Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Breitung, Jörg & Tenhofen, Jörn, 2011. "GLS Estimation of Dynamic Factor Models," Journal of the American Statistical Association, American Statistical Association, vol. 106(495), pages 1150-1166.
- Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008.
"Nowcasting: The real-time informational content of macroeconomic data,"
Journal of Monetary Economics, Elsevier, vol. 55(4), pages 665-676, May.
- Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
- Domenico Giannone & Lucrezia Reichlin & David H Small, 2007. "Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases," Money Macro and Finance (MMF) Research Group Conference 2006 164, Money Macro and Finance Research Group.
- Reichlin, Lucrezia & Giannone, Domenico & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers 5178, C.E.P.R. Discussion Papers.
- Danny Quah & Thomas J. Sargent, 1993.
"A Dynamic Index Model for Large Cross Sections,"
NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 285-310,
National Bureau of Economic Research, Inc.
- Danny Quah & Thomas J. Sargent, 1992. "A dynamic index model for large cross sections," Discussion Paper / Institute for Empirical Macroeconomics 77, Federal Reserve Bank of Minneapolis.
- Danny Quah & Thomas J. Sargent, 1993. "A Dynamic Index Model for Large Cross Sections," CEP Discussion Papers dp0132, Centre for Economic Performance, LSE.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011.
"A two-step estimator for large approximate dynamic factor models based on Kalman filtering,"
Journal of Econometrics, Elsevier, vol. 164(1), pages 188-205, September.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2006. "A Two-step estimator for large approximate dynamic factor models based on Kalman filtering," THEMA Working Papers 2006-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," PSE-Ecole d'économie de Paris (Postprint) hal-00638009, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print hal-00638009, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638009, HAL.
- Catherine Doz & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print hal-00844811, HAL.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2007. "A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering," CEPR Discussion Papers 6043, C.E.P.R. Discussion Papers.
- Jushan Bai & Serena Ng, 2002.
"Determining the Number of Factors in Approximate Factor Models,"
Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012.
"A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models,"
The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series 674, European Central Bank.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," Working Papers ECARES 2008_034, ULB -- Universite Libre de Bruxelles.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Post-Print hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) hal-00638440, HAL.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
- Alexei Onatski, 2009. "Testing Hypotheses About the Number of Factors in Large Factor Models," Econometrica, Econometric Society, vol. 77(5), pages 1447-1479, September.
- Bai, Jushan & Ng, Serena, 2008. "Forecasting economic time series using targeted predictors," Journal of Econometrics, Elsevier, vol. 146(2), pages 304-317, October.
- Nii Ayi Armah & Norman Swanson, 2010.
"Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments,"
Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 476-510.
- Nii Ayi Armah & Norman R. Swanson, 2008. "Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments," Working Papers 08-25, Federal Reserve Bank of Philadelphia.
- Norman R. Swanson & Nii Ayi Armah, 2011. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments," Departmental Working Papers 201105, Rutgers University, Department of Economics.
- Stock, James H. & Watson, Mark, 2011. "Dynamic Factor Models," Scholarly Articles 28469541, Harvard University Department of Economics.
- Mario Forni & Lucrezia Reichlin, 1998.
"Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 453-473.
- Mario Forni & Lucrezia Reichlin, 1998. "Let's get real: a factor analytical approach to disaggregated business cycle dynamics," ULB Institutional Repository 2013/10147, ULB -- Universite Libre de Bruxelles.
- Reichlin, Lucrezia & Giannone, Domenico & Small, David, 2005.
"Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases,"
CEPR Discussion Papers
5178, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia & Small, David H., 2006. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Working Paper Series 633, European Central Bank.
- Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
- Domenico Giannone & Lucrezia Reichlin & David H Small, 2007. "Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases," Money Macro and Finance (MMF) Research Group Conference 2006 164, Money Macro and Finance Research Group.
- Camacho, Maximo & Perez-Quiros, Gabriel & Poncela, Pilar, 2018.
"Markov-switching dynamic factor models in real time,"
International Journal of Forecasting, Elsevier, vol. 34(4), pages 598-611.
