Similar Search Results

Analyse factorielle dynamique : test du nombre de facteurs, estimation et application à l'enquête de conjoncture dans l'industrie

Doz, Catherine; Lenglart, Fabrice - In: Annales d'économie et de statistique (1999), pp. 91-127

Persistent link: https://www.econbiz.de/10001565469

A quasi-maximum likelihood approach for large, approximate dynamic factor models

Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - In: The review of economics and statistics 94 (2012) 4, pp. 1014-1024

Persistent link: https://www.econbiz.de/10009668442

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

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

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

Business cycle dynamics after the Great Recession : an extended Markov-Switching Dynamic Factor Model

Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020

Persistent link: https://www.econbiz.de/10012244551

A replication of "a quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)

Lucchetti, Riccardo; Venetis, Ioannis A. - 2020

The authors replicate and extend the Monte Carlo experiment presented in Doz et al. (2012) on alternative (time-domain based) methods for extracting dynamic factors from large datasets; they employ open source software and consider a larger number of replications and a wider set of scenarios....

Persistent link: https://www.econbiz.de/10012173815

Dynamic factor models

Doz, Catherine; Fuleky, Peter - In: Macroeconomic forecasting in the era of big data : …, (pp. 27-64). 2020

Persistent link: https://www.econbiz.de/10012159692

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

Dynamic factor models

Doz, Catherine; Fuleky, Peter - 2019

Persistent link: https://www.econbiz.de/10012234624