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VAR models and short term forecasting
Doz, Catherine; Malgrange, Pierre - 1993 - Rev.
Persistent link: https://www.econbiz.de/10000869960
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Multinational models for Europe : an overview of their long run structure
Malgrange, Pierre - 1991
Persistent link: https://www.econbiz.de/10000829604
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The structure of dynamic macroeconometric models
Malgrange, Pierre - 1988
Persistent link: https://www.econbiz.de/10011843021
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A quasi maximum likelihood approach for large approximate dynamic factor models
Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - 2006
This paper considers quasi-maximum likelihood estimations of a dynamic approximate factor model when the panel of time series is large. Maximum likelihood is analyzed under different sources of misspecification: omitted serial correlation of the observations and cross-sectional correlation of...
Persistent link: https://www.econbiz.de/10011604720
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A quasi maximum likelihood approach for large approximate dynamic factor models
Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - 2006
Persistent link: https://www.econbiz.de/10003353030
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Factor stochastic volatility in mean models : a GMM approach
Doz, Catherine; Renault, Eric - In: Econometric reviews 25 (2006) 2/3, pp. 275-309
Persistent link: https://www.econbiz.de/10003355766
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A two-step estimator for large approximate dynamic factor models based on Kalman filtering
Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - 2007
Persistent link: https://www.econbiz.de/10003413769
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A quasi-maximum likelihood approach for large, approximate dynamic factor models
Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - In: The review of economics and statistics 94 (2012) 4, pp. 1014-1024
Persistent link: https://www.econbiz.de/10009668442
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Short-term forecasting of French GDP growth using dynamic factor models
Bessec, Marie; Doz, Catherine - In: Journal of business cycle measurement and analysis : a … (2013) 2, pp. 11-50
Persistent link: https://www.econbiz.de/10010418856
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A two-step estimator for large approximate dynamic factor models based on Kalman filtering
Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - In: Journal of econometrics 164 (2011) 1, pp. 188-205
Persistent link: https://www.econbiz.de/10009270387