Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics

From MaRDI portal
Publication:4219772

DOI10.1111/1467-937X.00053zbMath0911.90087OpenAlexW2057539574MaRDI QIDQ4219772

Mario Forni, Lucrezia Reichlin

Publication date: 14 February 1999

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-937x.00053




Related Items (58)

Stock return predictability: A factor-augmented predictive regression system with shrinkage methodBayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE modelsA NEW PANEL DATA TREATMENT FOR HETEROGENEITY IN TIME TRENDSAre more data always better for factor analysis?The common and specific components of dynamic volatilityVARs, common factors and the empirical validation of equilibrium business cycle modelsRank determination in tensor factor modelA test of cross section dependence for a linear dynamic panel model with regressorsConsistent noisy independent component analysisOn the statistical identification of DSGE modelsDo institutional changes affect business cycles? Evidence from EuropeStatistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric ModellingDiffusion Index Model Specification and Estimation Using Mixed Frequency DatasetsMODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAEA dynamic factor model with stylized facts to forecast volatility for an optimal portfolioAsymptotics for Panel Models with Common ShocksA Predictive Approach for Selection of Diffusion Index ModelsOn the effect of noisy measurements of the regressor in functional linear modelsBayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock marketA note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index datasetTactical sales forecasting using a very large set of macroeconomic indicatorsHidden factor estimation in dynamic generalized factor analysis modelsFactor models for high‐dimensional functional time series II: Estimation and forecastingVALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELSIDENTIFICATION OF JOINT DISTRIBUTIONS IN DEPENDENT FACTOR MODELSEstimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE modelDetermining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy ApproachFactor analysis in a model with rational expectationsAdaptive estimation in circular functional linear modelsThe generalized dynamic factor model consistency and ratesForecasting with nonstationary dynamic factor modelsEstimating cross-section common stochastic trends in nonstationary panel dataDetecting granular time series in large panelsThe three-pass regression filter: a new approach to forecasting using many predictorsDetermining the number of factors when the number of factors can increase with sample sizeWeak and strong cross‐section dependence and estimation of large panelsQuantile regression models with factor‐augmented predictors and information criterionWorld, country, and sector factors in international business cyclesOPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONSEstimating stable latent factor models by indirect inferenceOn bootstrapping panel factor seriesA new semiparametric spatial model for panel time seriesSeeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series EnvironmentsIncluding news data in forecasting macro economic performance of ChinaThe UK intranational business cycleOutliers Detection in Multivariate Time Series by Independent Component AnalysisPanels with non-stationary multifactor error structuresDynamic factors in the presence of blocksModel selection for generalized linear models with factor-augmented predictorsAdaptive functional linear regressionWeighted‐Covariance Factor Decomposition of Varma Models Applied to Forecasting Quarterly U.S. Real GDP at Monthly IntervalsThreshold factor models for high-dimensional time seriesSolutions of Yule-Walker equations for singular AR processesDid financial factors matter during the Great Recession?Aggregation of linear dynamic microeconomic modelsBond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of IndicatorsFactor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal ComponentsEigendecomposition of the Mean-Variance Portfolio Optimization Model




This page was built for publication: Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics