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Finite Sample Performance of Small Versus Large Scale Dynamic Factor Models
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References

  • 2008Nowcasting: The real-time informational content of macroeconomic data1,153 cited
  • 2009Real-Time Measurement of Business Conditions916 cited
  • 2013Gross capital flows: Dynamics and crises712 cited
  • 2002A new coincident index of business cycles based on monthly and quarterly series631 cited
  • 2010Introducing the euro‐sting: Short‐term indicator of euro area growth353 cited
  • 2011Short‐term forecasts of euro area GDP growth269 cited
  • 2005Evaluating latent and observed factors in macroeconomics and finance226 cited
  • 2002The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting219 cited
  • 2011Short-run forecasting of the euro-dollar exchange rate with economic fundamentals109 cited
  • 2011Income and Democracy: Revisiting the Evidence100 cited
  • 2003Are More Data Always Better for Factor Analysis?100 cited
  • 2010Local Versus Aggregate Lending Channels: The Effects Of Securitization On Corporate Credit Supply In Spain72 cited
  • 2011Do Dynamic Provisions Reduce Income Smoothing Using Loan Loss Provisions?69 cited
  • 2010Cash Holdings, Firm Size and Access to External Finance - Evidence for the Euro Area65 cited
  • 2011The Effects of Fiscal Shocks on the Exchange Rate in Spain

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62 cited
  • 2012Extracting Non-Linear Signals from Several Economic Indicators62 cited
  • Cited by

    • 2016Tracking the Slowdown in Long-Run GDP Growth135 cited
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    • 2012The Schooling Response to a Sustained Increase in Low-Skill Wages: Evidence from Spain 1989-200975 cited
    • 2012The Cycle of Earnings Inequality: Evidence from Spanish Social Security Data71 cited
    • 2014Term Structure Estimation, Liquidity-Induced Heteroskedasticity and the Price of Liquidity Risk67 cited
    • 2012International Reserves and Gross Capital Flows - Dynamics During Financial Stress65 cited
    • 2016Model Confidence Sets and forecast combination65 cited
    • 2013Short-Term Forecasting for Empirical Economists. A Survey of the Recently Proposed Algorithms61 cited
    • 2012The Safety and Soundness Effects of Bank M&As in the EU: Does Prudential Regulation Have Any Impact?57 cited
    • 2014Estimation of Regulatory Credit Risk Models56 cited
    • 2012Boom-Bust Cycles, Imbalances and Discipline in Europe55 cited
    • 2012The Recent Slowdown of Bank Lending in Spain: Are Supply-Side Factors Relevant?54 cited
    • 2012The International Risk-Sharing Puzzle is at Business-Cycle and Lower Frequency51 cited
    • 2012Can We Use Seasonally Adjusted Indicators in Dynamic Factor Models?46 cited
    • 2012Effects of Equity Capital on the Interest Rate and the Demand for Credit: Empirical Evidence from Spanish Banks45 cited
    • 2012Why Did High Productivity Growth of Banks Precede the Financial Crisis?44 cited