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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

Note sur les tests de rationalité des prévisions

Doz, Catherine - In: Economie & prévision : EP (1993), pp. 129-133

Persistent link: https://www.econbiz.de/10001146268

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

VAR models and short term forecasting

Doz, Catherine; Malgrange, Pierre - 1993 - Rev.

Persistent link: https://www.econbiz.de/10000869960

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

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 quasi maximum likelihood approach for large approximate dynamic factor models

Doz, Catherine (contributor); Giannone, Domenico (contributor) - 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/10003367539

Décomposition tendance-cycle : estimations par des méthodes statistiques univariées

Doz, Catherine - In: Economie & prévision : EP (1995), pp. 73-93

Persistent link: https://www.econbiz.de/10001196114

Pseudo-maximum de vraisemblance : expériences de simulations dans le cadre d'un modèle de Poisson

Bourlange, Danielle - In: Annales d'économie et de statistique (1988), pp. 139-176

Persistent link: https://www.econbiz.de/10001054409

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