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Identification and Bayesian Estimation of Dynamic Factor Models
16 references·10 citing·36 second hop
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this work references cited by second hop

References

  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 2003Inferential Theory for Factor Models of Large Dimensions1,688 cited
  • 1998Measuring Monetary Policy1,643 cited
  • 1999State-Space Models with Regime Switching1,304 cited
  • 2003International Business Cycles: World, Region, and Country-Specific Factors1,234 cited
  • 2000State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications1,153 cited
  • 1956Statistical Inference in Factor Analysis966 cited
  • 1999Error Bands for Impulse Responses930 cited
  • 2005Implications of Dynamic Factor Models for VAR Analysis870 cited
  • 1986Performance measurement with the arbitrage pricing theory715 cited
  • 1978Latent Variables in Socio-Economic Models.616 cited

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  • 2006Determining the Number of Primitive Shocks in Factor Models540 cited
  • Cited by

    • 2016Tracking the Slowdown in Long-Run GDP Growth135 cited
    • 2016Econometric Analysis of Large Factor Models88 cited
    • 2021Common factors of commodity prices75 cited
    • 2020A Model of the Fed's View on Inflation64 cited
    • 2020Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I ( 1 ) cointegrated factors46 cited
    • 2015Boom or Gloom? Examining the Dutch Disease in Two-Speed Economies42 cited
    • 2021Institutions and Economic Development: New Measurements and Evidence34 cited
    • 2021Tracking weekly state-level economic conditions26 cited
    • 2019Decomposing global yield curve co-movement20 cited
    • 2020Investment Under Rational Inattention: Evidence from US Sectoral Data16 cited