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Are Disaggregate Data Useful for Factor Analysis in Forecasting French GDP?
16 references·0 citing·27 second hop
Are Disaggregate Data Useful for Factor Analysis in Forecasting French GDP? (2010)Are Disaggregate Data Useful for Factor A…Nowcasting: The real-time informational content of macroeconomic data (2008)Nowcasting: The real-time inf…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Determining the Number of Primitive Shocks in Factor Models (2006)Determining the Number of Pri…The Generalized Dynamic Factor Model (2005)The Generalized Dynamic Facto…A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series (2005)A comparison of direct and it…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…The Generalized Dynamic-Factor Model: Identification and Estimation (2000)The Generalized Dynamic-Facto…Forecasting inflation (1999)Forecasting inflationTesting the equality of prediction mean squared errors (1997)Testing the equality of predi…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyNew Indexes of Coincident and Leading Economic Indicators (1989)New Indexes of Coincident and…Performance measurement with the arbitrage pricing theory (1986)Performance measurement with …Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory (1977)Business Cycle Modeling Witho…Tests for Unit Roots: A Monte Carlo Investigation (1989)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)Comparing Predictive Accuracy (1995)25 years of time series forecasting (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)A Test for Superior Predictive Ability (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Interpreting the macroeconomic time series facts (1992)Efficient Tests for an Autoregressive Unit Root (1996)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Large Bayesian vector auto regressions (2009)Real-Time Measurement of Business Conditions (2009)Prior Selection for Vector Autoregressions (2014)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)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Measuring Uncertainty (2015)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)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1994Comparing Predictive Accuracy5,495 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
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 1989New Indexes of Coincident and Leading Economic Indicators1,795 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1999Forecasting inflation1,273 cited
  • 2008Nowcasting: The real-time informational content of macroeconomic data1,153 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2005The Generalized Dynamic Factor Model824 cited
  • 2005A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series808 cited
  • 1986Performance measurement with the arbitrage pricing theory715 cited
  • 1977Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory708 cited

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2006
Determining the Number of Primitive Shocks in Factor Models
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