- Pérez-Quirós, Gabriel & Poncela, Pilar & Camacho, Máximo, 2012. "Markov-switching dynamic factor models in real time," CEPR Discussion Papers 8866, C.E.P.R. Discussion Papers.
- Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela, 2012. "Markov-switching dynamic factor models in real time," Working Papers 1205, Banco de España.
- Connor, Gregory & Korajczyk, Robert A., 1986. "Performance measurement with the arbitrage pricing theory : A new framework for analysis," Journal of Financial Economics, Elsevier, vol. 15(3), pages 373-394, March.
- Maximo Camacho & Gabriel Perez-Quiros, 2010.
"Introducing the euro-sting: Short-term indicator of euro area growth,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 663-694.
- Maximo Camacho & Gabriel Perez-Quiros, 2008. "Introducing the EURO-STING: Short Term INdicator of Euro Area Growth," Working Papers 0807, Banco de España.
- Pérez-Quirós, Gabriel & Camacho, Máximo, 2009. "Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth," CEPR Discussion Papers 7343, C.E.P.R. Discussion Papers.
- Bai, Jushan & Ng, Serena, 2007. "Determining the Number of Primitive Shocks in Factor Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 52-60, January.
- Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009.
"Opening The Black Box: Structural Factor Models With Large Cross Sections,"
Econometric Theory, Cambridge University Press, vol. 25(5), pages 1319-1347, October.
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Center for Economic Research (RECent) 008, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series 712, European Central Bank.
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2008. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Working Papers ECARES 2008_036, ULB -- Universite Libre de Bruxelles.
- S. Boragan Aruoba & Francis X. Diebold, 2010.
"Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions,"
American Economic Review, American Economic Association, vol. 100(2), pages 20-24, May.
- S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," PIER Working Paper Archive 10-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-time macroeconomic monitoring: real activity, inflation, and interactions," Working Papers 10-5, Federal Reserve Bank of Philadelphia.
- S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," NBER Working Papers 15657, National Bureau of Economic Research, Inc.
- Bernanke, Ben S. & Boivin, Jean, 2003.
"Monetary policy in a data-rich environment,"
Journal of Monetary Economics, Elsevier, vol. 50(3), pages 525-546, April.
- Ben S. Bernanke & Jean Boivin, 2001. "Monetary Policy in a Data-Rich Environment," NBER Working Papers 8379, National Bureau of Economic Research, Inc.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2005.
"The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting,"
Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 830-840, September.
- Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario, 2002. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," CEPR Discussion Papers 3432, C.E.P.R. Discussion Papers.
- Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2003. "The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting," LEM Papers Series 2003/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2005. "The generalised dynamic factor model: one sided estimation and forecasting," ULB Institutional Repository 2013/10129, ULB -- Universite Libre de Bruxelles.
- Forni M. & Hallin M., 2003. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Computing in Economics and Finance 2003 143, Society for Computational Economics.
- Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000.
"The Generalized Dynamic-Factor Model: Identification And Estimation,"
The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 1999. "The Generalized Dynamic Factor Model: Identification and Estimation," CEPR Discussion Papers 2338, C.E.P.R. Discussion Papers.
- Mario Forni & Marc Hallin & Lucrezia Reichlin & Marco Lippi, 2000. "The generalised dynamic factor model: identification and estimation," ULB Institutional Repository 2013/10143, ULB -- Universite Libre de Bruxelles.
- Alexei Onatski, 2010. "Determining the Number of Factors from Empirical Distribution of Eigenvalues," The Review of Economics and Statistics, MIT Press, vol. 92(4), pages 1004-1016, November.
- Forni, Mario & Gambetti, Luca, 2010.
"The dynamic effects of monetary policy: A structural factor model approach,"
Journal of Monetary Economics, Elsevier, vol. 57(2), pages 203-216, March.
- Forni, Mario & Gambetti, Luca, 2008. "The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach," CEPR Discussion Papers 7098, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti, 2008. "The dynamic e ects of monetary policy: A structural factor model approach," Center for Economic Research (RECent) 026, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Forni, Mario & Lippi, Marco, 2011. "The general dynamic factor model: One-sided representation results," Journal of Econometrics, Elsevier, vol. 163(1), pages 23-28, July.
- Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2010.
"New Eurocoin: Tracking Economic Growth in Real Time,"
The Review of Economics and Statistics, MIT Press, vol. 92(4), pages 1024-1034, November.
- Lippi, Marco & Forni, Mario & Altissimo, Filippo & Cristadoro, Riccardo & Veronese, Giovanni, 2006. "New EuroCOIN: Tracking Economic Growth in Real Time," CEPR Discussion Papers 5633, C.E.P.R. Discussion Papers.
- Mario Forni & Filippo Altissimo & Riccardo Cristadoro & Marco Lippi & Giovanni Veronese., 2008. "New Eurocoin: Tracking Economic Growth in Real Time," Center for Economic Research (RECent) 020, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2007. "New Eurocoin: Tracking Economic Growth in Real Time," Temi di discussione (Economic working papers) 631, Bank of Italy, Economic Research and International Relations Area.
- James H. Stock & Mark W. Watson, 1989.
"New Indexes of Coincident and Leading Economic Indicators,"
NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409,
National Bureau of Economic Research, Inc.
- Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
- Nii Ayi Armah & Norman Swanson, 2011.
"Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators,"
Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 43-60.
- Norman R. Swanson & Nii Ayi Armah, 2011. "Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators," Departmental Working Papers 201115, Rutgers University, Department of Economics.
- Kim, Hyun Hak & Swanson, Norman R., 2014.
"Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence,"
Journal of Econometrics, Elsevier, vol. 178(P2), pages 352-367.
- Huyn Hak Kim & Norman R. Swanson, 2011. "Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence," Departmental Working Papers 201119, Rutgers University, Department of Economics.
- Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
- Bai, Jushan & Ng, Serena, 2010. "Instrumental Variable Estimation In A Data Rich Environment," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1577-1606, December.
- James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
- Connor, Gregory & Korajczyk, Robert A, 1993. "A Test for the Number of Factors in an Approximate Factor Model," Journal of Finance, American Finance Association, vol. 48(4), pages 1263-1291, September.
- Boivin, Jean & Ng, Serena, 2006.
"Are more data always better for factor analysis?,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 169-194, May.
- Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
- Francis X. Diebold & Roberto S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- repec:hal:journl:peer-00844811 is not listed on IDEAS
- Domenico Giannone & Lucrezia Reichlin & David Small, 2008. "Nowcasting: the real time informational content of macroeconomic data releases," ULB Institutional Repository 2013/6409, ULB -- Universite Libre de Bruxelles.
- Roberto S. Mariano & Yasutomo Murasawa, 2010. "A Coincident Index, Common Factors, and Monthly Real GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(1), pages 27-46, February.
- Jungbacker, B. & Koopman, S.J. & van der Wel, M., 2011.
"Maximum likelihood estimation for dynamic factor models with missing data,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1358-1368, August.
- B. Jungbacker & S.J. Koopman & M. van Der Wel, 2011. "Maximum likelihood estimation for dynamic factor models with missing data," Post-Print hal-00828980, HAL.
- Jean Boivin & Serena Ng, 2005.
"Understanding and Comparing Factor-Based Forecasts,"
International Journal of Central Banking, International Journal of Central Banking, vol. 1(3), December.
- Jean Boivin & Serena Ng, 2005. "Understanding and Comparing Factor-Based Forecasts," NBER Working Papers 11285, National Bureau of Economic Research, Inc.
- Boivin, Jean & Ng, Serena, 2005. "Understanding and Comparing Factor-Based Forecasts," MPRA Paper 836, University Library of Munich, Germany.
- Hallin, Marc & Liska, Roman, 2007. "Determining the Number of Factors in the General Dynamic Factor Model," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 603-617, June.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006.
"Predicting volatility: getting the most out of return data sampled at different frequencies,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 59-95.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers 10914, National Bureau of Economic Research, Inc.
- Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
- James H. Stock & Mark W. Watson, 1993. "Business Cycles, Indicators, and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number stoc93-1.
- Stock, James H. & Watson, Mark W. (ed.), 1993. "Business Cycles, Indicators, and Forecasting," National Bureau of Economic Research Books, University of Chicago Press, edition 1, number 9780226774886, October.
