1. Dimitra Lamprou, 2015. "Nowcasting GDP in Greece: A Note on Forecasting Improvements from the Use of Bridge Models," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 13(1), pages 85-100.
  2. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2008. "How Has the Euro Changed the Monetary Transmission?," NBER Working Papers 14190, National Bureau of Economic Research, Inc.
  3. Catherine Doz & Anna Petronevich, 2015. "Dating Business Cycle Turning Points for the French Economy: a MS-DFM approach," Documents de travail du Centre d'Economie de la Sorbonne 15009, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  4. Deicy J. Cristiano & Manuel D. Hernández & José David Pulido, 2012. "Pronósticos de corto plazo en tiempo real para la actividad económica colombiana," Borradores de Economia 724, Banco de la Republica de Colombia.
  5. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  6. Nikolaos Zirogiannis & Yorghos Tripodis, 2013. "A Generalized Dynamic Factor Model for Panel Data: Estimation with a Two-Cycle Conditional Expectation-Maximization Algorithm," Working Papers 2013-1, University of Massachusetts Amherst, Department of Resource Economics.
  7. Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2013. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CIRANO Working Papers 2013s-11, CIRANO.
  8. 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.
  9. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast Ml Estimation Of Dynamic Bifactor Models: An Application To European Inflation," Working Papers wp2015_1502, CEMFI.
  10. Ciccarelli, Matteo & Mojon, Benoît, 2005. "Global inflation," Working Paper Series 0537, European Central Bank.
  11. Luciani, Matteo, 2014. "Forecasting with approximate dynamic factor models: The role of non-pervasive shocks," International Journal of Forecasting, Elsevier, vol. 30(1), pages 20-29.
  12. Bai, Jushan & Liao, Yuan, 2016. "Efficient estimation of approximate factor models via penalized maximum likelihood," Journal of Econometrics, Elsevier, vol. 191(1), pages 1-18.
  13. Bai, Jushan & Li, Kunpeng, 2012. "Maximum likelihood estimation and inference for approximate factor models of high dimension," MPRA Paper 42099, University Library of Munich, Germany, revised 19 Oct 2012.
  14. Matteo Luciani & Antoniomaria Conti & Matteo Barigozzi, 2013. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," ULB Institutional Repository 2013/153330, ULB -- Universite Libre de Bruxelles.
  15. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
  16. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Economics Working Papers ECO2008/16, European University Institute.
  17. Luciana Juvenal & Ivan Petrella, 2012. "Speculation in the oil market," Economic Synopses, Federal Reserve Bank of St. Louis.
  18. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2009. "How Has the Euro Changed the Monetary Transmission Mechanism?," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 77-125 National Bureau of Economic Research, Inc.
  19. Maximo Camacho & Gabriel Perez-Quiros, 2010. "Introducing the euro-sting: Short-term indicator of euro area growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 663-694.
  20. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
  21. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2006. "A Two-step estimator for large approximate dynamic factor models based on Kalman filtering," THEMA Working Papers 2006-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  22. D'Agostino, Antonello & Giannone, Domenico & Lenza, Michele & Modugno, Michele, 2015. "Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models," Finance and Economics Discussion Series 2015-66, Board of Governors of the Federal Reserve System (U.S.).
  23. Robert Lehmann & Klaus Wohlrabe, 2014. "Forecasting gross value-added at the regional level: are sectoral disaggregated predictions superior to direct ones?," Review of Regional Research, Springer, vol. 34(1), pages 61-90, February.
  24. Modugno, Michele & Nikolaou, Kleopatra, 2009. "The forecasting power of internal yield curve linkages," Working Paper Series 1044, European Central Bank.
  25. Tanaka, Shinya & Kurozumi, Eiji, 2012. "Investigating finite sample properties of estimators for approximate factor models when N is small," Economics Letters, Elsevier, vol. 116(3), pages 465-468.
  26. Modugno, Michele, 2011. "Nowcasting inflation using high frequency data," Working Paper Series 1324, European Central Bank.
  27. Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series 1379, European Central Bank.
