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The generalized dynamic factor model consistency and rates. (2004). Reichlin, Lucrezia ; Lippi, Marco ; Hallin, Marc ; Forni, Mario.
In: Journal of Econometrics.
RePEc:eee:econom:v:119:y:2004:i:2:p:231-255.

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  57. The three-pass regression filter: A new approach to forecasting using many predictors. (2015). Pruitt, Seth ; Kelly, Bryan.
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  62. Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach. (2014). Focker, Fulvia ; Triacca, Umberto.
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  120. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David ; Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo.
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  145. Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting. (2008). Groen, Jan ; Kapetanios, George.
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  6. Engle, R.F. ; Watson, M.F. A one-factor multivariate time series model of metropolitan wage rates. 1981 Journal of the American Statistical Association. 76 774-781
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  7. Forni, M. ; Hallin, M. ; Lippi, M. ; Reichlin, L. Coincident and leading indicators for the Euro area. 2001 The Economic Journal. 111 62-85

  8. Forni, M. ; Hallin, M. ; Lippi, M. ; Reichlin, L. The generalized factor model. 2000 The Review of Economics and Statistics. 80 540-554
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  9. Forni, M. ; Lippi, M. The generalized factor model. 2001 Econometric Theory. 17 1113-1141

  10. Forni, M. ; Reichlin, L. Let's get real. 1998 Review of Economic Studies. 65 453-473
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  11. Geweke, J. The dynamic factor analysis of economic time series. 1977 En : Aigner, D.J. ; Goldberger, A.S. Latent Variables in Socio-Economic Models. North-Holland: Amsterdam
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  12. Granger, C.W.J. Macroeconometrics. 2001 Journal of Econometrics. 100 17-19

  13. Hallin, M., Liška, R., 2003. Dynamic factor models: the number of factors and related issues, unpublished manuscript.
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  14. Quah, D. ; Sargent, T.J. A dynamic index model for large cross sections. 1993 En : Stock, J.H. ; Watson, M.W. Business Cycles, Indicators, and Forecasting. N.B.E.R. and University of Chicago Press: Chicago

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  16. Stock, J.H. ; Watson, M.W. Forecasting using principal components from a large number of predictors. 2002 Journal of the American Statistical Association. 97 1167-1179

  17. Stock, J.H. ; Watson, M.W. Macroeconomic Forecasting using Diffusion Indexes. 2002 Journal of Business and Economic Statistics. 20 147-162

  18. Wilkinson, J.H. . 1965 Clarendon Press: Oxford
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Cocites

Documents in RePEc which have cited the same bibliography

  1. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2015). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-58.

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  2. Likelihood-based Analysis for Dynamic Factor Models. (2014). Koopman, Siem Jan ; Jungbacker, Borus .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080007.

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  3. A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence. (2014). Pesaran, M ; Holly, Sean ; Bailey, Natalia.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4592.

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  4. Specification Analysis of International Treasury Yield Curve Factors. (2014). Pegoraro, Fulvio ; SIEGEL, A. F. ; Pezzoli, Tiozzo L..
    In: Working papers.
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  5. Regional convergence analysis for skill-specific employment groups. (2013). Werner, Daniel .
    In: Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
    RePEc:zbw:vfsc13:79706.

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  6. The environmental convergence hypothesis: Carbon dioxide emissions according to the source of energy. (2013). Herrerias, Maria Jesus.
    In: Energy Policy.
    RePEc:eee:enepol:v:61:y:2013:i:c:p:1140-1150.

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  7. Futures Trading and the Excess Comovement of Commodity Prices. (2013). Sévi, Benoît ; LE PEN, Yannick ; Sevi, Benoit.
    In: AMSE Working Papers.
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  8. The Transmission of Euro Area Monetary Shocks to the Czech Republic, Poland and Hungary: Evidence from a FAVAR Model. (2011). Woerz, Julia ; Feldkircher, Martin ; Benkovskis, Konstantins ; Bessonovs, Andrejs ; Beņkovskis, Konstantīns ; Worz, Julia.
    In: Focus on European Economic Integration.
    RePEc:onb:oenbfi:y:2011:i:3:b:1.

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  9. Temporal variations in technical efficiency: evidence from German soccer. (2011). Lee, Young Hoon ; Frick, Bernd.
    In: Journal of Productivity Analysis.
    RePEc:kap:jproda:v:35:y:2011:i:1:p:15-24.

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  10. Social Interactions in the Labor Market. (2011). Kniesner, Thomas ; Grodner, Andrew ; Bishop, John A..
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp5934.

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  11. On the link between forward energy prices: A nonlinear panel cointegration approach. (2011). Mignon, Valérie ; Joëts, Marc ; Joets, Marc.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2011-25.

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  12. Regional Inflation (Price) Behaviors: Heterogeneity and Convergence. (2010). Nagayasu, Jun.
    In: MPRA Paper.
    RePEc:pra:mprapa:25430.

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  13. Gathering insights on the forest from the trees: a new metric for financial conditions. (2010). Brave, Scott ; Butters, Andrew R..
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-2010-07.

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  14. Analyse der Ãœbertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR. (2009). Eickmeier, Sandra.
    In: Working Papers.
    RePEc:zbw:svrwwp:042009.

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  15. Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation. (2007). Demers, Frederick ; Cheung, Calista.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-8.

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  16. Aggregate idiosyncratic volatility in G7 countries. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-027.

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  17. Cointegration in panel data with breaks and cross-section dependence. (2006). Carrion-i-Silvestre, Josep ; Banerjee, Anindya.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006591.

