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Testing for structural stability of factor augmented forecasting models. (2014). Swanson, Norman ; Corradi, Valentina.
In: Journal of Econometrics.
RePEc:eee:econom:v:182:y:2014:i:1:p:100-118.

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Cited: 47

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  1. Forecasting in factor augmented regressions under structural change. (2024). Kapetanios, George ; Massacci, Daniele.
    In: International Journal of Forecasting.
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  2. Mixing mixed frequency and diffusion indices in good times and in bad: an assessment based on historical data around the great recession of 2008. (2023). Kim, Hyun Hak ; Swanson, Norman R.
    In: Empirical Economics.
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  3. Measuring tourism demand nowcasting performance using a monotonicity test. (2023). Liu, Ying ; Song, Haiyan ; Wang, Yongjing.
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  4. One-stop source: A global database of inflation. (2023). Ohnsorge, Franziska ; Kose, Ayhan ; Ha, Jongrim.
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  5. Testing for structural changes in large dimensional factor models via discrete Fourier transform. (2023). Wang, Xia ; Hong, Yongmiao ; Fu, Zhonghao.
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  6. Group fused Lasso for large factor models with multiple structural breaks. (2023). Tu, Yundong ; Ma, Chenchen.
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  7. Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo.
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  8. Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo.
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  9. Estimation of high-dimensional factor models with multiple structural changes. (2022). Wu, Jianhong ; Wang, LU.
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  10. Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo.
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  11. Forecasting using cross-section average–augmented time series regressions. (2021). Westerlund, Joakim ; Karabiyik, Hande.
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  12. Solving the Price Puzzle Via A Functional Coefficient Factor-Augmented VAR Model. (2021). Liu, Xiyuan ; Cai, Zongwu.
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  13. Estimating and testing high dimensional factor models with multiple structural changes. (2021). Baltagi, Badi ; Wang, FA ; Kao, Chihwa.
    In: Journal of Econometrics.
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  14. Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions. (2020). Wochner, Daniel.
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  15. Sequential testing for structural stability in approximate factor models. (2020). Trapani, Lorenzo ; Barigozzi, Matteo.
    In: Stochastic Processes and their Applications.
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  16. Macroeconomic forecasting using approximate factor models with outliers. (2020). Yen, Yu-Min ; Chou, Ray Yeutien.
    In: International Journal of Forecasting.
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  17. Estimation and inference of change points in high-dimensional factor models. (2020). Han, XU ; Bai, Jushan ; Shi, Yutang .
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  18. Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara.
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  19. Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them. (2019). Rossi, Barbara.
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  20. Estimating and testing high dimensional factor models with multiple structural changes. (2019). Wang, FA ; Kao, Chihwa ; Baltagi, Badi H.
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  21. Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine.
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  22. Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine .
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  23. Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine .
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  24. Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara.
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  25. Big data analytics in economics: What have we learned so far, and where should we go from here?. (2018). Swanson, Norman ; Xiong, Weiqi.
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  26. Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi.
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  27. Simultaneous multiple change-point and factor analysis for high-dimensional time series. (2018). Barigozzi, Matteo ; Fryzlewicz, Piotr ; Cho, Haeran.
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  28. Estimation of large dimensional factor models with an unknown number of breaks. (2018). Su, Liangjun ; Ma, Shujie.
    In: Journal of Econometrics.
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  29. Simultaneous multiple change-point and factor analysis for high-dimensional time series. (2018). Barigozzi, Matteo ; Fryzlewicz, Piotr ; Cho, Haeran .
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  30. Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi.
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  31. Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro.
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  32. Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro.
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  33. Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo.
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  34. Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi.
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  35. On time-varying factor models: Estimation and testing. (2017). Su, Liangjun ; Wang, Xia.
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  36. Identification and estimation of a large factor model with structural instability. (2017). Kao, Chihwa ; Baltagi, Badi ; Wang, FA.
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  37. On testing for structural break of coefficients in factor-augmented regression models. (2017). Chen, Sanpan ; Zhang, Jianhua ; Cui, Guowei.
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  38. Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo.
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  39. Accurate Subsampling Intervals of Principal Components Factors. (2017). Ruiz, Esther ; de Vicente, Javier .
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  40. Forecast evaluation with factor-augmented models. (2016). Fosten, Jack.
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  41. Comment. (2016). Swanson, Norman R.
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  42. Chinas Increasing Global Influence: Changes in International Growth Spillovers. (2016). Osborn, Denise ; Bataa, Erdenebat ; Sensier, Marianne.
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  43. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics. (2016). Stock, J H ; Watson, M W.
    In: Handbook of Macroeconomics.
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  44. Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation. (2015). Kristensen, Johannes ; Callot, Laurent.
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  45. Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?. (2015). Hartigan, Luke .
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  46. Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation. (2015). Kristensen, Johannes ; Callot, Laurent.
    In: CREATES Research Papers.
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  47. Bootstrapping factor-augmented regression models. (2014). Perron, Benoit ; Goncalves, Silvia ; Gonalves, Silvia.
    In: Journal of Econometrics.
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  33. Structural interactions in spatial panels. (2011). Holly, Sean ; Bhattacharjee, Arnab.
    In: Empirical Economics.
    RePEc:spr:empeco:v:40:y:2011:i:1:p:69-94.