  28. Branimir, Jovanovic & Magdalena, Petrovska, 2010. "Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting," MPRA Paper 43162, University Library of Munich, Germany.
  29. Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2014. "Exploiting the monthly data-flow in structural forecasting," Discussion Papers 1416, Centre for Macroeconomics (CFM).
  30. Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  31. Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2009. "GDP nowcasting with ragged-edge data : A semi-parametric modelling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00344839, HAL.
  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. 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.
  34. Scott Brave & Hesna Genay, 2011. "Federal Reserve policies and financial market conditions during the crisis," Proceedings 1129, Federal Reserve Bank of Chicago.
  35. Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008. "A review of nonfundamentalness and identification in structural VAR models," Working Paper Series 0922, European Central Bank.
  36. Barnett, William A. & Chauvet, Marcelle & Leiva-Leon, Danilo, 2014. "Real-Time Nowcasting Nominal GDP Under Structural Break," MPRA Paper 53699, University Library of Munich, Germany.
  37. Hideaki Hirata & M. Ayhan Kose & Chris Otrok, . "Regionalization vs. Globalization," Working Paper 164456, Harvard University OpenScholar.
  38. 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.
  39. 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.
  40. Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013. "Now-Casting and the Real-Time Data Flow," Handbook of Economic Forecasting, Elsevier.
  41. Lasse Bork & Hans Dewachter & Romain Houssa, 2009. "Identification of Macroeconomic Factors in Large Panels," CREATES Research Papers 2009-43, School of Economics and Management, University of Aarhus.
  42. Jan J. J. Groen & George Kapetanios, 2009. "Model selection criteria for factor-augmented regressions," Staff Reports 363, Federal Reserve Bank of New York.
  43. Bańbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2010. "Nowcasting," Working Paper Series 1275, European Central Bank.
  44. Domenico Giannone & Lucrezia Reichlin & Saverio Simonelli, 2009. "Nowcasting Euro Area Economic Activity In Real Time: The Role Of Confidence Indicators," National Institute Economic Review, National Institute of Economic and Social Research, vol. 210(1), pages 90-97, October.
  45. Matteo Barigozzi & Alessio Moneta, 2012. "Identifying the Independent Sources of Consumption Variation," LEM Papers Series 2012/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  46. Higgins, Patrick C., 2014. "GDPNow: A Model for GDP "Nowcasting"," FRB Atlanta Working Paper 2014-7, Federal Reserve Bank of Atlanta.
  47. Kihwan Kim & Norman Swanson, 2013. "Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets," Departmental Working Papers 201315, Rutgers University, Department of Economics.
  48. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach," PIER Working Paper Archive 12-046, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  49. Gábor Pellényi, 2012. "The Sectoral Effects of Monetary Policy in Hungary: A Structural Factor Analysis," MNB Working Papers 2012/1, Magyar Nemzeti Bank (Central Bank of Hungary).
  50. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
  51. Barhoumi, K. & Darné, O. & Ferrara, L., 2009. "Are disaggregate data useful for factor analysis in forecasting French GDP?," Working papers 232, Banque de France.
  52. S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," American Economic Review, American Economic Association, vol. 100(2), pages 20-24, May.
  53. Mackowiak, Bartosz Adam & Moench, Emanuel & Wiederholt, Mirko, 2009. "Sectoral Price Data and Models of Price Setting," CEPR Discussion Papers 7339, C.E.P.R. Discussion Papers.
  54. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," MPRA Paper 39452, University Library of Munich, Germany.
  55. Antonello D'Agostino & Paolo Surico, 2009. "Does Global Liquidity Help to Forecast U.S. Inflation?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 479-489, 03.
  56. 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.
  57. Karim Barhoumi & Laurent Ferrara, 2015. "A World Trade Leading Index (WTLI)," IMF Working Papers 15/20, International Monetary Fund.
  58. Zirogiannis, Nikolaos & Tripodis, Yorghos, 2014. "Dynamic Factor Analysis for Short Panels: Estimating Performance Trajectories for Water Utilities," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170592, Agricultural and Applied Economics Association.
