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Large-dimensional dynamic factor models : estimation of impulse–response functions with I(1) cointegrated factors
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - In: Journal of econometrics 221 (2021) 2, pp. 455-482
Persistent link: https://www.econbiz.de/10012619245
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Long-term forecasting of El Niño events via dynamic factor simulations
Li, Mengheng; Koopman, Siem Jan; Lit, Rutger; Petrova, … - In: Journal of econometrics 214 (2020) 1, pp. 46-66
Persistent link: https://www.econbiz.de/10012438104
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Variable selection, estimation and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - In: Journal of econometrics 164 (2011) 1, pp. 173-187
Persistent link: https://www.econbiz.de/10009270389
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Improving GDP measurement : a measurement-error perspective
Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - In: Journal of econometrics 191 (2016) 2, pp. 384-397
Persistent link: https://www.econbiz.de/10011610607
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Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
Forni, Mario; Hallin, Marc; Lippi, Marco; Zaffaroni, Paolo - In: Journal of econometrics 199 (2017) 1, pp. 74-92
Persistent link: https://www.econbiz.de/10011818962
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Dynamic factor models with infinite-dimensional factor spaces : one-sided representations
Forni, Mario; Hallin, Marc; Lippi, Marco; Zaffaroni, Paolo - In: Journal of econometrics 185 (2015) 2, pp. 359-371
Persistent link: https://www.econbiz.de/10011348429
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Inferential theory for generalized dynamic factor models
Barigozzi, Matteo; Hallin, Marc; Luciani, Matteo; … - In: Journal of econometrics 239 (2024) 2, pp. 1-41
Persistent link: https://www.econbiz.de/10015074449
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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
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Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P.; … - In: Journal of econometrics 193 (2016) 2, pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
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Simultaneous multiple change-point and factor analysis for high-dimensional time series
Barigozzi, Matteo; Cho, Haeran; Fryzlewicz, Piotr - In: Journal of econometrics 206 (2018) 1, pp. 187-225
Persistent link: https://www.econbiz.de/10012110376