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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. 275-310
Persistent link: https://www.econbiz.de/10007283043
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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. 1014-1025
Persistent link: https://www.econbiz.de/10010041769
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Dynamic Factor Analysis : Test for the Number of Factors and Estimation with an Application to the French Industrial Business Survey
Doz, Catherine; Lenglart, Fabrice - In: Annales d'économie et de statistique (1999) 54, pp. 91-128
Persistent link: https://www.econbiz.de/10007923940
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Décomposition tendance-cycle: estimations par des méthodes statistiques univariées
Doz, Catherine; Rabault, Guillaume; Sobczak, Nicolas - In: Economie & prévision : EP (1995) 120, pp. 73-94
Persistent link: https://www.econbiz.de/10007936752
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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. 188-206
Persistent link: https://www.econbiz.de/10009178474