  59. Banbura, Marta & Rünstler, Gerhard, 2011. "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346, April.
  60. Scott Brave & R. Andrew Butters, 2012. "Diagnosing the Financial System: Financial Conditions and Financial Stress," International Journal of Central Banking, International Journal of Central Banking, vol. 8(2), pages 191-239, June.
  61. repec:hal:wpaper:halshs-00849071 is not listed on IDEAS
  62. Muriel Nguiffo-Boyom, 2014. "2007-2013: This is what the indicator told us ? Evaluating the performance of real-time nowcasts from a dynamic factor model," BCL working papers 88, Central Bank of Luxembourg.
  63. Gobillon, Laurent & Magnac, Thierry, 2014. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," CEPR Discussion Papers 10253, C.E.P.R. Discussion Papers.
  64. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral Em Algorithm For Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
  65. 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.
  66. William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon, 2014. "Real-Time Nowcasting of Nominal GDP Under Structural Breaks," Staff Working Papers 14-39, Bank of Canada.
  67. Bai, Jushan, 2013. "Likelihood approach to dynamic panel models with interactive effects," MPRA Paper 50267, University Library of Munich, Germany.
  68. Julieta Fuentes & Pilar Poncela & Julio Rodríguez, 2012. "Sparse partial least squares in time series for macroeconomic forecasting," Statistics and Econometrics Working Papers ws122216, Universidad Carlos III, Departamento de Estadística y Econometría.
  69. James H. Stock & Mark W. Watson, 2012. "Generalized Shrinkage Methods for Forecasting Using Many Predictors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 481-493, June.
  70. Bai, Jushan & Wang, Peng, 2012. "Identification and estimation of dynamic factor models," MPRA Paper 38434, University Library of Munich, Germany.
  71. Antipa, P. & Barhoumi, K. & Brunhes-Lesage, V. & Darné, O., 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Working papers 401, Banque de France.
  72. Emilio Espino & Julian Kozlowski & Juan M. Sánchez, 2013. "Regionalization vs. globalization," Working Papers 2013-002, Federal Reserve Bank of St. Louis.
  73. Hendry, David F & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
  74. Chadwick, Meltem Gülenay & Fazilet, Fatih & Tekatli, Necati, 2015. "Understanding the common dynamics of the emerging market currencies," Economic Modelling, Elsevier, vol. 49(C), pages 120-136.
  75. Ricardo Reis & Mark W. Watson, 2007. "Relative Goods' Prices, Pure Inflation, and the Phillips Correlation," NBER Working Papers 13615, National Bureau of Economic Research, Inc.
  76. Carlos Pérez Montes, 2013. "Estimation of Regulatory Credit Risk Models," Banco de Espa�a Working Papers 1305, Banco de Espa�a.
  77. Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," Working Paper Series 1733, European Central Bank.
  78. Borus Jungbacker & Siem Jan Koopman, 2015. "Likelihood‐based dynamic factor analysis for measurement and forecasting," Econometrics Journal, Royal Economic Society, vol. 18(2), pages C1-C21, 06.
  79. M. Pilar Muñoz & Cristina Corchero & F.-Javier Heredia, 2013. "Improving Electricity Market Price Forecasting with Factor Models for the Optimal Generation Bid," International Statistical Review, International Statistical Institute, vol. 81(2), pages 289-306, 08.
  80. Monokroussos, George, 2015. "Nowcasting in Real Time Using Popularity Priors," MPRA Paper 68594, University Library of Munich, Germany.
  81. Beyer, Robert C. M. & Smets, Frank, 2015. "Labour market adjustments in Europe and the US: How different?," Working Paper Series 1767, European Central Bank.
  82. 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.
  83. Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.
  84. Bai, Jushan & Li, Kunpeng & Lu, Lina, 2014. "Estimation and inference of FAVAR models," MPRA Paper 60960, University Library of Munich, Germany.
  85. Philip Liu & Rafael Romeu & Troy Matheson, 2011. "Real-time Forecasts of Economic Activity for Latin American Economies," IMF Working Papers 11/98, International Monetary Fund.
