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Identification theory for high dimensional static and dynamic factor models
14 references·0 citing·36 second hop
Identification theory for high dimensional static and dynamic factor models (2013)Identification theory for high dimensiona…Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models (2012)Identification and frequency …Dynamic Identification of Dynamic Stochastic General Equilibrium Models (2011)Dynamic Identification of Dyn…Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Structural Vector Autoregress…Implications of Dynamic Factor Models for VAR Analysis (2005)Implications of Dynamic Facto…Inferential Theory for Factor Models of Large Dimensions (2003)Inferential Theory for Factor…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…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…The dynamic effects of aggregate demand and supply disturbance (1988)The dynamic effects of aggreg…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …The Identification Problem for Multiple Equation Systems with Moving Average Errors (1971)The Identification Problem fo…Statistical Inference in Factor Analysis (1956)Statistical Inference in Fact…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)TESTS OF SIGNIFICANCE IN FACTOR ANALYSIS (1950)Economic Forces and the Stock Market (1986)Understanding the Mechanisms Through Which an Influential Early Childhood Program Boosted Adult Outcomes (2013)Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory (1977)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)New Indexes of Coincident and Leading Economic Indicators (1989)Transition Modeling and Econometric Convergence Tests (2007)Macroeconomic Forecasting Using Diffusion Indexes (2002)Measuring Uncertainty (2015)Macroeconomics and Reality (1980)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Risk, uncertainty and monetary policy (2013)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Deconstructing Monetary Policy Surprises: The Role of Information Shocks (2018)The arbitrage theory of capital asset pricing (1976)An Empirical Investigation of the Arbitrage Pricing Theory (1980)The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)Macro Factors in Bond Risk Premia (2009)Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors (2015)FRED-MD: A Monthly Database for Macroeconomic Research (2015)Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)International Stock Return Comovements (2005)
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References

  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 2003Inferential Theory for Factor Models of Large Dimensions1,688 cited
  • 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,097 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets975 cited
  • 1956Statistical Inference in Factor Analysis966 cited
  • 2009Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference901 cited
  • 2005Implications of Dynamic Factor Models for VAR Analysis870 cited
  • 1988The dynamic effects of aggregate demand and supply disturbance468 cited
  • 1971The Identification Problem for Multiple Equation Systems with Moving Average Errors184 cited
  • 2011Dynamic Identification of Dynamic Stochastic General Equilibrium Models183 cited
  • 2012Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models82 cited

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