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  18. Co-movements in EU banks’ fragility: a dynamic factor model approach. (2005). Vulpes, Giuseppe ; Brasili, Andrea .
    In: Finance.
    RePEc:wpa:wuwpfi:0411011.

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  19. New Panel Unit Root Tests under Cross Section Dependence for Practitioners. (2005). Sul, Donggyu.
    In: Econometrics.
    RePEc:wpa:wuwpem:0506010.

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  20. Factor model forecasts for New Zealand. (2005). Matheson, Troy.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2005/01.

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  21. Implications of Dynamic Factor Models for VAR Analysis. (2005). Watson, Mark ; Stock, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11467.

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  22. Simulation-Based Two-Step Estimation with Endogenous Regressors. (2005). Kao, Chihwa ; Kan, Kamhon.
    In: Center for Policy Research Working Papers.
    RePEc:max:cprwps:76.

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  23. On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence. (2005). Kao, Chihwa ; Bai, Jushan.
    In: Center for Policy Research Working Papers.
    RePEc:max:cprwps:75.

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  24. On PPP, Unit Roots and Panels. (2005). Wagner, Martin.
    In: Economics Series.
    RePEc:ihs:ihsesp:176.

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  25. On the Predictability of Global Stock Returns. (2005). Hjalmarsson, Erik.
    In: Working Papers in Economics.
    RePEc:hhs:gunwpe:0161.

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  26. Factor analysis in a New-Keynesian model. (2005). Marcellino, Massimiliano ; Henry, Jerome ; Farmer, Roger ; Beyer, Andreas.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005510.

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  27. Comovements in the prices of securities issued by large complex financial institutions. (2005). Stevens, Ibrahim ; Marsh, Ian.
    In: Bank of England working papers.
    RePEc:boe:boeewp:256.

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  28. Regional convergence across European Union. (2004). Gutierrez, Luciano ; Brasili, Cristina.
    In: Development and Comp Systems.
    RePEc:wpa:wuwpdc:0402002.

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  29. Forecasting Austrian Inflation. (2004). Scharler, Johann ; Rumler, Fabio ; Moser, Gabriel .
    In: Working Papers.
    RePEc:onb:oenbwp:91.

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  30. Measuring monetary policy in the UK: a factor augmented vector autoregressive approach. (2004). Lagana, Gianluca.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:64.

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  31. Panel Data Tests of PPP. A Critical Overview. (2004). cerrato, mario ; Caporale, Guglielmo Maria.
    In: Economics Series.
    RePEc:ihs:ihsesp:159.

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  32. Structural changes, common stochastic trends and unit roots in panel data. (2004). Carrion-i-Silvestre, Josep ; Bai, Jushan.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:345.

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  33. Sources and Propagation Mechanims of Foreign Disturbances in Small Open Economies: A Dynamic Factor Analysis. (2004). Justiniano, Alejandro.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:148.

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  34. Macroeconomic Forecasting with Independent Component Analysis. (2004). Yau, Ruey .
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:741.

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  35. Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence. (2004). Sul, Donggyu ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1438.

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  36. Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure. (2004). Pesaran, M.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1331.

    Full description at Econpapers || Download paper

  37. Stochastic Trends, Demographics and Demand Systems. (2004). Attfield, Clifford.
    In: Bristol Economics Discussion Papers.
    RePEc:bri:uobdis:04/563.

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  38. Unobserved Heterogeneity in Panel Time Series Models. (2004). Smith, Ronald ; Fuertes, Ana-Maria ; Coakley, Jerry.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0403.

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  39. Common and idiosyncratic shocks to labor productivity across sectors and countries: Is climate relevant?. (2003). Gutierrez, Luciano.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0311008.

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  40. Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison. (2003). Gutierrez, Luciano.
    In: Econometrics.
    RePEc:wpa:wuwpem:0310004.

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  41. The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting. (2003). Reichlin, Lucrezia ; Lippi, Marco ; Hallin, Marc ; Forni, Mario.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2003/13.

    Full description at Econpapers || Download paper

  42. Have National Business Cycles Become More Synchronized?. (2003). Bordo, Michael ; Helbling, Thomas .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10130.

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  43. Forecasting in large macroeconomic panels using Bayesian Model Averaging. (2003). Potter, Simon ; Koop, Gary.
    In: Staff Reports.
    RePEc:fip:fednsr:163.

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  44. Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence. (2003). Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0305.

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  45. Covariance structure analysis of regional development data: an application to municipality development assessment. (2002). Cziraky, Dario ; Malekovic, Sanja ; Polic, Mario ; Jurlin, Kresimir ; Puljiz, Jaksa.
    In: ERSA conference papers.
    RePEc:wiw:wiwrsa:ersa02p469.

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  46. Testing for a Unit Root in Panels with Dynamic Factors. (2002). Perron, Benoit ; Moon, Hyungsik.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-18.

    Full description at Econpapers || Download paper

  47. Factor Models in Large Cross-Sections of Time Series. (2002). Reichlin, Lucrezia.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3285.

    Full description at Econpapers || Download paper

  48. Generalized Reduced Rank Regression. (2002). .
    In: Working Papers.
    RePEc:bro:econwp:2002-02.

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  49. A PANIC Attack on Unit Roots and Cointegration. (2001). Ng, Serena ; Bai, Jushan.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:519.

    Full description at Econpapers || Download paper

  50. A New Look at Panel Testing of Stationarity and the PPP Hypothesis. (2001). Ng, Serena ; Bai, Jushan.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:518.

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