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A robust procedure to build dynamic factor models with cluster structure
Alonso, Andrés M.; Galeano, Pedro; Peña, Daniel - In: Journal of econometrics 216 (2020) 1, pp. 35-52
Persistent link: https://www.econbiz.de/10012439635
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Detection of units with pervasive effects in large panel data models
Kapetanios, George; Pesaran, M. Hashem; Reese, S. - In: Journal of econometrics 221 (2021) 2, pp. 510-541
Persistent link: https://www.econbiz.de/10012619248
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Determining the number of breaks in large dimensional factor models with structural changes
Wang, Lu; Zhou, Ruichao; Wu, Jianhong - In: Economics letters 199 (2021), pp. 1-4
Persistent link: https://www.econbiz.de/10012605871
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30 years of cointegration and dynamic factor models forecasting and its future with big data : editorial
Escribano, Álvaro; Peña, Daniel; Ruiz, Esther - In: International journal of forecasting 37 (2021) 4, pp. 1333-1337
Persistent link: https://www.econbiz.de/10013274271
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Sparse estimation of dynamic principal components for forecasting high-dimensional time series
Peña, Daniel; Smucler, Ezequiel; Yohai, Victor J. - In: International journal of forecasting 37 (2021) 4, pp. 1498-1508
Persistent link: https://www.econbiz.de/10013274304
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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
Persistent link: https://www.econbiz.de/10003814581
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Eigenvalue difference test for the number of common factors in the approximate factor models
Wu, Jianhong - In: Economics letters 169 (2018), pp. 63-67
Persistent link: https://www.econbiz.de/10012019511
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Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance
Wu, Jianhong - In: Economics letters 176 (2019), pp. 60-63
Persistent link: https://www.econbiz.de/10012121231
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Robust determination for the number of common factors in the approximate factor models
Wu, Jianhong - In: Economics letters 144 (2016), pp. 102-106
Persistent link: https://www.econbiz.de/10011617226
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What drives industrial energy prices?
Camacho, Maximo; Caro, Angela; Peña, Daniel - In: Economic modelling 120 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014384004