SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Dynamic specification tests for dynamic factor models
16 references·4 citing·33 second hop
Dynamic specification tests for dynamic factor models (2018)Dynamic specification tests for dynamic f…Dynamic Factor Models (2012)Dynamic Factor ModelsA Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models (2011)A Quasi–Maximum Likelihood Ap…New Eurocoin: Tracking Economic Growth in Real Time (2010)New Eurocoin: Tracking Econom…Real-Time Measurement of Business Conditions (2009)Real-Time Measurement of Busi…Large Dimensional Factor Analysis (2008)Large Dimensional Factor Anal…99 Luftballons: Monetary policy and the house price boom across U.S. states (2007)99 Luftballons: Monetary poli…The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…A new coincident index of business cycles based on monthly and quarterly series (2002)A new coincident index of bus…The Generalized Dynamic-Factor Model: Identification and Estimation (2000)The Generalized Dynamic-Facto…An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching (1998)An Econometric Characterizati…A probability model of the coincident economic indicators (1991)A probability model of the co…New Indexes of Coincident and Leading Economic Indicators (1989)New Indexes of Coincident and…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables (1978)Testing Against General Autor…Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory (1977)Business Cycle Modeling Witho…Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)Testing for Serial Correlatio…Factor extraction using Kalman filter and smoothing: This is not just another survey (2021)Factor extraction using Kalma…Normality tests for latent variables (2019)Normality tests for latent va…Tests for serial dependence in static, non-Gaussian factor models (2015)Tests for serial dependence i…Fiscal policy and external adjustment: New evidence (2013)Fiscal policy and external ad…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)State-Space Models with Regime Switching (1999)Now-Casting and the Real-Time Data Flow (2013)Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016)On the Methodological Framework of Composite Indices: A Review of the Issues of Weighting, Aggregation, and Robustness (2018)The Generalized Dynamic Factor Model (2005)Transition Modeling and Econometric Convergence Tests (2007)Short- Term Interest Rates as Predictors of Inflation (2021)Macroeconomic Forecasting Using Diffusion Indexes (2002)Forecasting Stock Returns (2013)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Fiscal Volatility Shocks and Economic Activity (2015)The Information in Long-Maturity Forward Rates (1987)The Term Structure as a Predictor of Real Economic Activity (1991)Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Basel Committee On Banking Supervision (2010)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Panels with Nonstationary Multifactor Error Structures (2006)Exploring the international linkages of the euro area: a global VAR analysis (2007)U.S. Monetary Policy and the Global Financial Cycle (2020)DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)Modeling and pricing long memory in stock market volatility (1996)Social Change and Crime Rate Trends: A Routine Activity Approach (1979) (2010)The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Measuring the Output Responses to Fiscal Policy (2012)Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables (1978)Generalized autoregressive conditional heteroskedasticity (1986)Review of international tourism demand models (1997)Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)International Stock Return Comovements (2005)Macro Factors in Bond Risk Premia (2009)
this work references cited by second hop

References

  • 1989New Indexes of Coincident and Leading Economic Indicators1,795 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 1978Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables1,468 cited
  • 1970Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables1,184 cited
  • 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,097 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 2009Real-Time Measurement of Business Conditions916 cited
  • 1977Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory708 cited
  • 2002A new coincident index of business cycles based on monthly and quarterly series631 cited
  • 1991A probability model of the coincident economic indicators558 cited
  • 2011A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models531 cited
  • 2012Dynamic Factor Models468 cited
  • 200799 Luftballons: Monetary policy and the house price boom across U.S. states432 cited
  • 2010New Eurocoin: Tracking Economic Growth in Real Time411 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2008
Large Dimensional Factor Analysis
410 cited
  • 1998An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching406 cited
  • Cited by

    • 2015Tests for serial dependence in static, non-Gaussian factor models31 cited
    • 2021Factor extraction using Kalman filter and smoothing: This is not just another survey29 cited
    • 2013Fiscal policy and external adjustment: New evidence26 cited
    • 2019Normality tests for latent variables13 cited