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Estimation and Inference on Time-Varying FAVAR Models
16 references·0 citing·38 second hop
Estimation and Inference on Time-Varying FAVAR Models (2023)Estimation and Inference on Time-Varying …Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects (2015)Linear Regression for Panel W…Forecasting in Dynamic Factor Models Subject to Structural Instability* (2009)Forecasting in Dynamic Factor…Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles (2008)Dynamic Factor Models with Ti…Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions (2006)Confidence Intervals for Diff…The Generalized Dynamic Factor Model (2005)The Generalized Dynamic Facto…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach* (2005)Measuring the Effects of Mone…Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Nonparametric Specification T…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…Evolving Post-World War II U.S. Inflation Dynamics (2001)Evolving Post-World War II U.…The Generalized Dynamic-Factor Model: Identification and Estimation (2000)The Generalized Dynamic-Facto…Testing for structural change in conditional models (2000)Testing for structural change…Chapter 2 Monetary policy shocks: What have we learned and to what end? (1999)Chapter 2 Monetary policy sho…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Interpreting the macroeconomic time series facts (1992)Interpreting the macroeconomi…A Monetary History of the United States 1867-1960 (1964)MONEY, INCOME, AND CAUSALITY (1972)Macroeconomics and Reality (1980)Monetary Theory and Policy (1999)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)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)The federal funds rate and the channels of monetary transmission (1989)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)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)Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets (2009)Macro Factors in Bond Risk Premia (2009)A new index of financial conditions (2014)The Quarterly Journal of Economics (2024)Phillips Curves, Expectations of Inflation and Optimal Unemployment over Time (1967)A Positive Theory of Monetary Policy in a Natural Rate Model (1983)State-Space Models with Regime Switching (1999)Has the Business Cycle Changed and Why? (2002)Estimating the Effects of Fiscal Policy in OECD Countries (2003)Has Monetary Policy Become More Effective? (2006)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Testing for a unit root in panels with dynamic factors (2004)Determining the Number of Factors in the General Dynamic Factor Model (2007)Forecasting economic time series using targeted predictors (2008)
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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
  • 1992Interpreting the macroeconomic time series facts1,858 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 2003Inferential Theory for Factor Models of Large Dimensions1,688 cited
  • 1999Chapter 2 Monetary policy shocks: What have we learned and to what end?1,484 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2001Evolving Post-World War II U.S. Inflation Dynamics914 cited
  • 2005The Generalized Dynamic Factor Model824 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach*681 cited
  • 2006Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions629 cited
  • 2000Testing for structural change in conditional models465 cited
  • 2004Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates311 cited
  • 2015Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects299 cited
  • 2008

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Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles
275 cited
  • 2009Forecasting in Dynamic Factor Models Subject to Structural Instability*248 cited
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