  86. Steffen Henzel & Malte Rengel, 2013. "Dimensions of macroeconomic uncertainty: A common factor analysis," Ifo Working Paper Series Ifo Working Paper No. 167, Ifo Institute for Economic Research at the University of Munich.
  87. 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, School of Economics and Management, University of Aarhus.
  88. Scott Brave & R. Andrew Butters, 2010. "Gathering insights on the forest from the trees: a new metric for financial conditions," Working Paper Series WP-2010-07, Federal Reserve Bank of Chicago.
  89. Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2011. "Short‐term forecasts of euro area GDP growth," Econometrics Journal, Royal Economic Society, vol. 14(1), pages C25-C44, February.
  90. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests For Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
  91. Jakob Guldbæk Mikkelsen & Eric Hillebrand & Giovanni Urga, 2015. "Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models," CREATES Research Papers 2015-61, School of Economics and Management, University of Aarhus.
  92. Fornaro, Paolo & Luomaranta, Henri, 2015. "Small Versus Large Firms Employment Patterns in Finland: a Comparison," MPRA Paper 66979, University Library of Munich, Germany.
  93. Marcellino, Massimiliano & Sivec, Vasja, 2015. "Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs," CEPR Discussion Papers 10610, C.E.P.R. Discussion Papers.
  94. Branimir Jovanovic & Magdalena Petrovska, 2010. "Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting," Working Papers 2010-02, National Bank of the Republic of Macedonia, revised Aug 2010.
  95. Françoise Charpin, 2011. "Réévaluation des modèles d’estimation précoce de la croissance," Sciences Po publications info:hdl:2441/eu4vqp9ompq, Sciences Po.
  96. Bai, Jushan & Li, Kunpeng, 2010. "Theory and methods of panel data models with interactive effects," MPRA Paper 43441, University Library of Munich, Germany, revised Dec 2012.
  97. Arias , Maria A. & Gascon, Charles S. & Rapach, David E., 2014. "Metro Business Cycles," Working Papers 2014-46, Federal Reserve Bank of St. Louis.
  98. 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.
  99. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
  100. 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.
  101. 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.
  102. Creal, Drew & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2013. "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series 1626, European Central Bank.
  103. Kelly, Bryan & Pruitt, Seth, 2015. "The three-pass regression filter: A new approach to forecasting using many predictors," Journal of Econometrics, Elsevier, vol. 186(2), pages 294-316.
  104. Françoise Charpin, 2009. "Estimation précoce de la croissance : de la régression LARS au modèle à facteurs," Sciences Po publications info:hdl:2441/5l6uh8ogmqi, Sciences Po.
  105. 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.
  106. 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.
  107. Elena Andreou & Andros Kourtellos, 2015. "The State and the Future of Cyprus Macroeconomic Forecasting," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 9(1), pages 73-90, June.
  108. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
  109. Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers 2013/06, Czech National Bank, Research Department.
  110. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version," PIER Working Paper Archive 13-061, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 03 Sep 2013.
  111. Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel
    [The sectoral effects of monetary policy in Hungary: a structural factor]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
  112. Brave, Scott & Butters, R. Andrew, 2014. "Nowcasting Using the Chicago Fed National Activity Index," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 19-37.
  113. Chiara Scotti, 2013. "Surprise and uncertainty indexes: real-time aggregation of real-activity macro surprises," International Finance Discussion Papers 1093, Board of Governors of the Federal Reserve System (U.S.).
  114. Gregor Bäurle, 2008. "Priors from DSGE Models for Dynamic Factor Analysis," Diskussionsschriften dp0803, Universitaet Bern, Departement Volkswirtschaft.
  115. Michele Lenza & Thomas Warmedinger, 2011. "A Factor Model for Euro-area Short-term Inflation Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(1), pages 50-62, February.
  116. Gijsbert Suren & Guilherme Moura, 2012. "Heteroskedastic Dynamic Factor Models: A Monte Carlo Study," Economics Bulletin, AccessEcon, vol. 32(4), pages 2884-2898.
  117. Marco Jacopo Lombardi & Feng Zhu, 2014. "A shadow policy rate to calibrate US monetary policy at the zero lower bound," BIS Working Papers 452, Bank for International Settlements.
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