Evaluating Latent and Observed Factors in Macroeconomics and Financ
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Cited by:
- Mastromarco, Camilla & Simar, Leopold, 2014. "Global Dependence and Productivity: A Robust Nonparametric World Frontier Analysis," LIDAM Discussion Papers ISBA 2014049, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Marine Carrasco & Barbara Rossi, 2016.
"In-Sample Inference and Forecasting in Misspecified Factor Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 313-338, July.
- Rossi, Barbara & Carrasco, Marine, 2016. "In-sample Inference and Forecasting in Misspecified Factor Models," CEPR Discussion Papers 11388, C.E.P.R. Discussion Papers.
- 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.
- Wu, Jianhong, 2019. "Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance," Economics Letters, Elsevier, vol. 176(C), pages 60-63.
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"Micro vs macro explanations of post-war US unemployment movements,"
Economics Letters, Elsevier, vol. 106(2), pages 87-91, February.
- Chris Heaton & Paul Oslington, 2006. "Micro Vs Macro Explanations of Post-War US Unemployment Movements," Research Papers 0604, Macquarie University, Department of Economics.
- 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.
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- 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.
- Ghosh, Anisha & Linton, Oliver, 2023.
"Estimation with mixed data frequencies: A bias-correction approach,"
Journal of Empirical Finance, Elsevier, vol. 74(C).
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- Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A stochastic discount factor approach to asset pricing using panel data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 628, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
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Journal of Econometrics, Elsevier, vol. 186(1), pages 222-244.
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"Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model,"
Economic Modelling, Elsevier, vol. 28(1), pages 557-567.
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- Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2016.
"Structural analysis with Multivariate Autoregressive Index models,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 332-348.
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"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.
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"What Drives Inflation? Disentangling Demand and Supply Factors,"
International Journal of Central Banking, International Journal of Central Banking, vol. 21(3), pages 111-154, July.
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- Sandra Eickmeier & Boris Hofmann, 2022. "What drives inflation? Disentangling demand and supply factors," BIS Working Papers 1047, Bank for International Settlements.
- Eickmeier, Sandra & Hofmann, Boris, 2023. "What drives inflation? Disentangling demand and supply factors," CEPR Discussion Papers 18378, C.E.P.R. Discussion Papers.
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"Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns,"
Journal of Empirical Finance, Elsevier, vol. 29(C), pages 64-79.
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- Claudio Morana, 2013. "Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," CeRP Working Papers 138, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Mariam Camarero & Estrella Gómez & Cecilio Tamarit, 2012.
"The euro impact on trade. Long run evidence with structural breaks,"
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1209, Department of Applied Economics II, Universidad de Valencia.
- 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..
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"How the Subprime Crisis went global: Evidence from bank credit default swap spreads,"
Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1299-1318.
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"Transition Modeling and Econometric Convergence Tests,"
Econometrica, Econometric Society, vol. 75(6), pages 1771-1855, November.
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- 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.
- 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.
- 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.
- 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.
- Comunale, Mariarosaria & Nguyen, Anh Dinh Minh, 2025.
"A comprehensive MacroEconomic uncertainty measure for the euro area and its implications to COVID-19,"
Journal of International Money and Finance, Elsevier, vol. 157(C).
- Mariarosaria Comunale & Anh D. M. Nguyen, 2023. "A Comprehensive Macroeconomic Uncertainty Measure for the Euro Area and its Implications to COVID-19," IMF Working Papers 2023/229, International Monetary Fund.
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"Unexplained factors and their effects on second pass R-squared’s,"
Journal of Econometrics, Elsevier, vol. 189(1), pages 101-116.
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"Latent Factor Analysis in Short Panels,"
Swiss Finance Institute Research Paper Series
23-44, Swiss Finance Institute.
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"Detecting big structural breaks in large factor models,"
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- 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.
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús, 2011. "Detecting big structural breaks in large factor models," UC3M Working papers. Economics we1141, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Colin T. Bowers & Chris Heaton, 2013. "What does high-dimensional factor analysis tell us about risk factors in the Australian stock market?," Applied Economics, Taylor & Francis Journals, vol. 45(11), pages 1395-1404, April.
- 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.
