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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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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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Factor extraction using Kalman filter and smoothing : this is not just another survey
Poncela, Pilar; Ruiz, Esther; Miranda, Karen - In: International journal of forecasting 37 (2021) 4, pp. 1399-1425
Persistent link: https://www.econbiz.de/10013274284
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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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Estimating non-stationary common factors : implications for risk sharing
Corona, Francisco; Poncela, Pilar; Ruiz, Esther - In: Computational economics 55 (2020) 1, pp. 37-60
Persistent link: https://www.econbiz.de/10012222591
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Growth in stress
González-Rivera, Gloria; Maldonado, Javier; Ruiz, Esther - In: International journal of forecasting 35 (2019) 3, pp. 948-966
Persistent link: https://www.econbiz.de/10012305193
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Determining the number of factors after stationary univariate transformations
Corona, Francisco; Poncela, Pilar; Ruiz, Esther - In: Empirical economics : a journal of the Institute for … 53 (2017) 1, pp. 351-372
Persistent link: https://www.econbiz.de/10011941375
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Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
Fresoli, Diego; Poncela, Pilar; Ruiz, Esther - In: Economics letters 230 (2023), pp. 1-5
Persistent link: https://www.econbiz.de/10014460331