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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

Prévision de court terme de la croissance du PIB français à l’aide de modèles à facteurs dynamiques

Bessec, Marie; Doz, Catherine - 2011

Persistent link: https://www.econbiz.de/10009574839

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

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

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

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 (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

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

Dating business cycle turning points for the French economy : an MS-DFM approach

Doz, Catherine; Petronevich, Anna - In: Dynamic factor models, (pp. 481-538). 2016

Persistent link: https://www.econbiz.de/10011448715

Forecasting French GDP with dynamic factor models : a pseudo-real time experiment using factor-augmented error correction models

Combes, Stéphanie; Doz, Catherine - 2018

Persistent link: https://www.econbiz.de/10011996298