Level and Volatility Factors in Macroeconomic Data
暂无分享,去创建一个
[1] Todd E. Clark,et al. Measuring Uncertainty and Its Impact on the Economy , 2016, Review of Economics and Statistics.
[2] Yohei Yamamoto. Asymptotic Inference for Common Factor Models in the Presence of Jumps , 2015 .
[3] Serena Ng,et al. Working Paper Series , 2019 .
[4] Trevor J. Hastie,et al. Matrix completion and low-rank SVD via fast alternating least squares , 2014, J. Mach. Learn. Res..
[5] Frank Schorfheide,et al. Assessing DSGE Model Nonlinearities , 2013 .
[6] S. Davis,et al. Measuring Economic Policy Uncertainty , 2013 .
[7] Pablo A. Guerrón-Quintana,et al. Fiscal Volatility Shocks and Economic Activity , 2011 .
[8] Jesús Fernández-Villaverde,et al. Macroeconomics and Volatility: Data, Models, and Estimation , 2010 .
[9] Yi Ma,et al. The Augmented Lagrange Multiplier Method for Exact Recovery of Corrupted Low-Rank Matrices , 2010, Journal of structural biology.
[10] Xiaohong Chen,et al. Principal Components and Long Run Implications of Multivariate Diffusions , 2009, 0908.0547.
[11] Pablo A. Guerrón-Quintana,et al. Risk Matters: The Real Effects of Volatility Shocks , 2009 .
[12] Sven Ove Hansson,et al. Measuring Uncertainty , 2009, Stud Logica.
[13] J. Bai,et al. Forecasting economic time series using targeted predictors , 2008 .
[14] N. Bloom. The Impact of Uncertainty Shocks , 2007 .
[15] J. Bai,et al. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions , 2006 .
[16] Tao Zha,et al. DOES MONETARY POLICY GENERATE RECESSIONS? , 2006, Macroeconomic Dynamics.
[17] Giorgio E. Primiceri,et al. The Time Varying Volatility of Macroeconomic Fluctuations , 2006 .
[18] Jean Boivin,et al. DSGE Models in a Data-Rich Environment , 2006 .
[19] Serena Ng,et al. Are more data always better for factor analysis , 2006 .
[20] Jean Boivin,et al. Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach , 2003 .
[21] C. Sims,et al. Calculating and Using Second Order Accurate Solutions of Discrete Time Dynamic Equilibrium Models , 2003 .
[22] J. Stock,et al. Forecasting Using Principal Components From a Large Number of Predictors , 2002 .
[23] C. Sims. Solving Linear Rational Expectations Models , 2002 .
[24] J. Stock,et al. Macroeconomic Forecasting Using Diffusion Indexes , 2002 .
[25] Ilker Yalcin,et al. Nonlinear Factor Analysis as a Statistical Method , 2001 .
[26] M. Hallin,et al. The Generalized Dynamic-Factor Model: Identification and Estimation , 2000, Review of Economics and Statistics.
[27] P. Klein,et al. Using the generalized Schur form to solve a multivariate linear rational expectations model q , 1997 .
[28] J. Bai,et al. Determining the Number of Factors in Approximate Factor Models , 2000 .
[29] M. Watson,et al. The Solution of Singular Linear Difference Systems under Rational Expectations , 1998 .
[30] Y. Shin,et al. Generalized Impulse Response Analysis in Linear Multivariate Models , 1998 .
[31] Gregory Connor,et al. A Test for the Number of Factors in an Approximate Factor Model , 1993 .
[32] Danny Quah,et al. A Dynamic Index Model for Large Cross Sections , 1993 .
[33] Sergio Rebelo,et al. Low Frequency Filtering And Real Business Cycles , 1993 .
[34] Charles I. Plosser,et al. Stochastic Trends and Economic Fluctuations , 1987 .
[35] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[36] Thomas J. Sargent,et al. Business cycle modeling without pretending to have too much a priori economic theory , 1976 .