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Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
14 references·16 citing·40 second hop
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References

  • 1998Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data6,815 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 1999GMM estimation with cross sectional dependence2,683 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 2003Inferential Theory for Factor Models of Large Dimensions1,688 cited
  • 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,097 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,076 cited
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  • 2009The Effects of Privatization and Ownership in Transition Economies927 cited
  • 2003Monetary policy in a data-rich environment702 cited
  • 2003Do financial variables help forecasting inflation and real activity in the euro area?336 cited

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2011
A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models
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  • 2020Anomalies and the Expected Market Return203 cited
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