- Tibor F. Liska, 2007. "The Liska model," Society and Economy, Akadémiai Kiadó, Hungary, vol. 29(3), pages 363-381, December.
- Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
- Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
- Catherine Doz & Peter Fuleky, 2019.
"Dynamic Factor Models,"
Working Papers
2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," Post-Print halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021.
"Factor extraction using Kalman filter and smoothing: This is not just another survey,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Poncela Blanco, Maria Pilar & Ruiz Ortega, Esther & Miranda Gualdrón, Karen Alejandra, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2014.
"Dynamic factor models: A review of the literature,"
OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 73-107.
- Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2013. "Dynamic factor models: A review of the literature," Post-Print hal-01385974, HAL.
- Barhoumi, K. & Darné, O. & Ferrara, L., 2013. "Dynamic Factor Models: A review of the Literature ," Working papers 430, Banque de France.
- Pilar Poncela & Esther Ruiz, 2016.
"Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 401-434,
Emerald Group Publishing Limited.
- Ruiz Ortega, Esther & Poncela, Pilar, 2015. "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS ws1502, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Stock, James H. & Watson, Mark, 2011. "Dynamic Factor Models," Scholarly Articles 28469541, Harvard University Department of Economics.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015.
"Dynamic factor models with infinite-dimensional factor spaces: One-sided representations,"
Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2012. "Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations," Working Papers ECARES ECARES 2012-046, ULB -- Universite Libre de Bruxelles.
- Forni, Mario & Cavicchioli, Maddalena & Lippi, Marco & Zaffaroni, Paolo, 2016. "Eigenvalue Ratio Estimators for the Number of Common Factors," CEPR Discussion Papers 11440, C.E.P.R. Discussion Papers.
- Helmut Lütkepohl, 2014.
"Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey,"
Discussion Papers of DIW Berlin
1351, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," SFB 649 Discussion Papers SFB649DP2014-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011.
"One-Sided Representations of Generalized Dynamic Factor Models,"
Working Papers ECARES
ECARES 2011-019, ULB -- Universite Libre de Bruxelles.
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," DSS Empirical Economics and Econometrics Working Papers Series 2011/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," EIEF Working Papers Series 1106, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2011.
- Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2010.
"Are disaggregate data useful for factor analysis in forecasting French GDP?,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 132-144.
- Barhoumi, K. & Darné, O. & Ferrara, L., 2009. "Are disaggregate data useful for factor analysis in forecasting French GDP?," Working papers 232, Banque de France.
- Kihwan Kim & Hyun Hak Kim & Norman R. Swanson, 2023. "Mixing mixed frequency and diffusion indices in good times and in bad: an assessment based on historical data around the great recession of 2008," Empirical Economics, Springer, vol. 64(3), pages 1421-1469, March.
- Trucíos, Carlos & Mazzeu, João H.G. & Hotta, Luiz K. & Valls Pereira, Pedro L. & Hallin, Marc, 2021.
"Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1520-1534.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020. "Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Textos para discussão 521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Rua, António, 2017.
"A wavelet-based multivariate multiscale approach for forecasting,"
International Journal of Forecasting, Elsevier, vol. 33(3), pages 581-590.
- António Rua, 2016. "A wavelet-based multivariate multiscale approach for forecasting," Working Papers w201612, Banco de Portugal, Economics and Research Department.
- Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
- Banbura, Marta & Rünstler, Gerhard, 2011.
"A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP,"
International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346, April.
- Bańbura, Marta & Rünstler, Gerhard, 2011. "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346.
- Rünstler, Gerhard & Bańbura, Marta, 2007. "A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP," Working Paper Series 751, European Central Bank.
- Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers 1910.03821, arXiv.org, revised Feb 2022.
- Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
- Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
More about this item
Keywords
forecasting; diffusion index; mixed frequency; recursive estimation; Kalman filter;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2013-07-20 (Econometrics)
- NEP-ETS-2013-07-20 (Econometric Time Series)
- NEP-FOR-2013-07-20 (Forecasting)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rut:rutres:201315. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/derutus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.