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Aggregate versus disaggregate information in dynamic factor models
16 references·2 citing·31 second hopsampled
Aggregate versus disaggregate information in dynamic factor models (2016)Aggregate versus disaggregate information…Dynamic Hierarchical Factor Models (2013)Dynamic Hierarchical Factor M…The Oxford Handbook of Economic Forecasting (2011)The Oxford Handbook of Econom…Short‐term forecasts of euro area GDP growth (2011)Short‐term forecasts of euro …A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models (2011)A Quasi–Maximum Likelihood Ap…Introducing the euro‐sting: Short‐term indicator of euro area growth (2010)Introducing the euro‐sting: S…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 …Real-Time Measurement of Business Conditions (2009)Real-Time Measurement of Busi…Nowcasting: The real-time informational content of macroeconomic data (2008)Nowcasting: The real-time inf…Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components? (2008)Forecasting using a large num…The Generalized Dynamic Factor Model (2005)The Generalized Dynamic Facto…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…Leading economic indicators: new approaches and forecasting records (1991)Leading economic indicators: …A probability model of the coincident economic indicators (1991)A probability model of the co…A three-frequency dynamic factor model for nowcasting Canadian provincial GDP growth (2020)A three-frequency dynamic fac…Determining the number of factors after stationary univariate transformations (2016)Determining the number of fac…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)New Indexes of Coincident and Leading Economic Indicators (1989)State-Space Models with Regime Switching (1999)Now-Casting and the Real-Time Data Flow (2013)On the Methodological Framework of Composite Indices: A Review of the Issues of Weighting, Aggregation, and Robustness (2018)The arbitrage theory of capital asset pricing (1976)The Econometrics of Financial Markets (1997)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)A simple panel unit root test in the presence of cross‐section dependence (2007)The Econometrics of Financial Markets (2012)The Generalized Dynamic-Factor Model: Identification and Estimation (2000)Measuring Uncertainty (2015)GLOBAL BUSINESS CYCLES: CONVERGENCE OR DECOUPLING?* (2008)Vulnerable Growth (2019)The Quarterly Journal of Economics (2024)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Trends and random walks in macroeconomic time series (1988)Dissecting the cycle: a methodological investigation (2002)Macro Factors in Bond Risk Premia (2009)Large Bayesian vector auto regressions (2009)Prior Selection for Vector Autoregressions (2014)Empirical Asset Pricing via Machine Learning (2020)Forecasting Stock Returns (2013)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Fiscal Volatility Shocks and Economic Activity (2015)Forecasting economic time series using targeted predictors (2008)Inferential Theory for Factor Models of Large Dimensions (2003)25 years of time series forecasting (2006)Common Correlated Effects Estimation of Heterogenous Dynamic Panel Data Models with Weakly Exogenous Regressors (2013)
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References

  • 2002Determining the Number of Factors in Approximate Factor Models4,110 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
  • 2009Real-Time Measurement of Business Conditions916 cited
  • 2005The Generalized Dynamic Factor Model893 cited
  • 2002A new coincident index of business cycles based on monthly and quarterly series631 cited
  • 1991A probability model of the coincident economic indicators558 cited
  • 2011A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models531 cited
  • 2008Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?521 cited
  • 2011The Oxford Handbook of Economic Forecasting456 cited
  • 2010Introducing the euro‐sting: Short‐term indicator of euro area growth353 cited
  • 2011Short‐term forecasts of euro area GDP growth269 cited
  • 2010A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP258 cited
  • 1991Leading economic indicators: new approaches and forecasting records

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153 cited
  • 2013Dynamic Hierarchical Factor Models141 cited
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    • 2020A three-frequency dynamic factor model for nowcasting Canadian provincial GDP growth26 cited
    • 2016Determining the number of factors after stationary univariate transformations15 cited