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Another look into the factor model black box : factor interpretation and structural (in)stability

Despois, Thomas; Doz, Catherine - 2019 - This version: February 4, 2020

Persistent link: https://www.econbiz.de/10012234615

Identifying and interpreting the factors in factor models via sparsity : different approaches

Despois, Thomas; Doz, Catherine - In: Journal of applied econometrics 38 (2023) 4, pp. 533-555

Persistent link: https://www.econbiz.de/10014288017

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

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

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

Prévisions de court terme du PIB : modèles à facteurs dynamiques et non stationnarité

Combes, Stéphanie; Doz, Catherine - 2014

Persistent link: https://www.econbiz.de/10010489221

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

Analyse factorielle dynamique : test du nombre de facteurs, estimation et application à l'enquête de conjoncture dans l'industrie

Doz, Catherine; Lenglart, Fabrice - In: Annales d'économie et de statistique (1999), pp. 91-127

Persistent link: https://www.econbiz.de/10001565469

A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models

Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - 2021

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/10013317480

Business cycle dynamics after the Great Recession : an extended Markov-Switching Dynamic Factor Model

Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020

Persistent link: https://www.econbiz.de/10012244551