The Generalized Dynamic Factor Model
From MaRDI portal
Publication:5754859
Recommendations
- The generalized dynamic factor model: one-sided estimation and forecasting
- Forecasting Using Principal Components From a Large Number of Predictors
- Likelihood-based dynamic factor analysis for measurement and forecasting
- scientific article; zbMATH DE number 7307121
- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
Cited in
(only showing first 100 items - show all)- Bi-cross-validation for factor analysis
- Autoregressive models for matrix-valued time series
- Choosing a dynamic common factor as a coincident index
- Change-point detection in panel data via double CUSUM statistic
- Factor-Adjusted Regularized Model Selection
- Optimal dimension reduction for high-dimensional and functional time series
- Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
- Real-time factor model forecasting and the effects of instability
- On multivariable proper rational interpolation using coprime factors
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Bayesian sensitivity analysis of a nonlinear dynamic factor analysis model with nonparametric prior and possible nonignorable missingness
- Periodic dynamic factor models: estimation approaches and applications
- Forecasting using random subspace methods
- Dynamic factor analysis for short panels: estimating performance trajectories for water utilities
- Estimation of large dimensional factor models with an unknown number of breaks
- Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap
- Optimality and sub-optimality of PCA. I: Spiked random matrix models
- A new framework for analyzing survey forecasts using three-dimensional panel data
- Forecasting with many predictors: is boosting a viable alternative?
- Structural shrinkage of nonparametric spectral estimators for multivariate time series
- Evaluating panel data forecasts under independent realization
- Including news data in forecasting macro economic performance of China
- Nowcasting real GDP for Saudi Arabia
- Preprocessing noisy functional data: a multivariate perspective
- Rank determination in tensor factor model
- Inference in latent factor regression with clusterable features
- GARCH-type factor model
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- A fragmented-periodogram approach for clustering big data time series
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- Data science, big data and statistics
- Consistency of generalized dynamic principal components in dynamic factor models
- On testing for high-dimensional white noise
- A robust procedure to build dynamic factor models with cluster structure
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- On the Marčenko-Pastur law for linear time series
- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
- Inferences in panel data with interactive effects using large covariance matrices
- Chinese Divisia monetary index and GDP nowcasting
- Inflation dynamics of franc-zone countries determinants, co-movements and spatial interactions
- On the penalized maximum likelihood estimation of high-dimensional approximate factor model
- Forecasting with nonstationary dynamic factor models
- Forecasting and turning point predictions in a Bayesian panel VAR model
- Determining the MSE-optimal cross section to forecast
- Spectral decompositions of multiple time series: a Bayesian non-parametric approach
- Random matrix theory in statistics: a review
- Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
- Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
- A panel data approach to economic forecasting: the bias-corrected average forecast
- Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
- Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
- Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
- Moving dynamic principal component analysis for non-stationary multivariate time series
- Hidden factor estimation in dynamic generalized factor analysis models
- Group fused Lasso for large factor models with multiple structural breaks
- Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
- Some nonparametric asymptotic results for a class of stochastic processes
- Capturing the spillover effect with multiplicative error models
- Linear models based on noisy data and the Frisch scheme
- A multi-country approach to forecasting output growth using PMIs
- Large sample behaviour of high dimensional autocovariance matrices
- Estimation of common factors under cross-sectional and temporal aggregation constraints
- Are more data always better for factor analysis?
- Sir Clive W. J. Granger's contributions to forecasting
- Forecasting economic time series using targeted predictors
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
- Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
- Are disaggregate data useful for factor analysis in forecasting French GDP?
- Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models
- Nowcasting from disaggregates in the face of location shifts
- Forecasting using targeted diffusion indexes
- Forecasting key macroeconomic variables from a large number of predictors: a state space approach
- Locally stationary factor models: identification and nonparametric estimation
- The predictive power of the business and bank sentiment of firms: a high-dimensional Granger causality approach
- Forecasting Composite Indicators with Anticipated Information: An Application to the Industrial Production Index
- An extended portmanteau test for VARMA models with mixing nonlinear constraints
- Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes
- Forecasting Using Principal Components From a Large Number of Predictors
- Factor modeling for high-dimensional time series: inference for the number of factors
- Statistical analysis of factor models of high dimension
- Dynamic factor long memory volatility
- Diffusion index model specification and estimation using mixed frequency datasets
- Modeling longevity risk with generalized dynamic factor models and vine-copulae
- Signal diffusion mapping: optimal forecasting with time-varying lags
- Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- The three-pass regression filter: a new approach to forecasting using many predictors
- Identifiability of structural singular vector autoregressive models
- Monetary Policy Regimes, Fiscal Implications, and Policy Interactions Among Developing Economies
- Efficient estimation of nonstationary factor models
- Nonparametric estimation of functional dynamic factor model
- Wavelet estimation for factor models with time-varying loadings
- Likelihood-based dynamic factor analysis for measurement and forecasting
- scientific article; zbMATH DE number 7578275 (Why is no real title available?)
- Forecasting the industrial production using alternative factor models and business survey data
- High dimensional forecasting via interpretable vector autoregression
- The generalized dynamic factor model: one-sided estimation and forecasting
- Comparing alternative predictors based on large-panel factor models
- Using large data sets to forecast sectoral employment
This page was built for publication: The Generalized Dynamic Factor Model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5754859)
