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Dynamic Factor Models

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• Structural Factor Models

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This RePEc Biblio topic is edited by Domenico Giannone (pgi49). It was first published on 2017-09-02 06:59:29 and last updated on 2017-09-02 13:23:49.

Most relevant JEL codes

• C32 - Mathematical and Quantitative Methods -- Multiple or Simultaneous Equation Models; Multiple Variables --- Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• E32 - Macroeconomics and Monetary Economics -- Prices, Business Fluctuations, and Cycles --- Business Fluctuations; Cycles
• C55 - Mathematical and Quantitative Methods -- Econometric Modeling --- Large Data Sets: Modeling and Analysis

Most relevant NEP reports

NEP reports are email or RSS notifications about new research in selected fields. Subscriptions are free.

• NEP-ECM Econometrics
• NEP-ETS Econometric Time Series

Most relevant research

1. Thomas J. Sargent & Christopher A. Sims, 1977, "Business cycle modeling without pretending to have too much a priori economic theory," Working Papers, Federal Reserve Bank of Minneapolis, number 55, DOI: 10.21034/wp.55.
   • Tom Doan, 2026, "OBSERVABLEINDEX: RATS program to estimate observable index model from Sargent-Sims(1977)," Statistical Software Components, Boston College Department of Economics, number RTJ00060, revised .
   • Tom Doan, 2025, "RATS program to estimate observable index model from Sargent-Sims(1977)," Statistical Software Components, Boston College Department of Economics, number RTZ00126, revised .
2. Watson, Mark W. & Engle, Robert F., 1983, "Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models," Journal of Econometrics, Elsevier, volume 23, issue 3, pages 385-400, December.
3. James H. Stock & Mark W. Watson, 1989, "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 1989, Volume 4".
   • Stock, J.H. & Watson, M.W., 1989, "New Indexes Of Coincident And Leading Economic Indicators," Papers, Harvard - J.F. Kennedy School of Government, number 178d.
4. Danny Quah & Thomas J. Sargent, 1993, "A Dynamic Index Model for Large Cross Sections," NBER Chapters, National Bureau of Economic Research, Inc, "Business Cycles, Indicators, and Forecasting".
   • Danny Quah & Thomas J. Sargent, 1993, "A Dynamic Index Model for Large Cross Sections," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0132, Mar.
   • Danny Quah & Thomas J. Sargent, 1992, "A dynamic index model for large cross sections," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis, number 77, DOI: 10.21034/dp.77.
5. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000, "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, volume 82, issue 4, pages 540-554, November.
   • Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario, 1999, "The Generalized Dynamic Factor Model: Identification and Estimation," CEPR Discussion Papers, Centre for Economic Policy Research, number 2338, Dec.
   • Mario Forni & Marc Hallin & Lucrezia Reichlin & Marco Lippi, 2000, "The generalised dynamic factor model: identification and estimation," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/10143, Nov.
6. Stock, James H & Watson, Mark W, 2002, "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, volume 20, issue 2, pages 147-162, April.
7. Jushan Bai, 2003, "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, volume 71, issue 1, pages 135-171, January.
8. Onatski, Alexei, 2012, "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, volume 168, issue 2, pages 244-258, DOI: 10.1016/j.jeconom.2012.01.034.
9. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012, "A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," The Review of Economics and Statistics, MIT Press, volume 94, issue 4, pages 1014-1024, November.
   • Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006, "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 5724, Jun.
   • Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008, "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2008_034.
   • Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006, "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series, European Central Bank, number 674, Sep.
   • Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012, "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00638440, DOI: 10.1162/REST_a_00225.
   • Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012, "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Post-Print, HAL, number hal-00638440, DOI: 10.1162/REST_a_00225.
   • Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012, "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00638440, DOI: 10.1162/REST_a_00225.
10. Del Negro, Marco, 2002, "Asymmetric shocks among U.S. states," Journal of International Economics, Elsevier, volume 56, issue 2, pages 273-297, March.
    • Marco Del Negro, 1999, "Asymmetric shocks among U.S. states," Working Papers, Centro de Investigacion Economica, ITAM, number 9903, Oct.
    • Marco Del Negro, 2000, "Asymmetric shocks among U.S. states," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2000-27.
11. Bernanke, Ben S. & Boivin, Jean, 2003, "Monetary policy in a data-rich environment," Journal of Monetary Economics, Elsevier, volume 50, issue 3, pages 525-546, April.
    • Ben S. Bernanke & Jean Boivin, 2001, "Monetary Policy in a Data-Rich Environment," NBER Working Papers, National Bureau of Economic Research, Inc, number 8379, Jul.
12. Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005, "Monetary Policy in Real Time," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2004, Volume 19".
    • Reichlin, Lucrezia & Sala, Luca & Giannone, Domenico, 2005, "Monetary Policy in Real Time," CEPR Discussion Papers, Centre for Economic Policy Research, number 4981, Mar.
    • Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005, "Monetary Policy in Real Time," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 284.
    • Lucrezia Reichlin & Domenico Giannone & Luca Sala, undated, "Monetary policy in real time," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/10177.
    • Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005, "Monetary policy in real time," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/6401.
13. Ricardo Reis & Mark W. Watson, 2010, "Relative Goods' Prices, Pure Inflation, and the Phillips Correlation," American Economic Journal: Macroeconomics, American Economic Association, volume 2, issue 3, pages 128-157, July.
    • Ricardo Reis & Mark W. Watson, 2007, "Relative Goods' Prices, Pure Inflation, and the Phillips Correlation," NBER Working Papers, National Bureau of Economic Research, Inc, number 13615, Nov.
14. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008, "Nowcasting: The real-time informational content of macroeconomic data," Journal of Monetary Economics, Elsevier, volume 55, issue 4, pages 665-676, May.
    • Reichlin, Lucrezia & Giannone, Domenico & Small, David, 2005, "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers, Centre for Economic Policy Research, number 5178, Aug.
    • Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005, "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2005-42.
    • Domenico Giannone & Lucrezia Reichlin & David H Small, 2007, "Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 164, Feb.
15. Matheson, Troy D., 2012, "Financial conditions indexes for the United States and euro area," Economics Letters, Elsevier, volume 115, issue 3, pages 441-446, DOI: 10.1016/j.econlet.2011.12.119.
    • Mr. Troy D Matheson, 2011, "Financial Conditions Indexes for the United States and Euro Area," IMF Working Papers, International Monetary Fund, number 2011/093, Apr.
16. Scott Brave & R. Andrew Butters, 2012, "Diagnosing the Financial System: Financial Conditions and Financial Stress," International Journal of Central Banking, International Journal of Central Banking, volume 8, issue 2, pages 191-239, June.
17. Silvia Miranda-Agrippino & Hélène Rey, 2015, "US Monetary Policy and the Global Financial Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 21722, Nov.
    • Silvia Miranda-Agrippino & Hélène Rey, 2020, "U.S. Monetary Policy and the Global Financial Cycle," The Review of Economic Studies, Review of Economic Studies Ltd, volume 87, issue 6, pages 2754-2776.
18. Marlene Amstad & Simon M. Potter & Robert W. Rich, 2014, "The FRBNY staff underlying inflation gauge: UIG," Staff Reports, Federal Reserve Bank of New York, number 672, Apr.
    • Marlene Amstad & Simon Potter & Robert Rich, 2014, "The FRBNY Staff Underlying Inflation Gauge: UIG," BIS Working Papers, Bank for International Settlements, number 453, Jul.

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