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Determining the Number of Primitive Shocks in Factor Models
6 references·16 citing·41 second hop
Determining the Number of Primitive Shocks in Factor Models (2006)Determining the Number of Primitive Shock…Implications of Dynamic Factor Models for VAR Analysis (2005)Implications of Dynamic Facto…Monetary policy in a data-rich environment (2003)Monetary policy in a data-ric…Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Alternative Explanations of the Money-Income Correlation (1986)Alternative Explanations of t…Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory (1977)Business Cycle Modeling Witho…Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016)Dynamic Factor Models, Factor…Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors (2015)Common correlated effects est…THEORY AND PRACTICE OF GVAR MODELLING (2014)THEORY AND PRACTICE OF GVAR M…Large Panel Data Models with Cross-Sectional Dependence: A Survey (2013)Large Panel Data Models with …Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling (2013)Facts and Challenges from the…Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy? 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this work references cited by second hop

References

  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 1986Alternative Explanations of the Money-Income Correlation1,501 cited
  • 2005Implications of Dynamic Factor Models for VAR Analysis870 cited
  • 1977Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory708 cited
  • 2003Monetary policy in a data-rich environment702 cited

Cited by

  • 2015Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors2,526 cited
  • 2009Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets575 cited
  • 2007Determining the Number of Factors in the General Dynamic Factor Model559 cited
  • 2012Dynamic Factor Models468 cited
  • 2016Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics432 cited
  • 2009Testing Hypotheses About the Number of Factors in Large Factor Models428 cited
  • 2009OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS394 cited
  • 2010Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP*

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298 cited
  • 2013Large Panel Data Models with Cross-Sectional Dependence: A Survey273 cited
  • 2010A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP258 cited
  • 2006Consistent Estimation of the Number of Dynamic Factors in a LargeNandTPanel223 cited
  • 2014THEORY AND PRACTICE OF GVAR MODELLING221 cited
  • 2013Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling211 cited
  • 2010Testing for structural breaks in dynamic factor models208 cited
  • 2013Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?198 cited
  • 2009The dynamic effects of monetary policy: A structural factor model approach187 cited