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More is not always better : back to the Kalman filter in dynamic factor models
16 references·0 citing·41 second hopsampled
More is not always better : back to the Kalman filter in dynamic factor models (2012)More is not always better : back to the K…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models (2011)A Quasi–Maximum Likelihood Ap…Real-Time Measurement of Business Conditions (2009)Real-Time Measurement of Busi…Forecasting economic time series using targeted predictors (2008)Forecasting economic time ser…The Generalized Dynamic Factor Model (2005)The Generalized Dynamic Facto…A PANIC Attack on Unit Roots and Cointegration (2004)A PANIC Attack on Unit Roots …Inferential Theory for Factor Models of Large Dimensions (2003)Inferential Theory for Factor…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…The Generalized Dynamic-Factor Model: Identification and Estimation (2000)The Generalized Dynamic-Facto…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…A probability model of the coincident economic indicators (1991)A probability model of the co…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Book Review: Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)25 years of time series forecasting (2006)Probabilistic Forecasts, Calibration and Sharpness (2007)Empirical Asset Pricing via Machine Learning (2020)The Econometrics of Financial Markets (1997)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)A simple panel unit root test in the presence of cross‐section dependence (2007)The Econometrics of Financial Markets (2012)Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory (1977)Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Funds, Factors, and Diversification in Arbitrage Pricing Models (1983)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)New Indexes of Coincident and Leading Economic Indicators (1989)Macroeconomic Forecasting Using Diffusion Indexes (2002)Measuring Uncertainty (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Factor Analysis as a Statistical Method. (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)ARCH modeling in finance (1992)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for unit roots in heterogeneous panels (2003)Testing for Error Correction in Panel Data* (2007)Testing for Granger non-causality in heterogeneous panels (2012)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Discretion versus policy rules in practice (1993)Forecasting the Term Structure of Government Bond Yields (2003)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)Panel Data Models With Interactive Fixed Effects (2009)
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References

  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2004A PANIC Attack on Unit Roots and Cointegration1,933 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,735 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,705 cited
  • 2003Inferential Theory for Factor Models of Large Dimensions1,688 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2013Handbook of Economic Forecasting1,290 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,004 cited
  • 2009Real-Time Measurement of Business Conditions916 cited
  • 2005The Generalized Dynamic Factor Model893 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
  • 2008Forecasting economic time series using targeted predictors704 cited
  • 1991A probability model of the coincident economic indicators558 cited

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  • 2011A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models531 cited
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