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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