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Testing against constant factor loading matrix with large panel high-frequency data
Kong, Xin-bing; Liu, Cheng - In: Journal of econometrics 204 (2018) 2, pp. 301-319
Persistent link: https://www.econbiz.de/10011974736
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Dynamic Hierarchical Factor Models
Moench, Emanuel; Ng, Serena; Potter, Simon - 2011
four-level model is estimated to study block- and aggregate-level dynamics in a panel of 445 series related to different …
Persistent link: https://www.econbiz.de/10014199839
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Dynamic factor models: a genealogy
Barigozzi, Matteo; Hallin, Marc - 2023
Persistent link: https://www.econbiz.de/10014391458
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Priors from DSGE models for dynamic factor analysis
Bäurle, Gregor - 2008
We propose a method to incorporate information from Dynamic Stochastic General Equilibrium (DSGE) models into Dynamic Factor Analysis. The method combines a procedure previously applied for Bayesian Vector Autoregressions and a Gibbs Sampling approach for Dynamic Factor Models. The factors in...
Persistent link: https://www.econbiz.de/10003923369
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Forecasting with approximate dynamic factor models : the role of non-pervasive shocks
Luciani, Matteo - In: International journal of forecasting 30 (2013) 1, pp. 20-29
Persistent link: https://www.econbiz.de/10010243647
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Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo; Hallin, Marc - In: The econometrics journal 19 (2016) 1, pp. 33-60
Persistent link: https://www.econbiz.de/10011487491
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Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo; Hallin, Marc - 2014
Persistent link: https://www.econbiz.de/10010483698
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Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs
Marcellino, Massimiliano; Sivec, Vasja - In: Journal of econometrics 193 (2016) 2, pp. 335-348
Persistent link: https://www.econbiz.de/10011704953
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Monitoring multicountry macroeconomic risk
Korobilis, Dimitris; Schröder, Maximilian - 2023
Persistent link: https://www.econbiz.de/10014316029
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Monitoring multicountry macroeconomic risk
Korobilis, Dimitris; Schröder, Maximilian - 2023
Persistent link: https://www.econbiz.de/10014285859