- Camarero, Mariam & Gómez, Estrella & Tamarit, Cecilio, 2014. "Is the ‘euro effect’ on trade so small after all? New evidence using gravity equations with panel cointegration techniques," Economics Letters, Elsevier, vol. 124(1), pages 140-142.
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"On international spillovers,"
Economics Letters, Elsevier, vol. 117(1), pages 280-282.
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- 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.
- repec:nsb:wpaper:21 is not listed on IDEAS
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"Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity,"
Econometrica, Econometric Society, vol. 88(5), pages 2109-2146, September.
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- Panos Fousekis, 2009. "Are Food Prices in the EU Converging? Empirical Evidence from the Log t Test," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 62(4), pages 407-423.
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"Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence,"
Journal of Econometrics, Elsevier, vol. 178(P2), pages 352-367.
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Economic Modelling, Elsevier, vol. 69(C), pages 134-149.
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"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.
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"A panel data approach to economic forecasting: The bias-corrected average forecast,"
Journal of Econometrics, Elsevier, vol. 152(2), pages 153-164, October.
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"Lumpy Price Adjustments: A Microeconometric Analysis,"
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"The global component of inflation volatility,"
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"On PPP, unit roots and panels,"
Empirical Economics, Springer, vol. 35(2), pages 229-249, September.
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"How common are common return factors across the NYSE and Nasdaq?,"
Journal of Financial Economics, Elsevier, vol. 90(3), pages 252-271, December.
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- Brown, Nicholas & Westerlund, Joakim, 2023.
"Testing factors in CCE,"
Economics Letters, Elsevier, vol. 230(C).
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- Kelly, Logan, 2007. "Measuring the Economic Stock of Money," MPRA Paper 4914, University Library of Munich, Germany.
- Dai, Chaoxing & Lu, Kun & Xiu, Dacheng, 2019. "Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data," Journal of Econometrics, Elsevier, vol. 208(1), pages 43-79.
- Demir, Ishak, 2019.
"International Spillovers of U.S. Monetary Policy,"
EconStor Preprints
193968, ZBW - Leibniz Information Centre for Economics.
- Demir, Ishak, 2019. "International Spillovers of U.S. Monetary Policy," LEAF Working Paper Series 19-02, University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF).
- Cathy Chen & Wolfgang Härdle, 2015.
"Common factors in credit defaults swap markets,"
Computational Statistics, Springer, vol. 30(3), pages 845-863, September.
- Chen, Yi-hsuan & Härdle, Wolfgang Karl, 2012. "Common factors in credit defaults swaps markets," SFB 649 Discussion Papers 2012-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- 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.
- Zafar, Muhammad Wasif & Zaidi, Syed Anees Haider & Sinha, Avik & Gedikli, Ayfer & Hou, Fujun, 2019. "The role of stock market and banking sector development, and renewable energy consumption in carbon emissions: Insights from G-7 and N-11 countries," Resources Policy, Elsevier, vol. 62(C), pages 427-436.
- Cosimo Magazzino & Marco Mele & Claudiu Tiberiu Albulescu & Nicholas Apergis & Mihai Ioan Mutascu, 2024.
"The presence of a latent factor in gasoline and diesel prices co-movements,"
Empirical Economics, Springer, vol. 66(5), pages 1921-1939, May.
- Cosimo Magazzino & Marco Mele & Claudiu Tiberiu Albulescu & Nicholas Apergis & Mihai Ioan Mutascu, 2024. "The presence of a latent factor in gasoline and diesel prices co-movements," Post-Print hal-04802059, HAL.
- Markus Pelger, 2020. "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, vol. 75(4), pages 2179-2220, August.
- Pilar Poncela & Esther Ruiz, 2016.
"Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 401-434,
Emerald Group Publishing Limited.
- Ruiz Ortega, 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 EstadÃstica.
- Rocio Alvarez & Maximo Camacho & Gabriel Perez-Quiros, 2012.
"Finite sample performance of small versus large scale dynamic factor models,"
Working Papers
1204, Banco de España.
- Pérez-Quirós, Gabriel & Camacho, Máximo & Alvarez, Rocio, 2012. "Finite sample performance of small versus large scale dynamic factor models," CEPR Discussion Papers 8867, C.E.P.R. Discussion Papers.