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  34. Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators. (2011). Swanson, Norman ; Armah, Nii Ayi .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201115.

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  35. Diffusion Index Models and Index Proxies: Recent Results and New Directions. (2011). Swanson, Norman ; Armah, Nii Ayi .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201114.

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  36. Detecting big structural breaks in large factor models. (2011). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang.
    In: MPRA Paper.
    RePEc:pra:mprapa:31344.

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  37. Macro factors in oil futures returns. (2011). Sevi, Benoit ; le Pen, Yannick.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/11663.

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  38. Were Fed’s active monetary policy actions necessary?. (2010). Pang, Iris Ai Jao, .
    In: MPRA Paper.
    RePEc:pra:mprapa:32496.

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  39. Forecasting Hong Kong economy using factor augmented vector autoregression. (2010). Pang, Iris Ai Jao, .
    In: MPRA Paper.
    RePEc:pra:mprapa:32495.

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  40. Equity premium predictions with adaptive macro indexes. (2010). Bai, Jennie.
    In: Staff Reports.
    RePEc:fip:fednsr:475.

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  41. Factor forecasting using international targeted predictors: The case of German GDP. (2010). Schumacher, Christian.
    In: Economics Letters.
    RePEc:eee:ecolet:v:107:y:2010:i:2:p:95-98.

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  42. Factor-GMM estimation with large sets of possibly weak instruments. (2010). Marcellino, Massimiliano ; Kapetanios, George.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:54:y:2010:i:11:p:2655-2675.

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  43. Factor forecasting using international targeted predictors: the case of German GDP. (2009). Schumacher, Christian.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:7579.

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  44. How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads. (2009). Sarno, Lucio ; Mody, Ashoka ; Eichengreen, Barry ; Nedeljkovic, Milan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14904.

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  45. How Has the Euro Changed the Monetary Transmission Mechanism?. (2009). Mojon, Benoit ; Giannoni, Marc P. ; Boivin, Jean .
    In: NBER Chapters.
    RePEc:nbr:nberch:7274.

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  46. Are Crime Rates Really Stationary?. (2009). Westerlund, Joakim ; Blomquist, Johan ; Johan, Blomquist ; Joakim, Westerlund .
    In: Working Papers.
    RePEc:hhs:lunewp:2009_020.

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  47. Model selection criteria for factor-augmented regressions. (2009). Groen, Jan ; Kapetanios, George.
    In: Staff Reports.
    RePEc:fip:fednsr:363.

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  48. Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models. (2009). Marcellino, Massimiliano ; Carriero, Andrea ; Kapetanios, George.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2009/31.

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  49. Dimension Reduction and Model Averaging for Estimation of Artists Age-Valuation Profiles. (2009). Hodgson, Douglas ; Galbraith, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-41.

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  50. Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study. (2008). Rossi, Eduardo ; Castagnetti, Carolina.
    In: MPRA Paper.
    RePEc:pra:mprapa:26196.

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  51. Real-Time Measurement of Business Conditions. (2008). Scotti, Chiara ; Diebold, Francis ; Aruoba, S. Boragan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14349.

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  52. How Has the Euro Changed the Monetary Transmission?. (2008). Mojon, Benoit ; Giannoni, Marc ; Boivin, Jean.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14190.

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  53. Global Forces and Monetary Policy Effectiveness. (2008). Giannoni, Marc ; Boivin, Jean.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13736.

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  54. Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1. (2008). Schumacher, Christian ; Marcellino, Massimiliano.
    In: Working Papers.
    RePEc:igi:igierp:333.

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  55. Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments. (2008). Swanson, Norman ; Armah, Nii Ayi .
    In: Working Papers.
    RePEc:fip:fedpwp:08-25.

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  56. Real-time measurement of business conditions. (2008). Scotti, Chiara ; Diebold, Francis ; Aruoba, S. Boragan.
    In: Working Papers.
    RePEc:fip:fedpwp:08-19.

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  57. Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP. (2008). Schumacher, Christian ; Marcellino, Massimiliano.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2008/16.

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  58. Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?. (2008). Reichlin, Lucrezia ; Giannone, Domenico ; de Mol, Christine .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:146:y:2008:i:2:p:318-328.

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  59. A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models. (2008). Reichlin, Lucrezia ; Giannone, Domenico ; Doz, Catherine.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2008_034.

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  60. Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP. (2008). Schumacher, Christian ; Marcellino, Massimiliano.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6708.

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  61. Factor Analysis in a Model with Rational Expectations. (2007). Marcellino, Massimiliano ; Henry, Jerome ; Farmer, Roger ; Beyer, Andreas.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13404.

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  62. Global Forces and Monetary Policy Effectiveness. (2007). Boivin, Jean ; Giannoni, Marc P..
    In: NBER Chapters.
    RePEc:nbr:nberch:0515.

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