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Identification of Macroeconomic Factors in Large Panels
16 references·0 citing·39 second hopsampled
Identification of Macroeconomic Factors in Large Panels (2009)Identification of Macroeconomic Factors i…Identifying the interdependence between US monetary policy and the stock market (2008)Identifying the interdependen…Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach (2008)Forecasting the yield curve i…Determining the Number of Primitive Shocks in Factor Models (2006)Determining the Number of Pri…What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)What are the effects of monet…Implications of Dynamic Factor Models for VAR Analysis (2005)Implications of Dynamic Facto…The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting (2002)The Generalized Dynamic Facto…Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…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…Monetary Policy Shocks: What Have We Learned and to What End? (1998)Monetary Policy Shocks: What …Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa (1998)Bayesian Leading Indicators: …What Does Monetary Policy Do? (1996)What Does Monetary Policy Do?Two Models of Measurements and the Investment Accelerator (1989)Two Models of Measurements an…Time-to-Build and Aggregate Fluctuations: Some New Evidence (1989)Time-to-Build and Aggregate F…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …Macroeconomics and Reality (1980)Macroeconomics and RealityThe arbitrage theory of capital asset pricing (1976)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)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Econometric policy evaluation: A critique (1976)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Understanding the Effects of Government Spending on Consumption (2007)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)New Indexes of Coincident and Leading Economic Indicators (1989)The Generalized Dynamic-Factor Model: Identification and Estimation (2000)Measuring Uncertainty (2015)MONEY, INCOME, AND CAUSALITY (1972)The federal funds rate and the channels of monetary transmission (1989)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)The Science of Monetary Policy: A New Keynesian Perspective (1999)Implications of rational inattention (2003)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)A PANIC Attack on Unit Roots and Cointegration (2004)Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets (2009)Common Correlated Effects Estimation of Heterogenous Dynamic Panel Data Models with Weakly Exogenous Regressors (2013)Empirical Asset Pricing via Machine Learning (2020)Large Bayesian vector auto regressions (2009)Macro Factors in Bond Risk Premia (2009)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2005What are the effects of monetary policy on output? Results from an agnostic identification procedure2,303 cited
  • 1998Monetary Policy Shocks: What Have We Learned and to What End?2,203 cited
  • 1996What Does Monetary Policy Do?1,081 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,004 cited
  • 2005Implications of Dynamic Factor Models for VAR Analysis870 cited
  • 2006Determining the Number of Primitive Shocks in Factor Models540 cited
  • 2008Identifying the interdependence between US monetary policy and the stock market441 cited
  • 1989Two Models of Measurements and the Investment Accelerator371 cited
  • 1989Time-to-Build and Aggregate Fluctuations: Some New Evidence261 cited
  • 2008Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach252 cited
  • 2002The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting

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219 cited
  • 1998Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa209 cited
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