- Daniil Bargman, 2025. "Latent Variable Modelling by Supervised Diffusion," Papers 2506.04488, arXiv.org, revised Jan 2026.
- Muhammad Wasif Zafar & Asif Saeed & Syed Anees Haider Zaidi & Abdul Waheed, 2021. "The linkages among natural resources, renewable energy consumption, and environmental quality: A path toward sustainable development," Sustainable Development, John Wiley & Sons, Ltd., vol. 29(2), pages 353-362, March.
- Kim Dukpa & Kim Yunjung & Bak Yuhyeon, 2017. "Multi-level factor analysis of bond risk premia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-19, December.
- Kelava, Augustin & Kohler, Michael & Krzyżak, Adam & Schaffland, Tim Fabian, 2017. "Nonparametric estimation of a latent variable model," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 112-134.
- Hyun Hak Kim, 2013. "Forecasting Macroeconomic Variables Using Data Dimension Reduction Methods: The Case of Korea," Working Papers 2013-26, Economic Research Institute, Bank of Korea.
- repec:ebl:ecbull:v:3:y:2008:i:33:p:1-18 is not listed on IDEAS
- Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012.
"Asymptotics for Panel Models with Common Shocks,"
Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 390-439.
- Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "Asymptotics for panel models with common shocks," Working Papers 0615, Department of Management, Information and Production Engineering, University of Bergamo.
- 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.
- Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2014.
"Understanding global liquidity,"
European Economic Review, Elsevier, vol. 68(C), pages 1-18.
- Sandra Eickmeier & Leonardo Gambacorta & Boris Hofmann, 2013. "Understanding Global Liquidity," BIS Working Papers 402, Bank for International Settlements.
- Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2013. "Understanding global liquidity," Discussion Papers 03/2013, Deutsche Bundesbank.
- Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
- Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2022. "Forecasting European carbon returns using dimension reduction techniques: Commodity versus financial fundamentals," International Journal of Forecasting, Elsevier, vol. 38(3), pages 944-969.
- Pedro Henrique Melo Albuquerque & Yaohao Peng & João Pedro Fontoura da Silva, 2022. "Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1701-1724, December.
- 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.
- Cheng, Mingmian & Swanson, Norman R. & Yang, Xiye, 2021. "Forecasting volatility using double shrinkage methods," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 46-61.
- Dai, Siqi & Hong, Yongmiao & Li, Haiqi & Zheng, Chaowen, 2025. "Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure," Journal of Econometrics, Elsevier, vol. 251(C).
- Zafar, Muhammad Wasif & Shahbaz, Muhammad & Hou, Fujun & Sinha, Avik, 2018. "¬¬¬¬¬¬From Nonrenewable to Renewable Energy and Its Impact on Economic Growth: Silver Line of Research & Development Expenditures in APEC Countries," MPRA Paper 90611, University Library of Munich, Germany, revised 10 Dec 2018.
- Matthieu Stigler & David Lobell, 2024.
"Optimal index insurance and basis risk decomposition: an application to Kenya,"
American Journal of Agricultural Economics, John Wiley & Sons, vol. 106(1), pages 306-329, January.
- Matthieu Stigler & David Lobell, 2021. "Optimal index insurance and basis risk decomposition: an application to Kenya," Papers 2111.08601, arXiv.org, revised Mar 2023.
- 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.
- Seung C. Ahn & Stephan Dieckmann & M. Fabricio Perez, 2018. "Is there a missing factor? A canonical correlation approach to factor models," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 321-347, October.
- Matteo Bagnara, 2024. "Asset Pricing and Machine Learning: A critical review," Journal of Economic Surveys, Wiley Blackwell, vol. 38(1), pages 27-56, February.
- Andreou, E. & Gagliardini, P. & Ghysels, E. & Rubin, M., 2025. "Spanning latent and observable factors," Journal of Econometrics, Elsevier, vol. 248(C).
- Kapetanios, G. & Pesaran, M.H. & Reese, S., 2021. "Detection of units with pervasive effects in large panel data models," Journal of Econometrics, Elsevier, vol. 221(2), pages 510-541.
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