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A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP
16 references·16 citing·34 second hopsampled
A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP (2010)A look into the factor model black box: P…A two-step estimator for large approximate dynamic factor models based on Kalman filtering (2011)A two-step estimator for larg…New Eurocoin: Tracking Economic Growth in Real Time (2010)New Eurocoin: Tracking Econom…Nowcasting: The real-time informational content of macroeconomic data (2008)Nowcasting: The real-time inf…Forecasting economic time series using targeted predictors (2008)Forecasting economic time ser…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…Implications of Dynamic Factor Models for VAR Analysis (2005)Implications of Dynamic Facto…NBER Macroeconomics Annual 2002 (2003)NBER Macroeconomics Annual 20…Monetary policy in a data-rich environment (2003)Monetary policy in a data-ric…Macroeconomic forecasting in the Euro area: Country specific versus area-wide information (2003)Macroeconomic forecasting in …Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…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…A new coincident index of business cycles based on monthly and quarterly series (2002)A new coincident index of bus…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Interconnectedness in the interbank market (2019)Interconnectedness in the int…Is the intrinsic value of a macroeconomic news announcement related to its asset price impact? 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References

  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2008Nowcasting: The real-time informational content of macroeconomic data1,153 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,076 cited
  • 2005Implications of Dynamic Factor Models for VAR Analysis870 cited
  • 2005The Generalized Dynamic Factor Model824 cited
  • 2008Forecasting economic time series using targeted predictors704 cited
  • 2003Monetary policy in a data-rich environment702 cited
  • 2002A new coincident index of business cycles based on monthly and quarterly series631 cited
  • 2006Determining the Number of Primitive Shocks in Factor Models540 cited
  • 2011A two-step estimator for large approximate dynamic factor models based on Kalman filtering480 cited
  • 2003NBER Macroeconomics Annual 2002471 cited
  • 2003Macroeconomic forecasting in the Euro area: Country specific versus area-wide information415 cited

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  • 2010New Eurocoin: Tracking Economic Growth in Real Time411 cited
  • Cited by

    • 2016Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises339 cited
    • 2015Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility243 cited
    • 2019Interconnectedness in the interbank market171 cited
    • 2010Short-Term Forecasting of GDP Using Large Monthly Datasets: A Pseudo Real-Time Forecast Evaluation Exercise167 cited
    • 2013Nowcasting GDP in Real Time: A Density Combination Approach129 cited
    • 2016Predicting Tourist Demand Using Big Data129 cited
    • 2009Short‐term forecasting of GDP using large datasets: a pseudo real‐time forecast evaluation exercise123 cited
    • 2012POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIRICAL EVIDENCE FOR SIX INDUSTRIALIZED COUNTRIES121 cited
    • 2013A Survey of Econometric Methods for Mixed-Frequency Data121 cited
    • 2015Testing for Granger causality with mixed frequency data117 cited
    • 2010Short-Term Forecasting of GDP Using Large Monthly Datasets – A Pseudo Real-Time Forecast Evaluation Exercise104 cited
    • 2013Forecasting Output93 cited
    • 2017Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?88 cited
    • 2015The economic impact of merger control76 cited
    • 2012Nowcasting74 cited
    • 2016Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts73 cited