[go: up one dir, main page]
create a website
Markov-switching three-pass regression filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre.
In: Working Papers.
RePEc:bde:wpaper:1748.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 6

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Bai, J. and Ng, S. (2008). Forecasting economic time series using targeted predictors. Journal of Econometrics, 146(2):304–317.

  2. Giacomini, R. and Rossi, B. (2010). Forecast comparisons in unstable environments. Journal of Applied Econometrics, 25(4):595–620.

  3. Kelly, B. and Pruitt, S. (2015). The three-pass regression filter: A new approach to forecasting using many predictors. Journal of Econometrics, 186(2):294–316.

  4. Kim, C.-J. and Nelson, C. (1999). In State-Space Model with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications, MIT press.

  5. McCracken, M. W. and Ng, S. (2015). FRED-MD: A Monthly Database for Macroeconomic Research. Journal of Business & Economic Statistics, forthcoming.

  6. Pesaran, M. H. and Timmermann, A. (2009). Testing Dependence Among Serially Correlated Multicategory Variables. Journal of the American Statistical Association, 104(485):325–337.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Housing Demand Shocks and Households’ Balance Sheets. (2021). Anderes, Marc.
    In: KOF Working papers.
    RePEc:kof:wpskof:21-492.

    Full description at Econpapers || Download paper

  2. When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage. (2020). Ferrara, Laurent ; Simoni, Anna.
    In: Papers.
    RePEc:arx:papers:2007.00273.

    Full description at Econpapers || Download paper

  3. Forecasting own brand sales: Does incorporating competition help?. (2019). Franses, Philip Hans ; Fok, Dennis.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:123417.

    Full description at Econpapers || Download paper

  4. Disentangling the effects of multiple treatments—Measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake. (2015). hsiao, cheng ; Fujiki, Hiroshi.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:1:p:66-73.

    Full description at Econpapers || Download paper

  5. Bayesian estimation of sparse dynamic factor models with order-independent identification. (2013). Schumacher, Christian ; Kaufmann, Sylvia.
    In: Working Papers.
    RePEc:szg:worpap:1304.

    Full description at Econpapers || Download paper

  6. Forecasting using a large number of predictors: Bayesian model averaging versus principal components regression. (2013). Ouysse, Rachida.
    In: Discussion Papers.
    RePEc:swe:wpaper:2013-04.

    Full description at Econpapers || Download paper

  7. Mining Big Data Using Parsimonious Factor and Shrinkage Methods. (2013). Swanson, Norman ; Kim, Hyun Hak.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201316.

    Full description at Econpapers || Download paper

  8. Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets. (2013). Swanson, Norman ; Kim, Kihwan.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201315.

    Full description at Econpapers || Download paper

  9. Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version. (2013). Hansen, Bruce ; Cheng, Xu.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:13-061.

    Full description at Econpapers || Download paper

  10. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure. (2013). MORANA, CLAUDIO.
    In: Working Papers.
    RePEc:mib:wpaper:233.

    Full description at Econpapers || Download paper

  11. Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?. (2013). Khuong, Duc ; Hammoudeh, Shawkat ; Modise, Mampho P..
    In: Working Papers.
    RePEc:ipg:wpaper:20.

    Full description at Econpapers || Download paper

  12. Forecasting regional GDP with factor models: How useful are national and international data?. (2013). Moran, Kevin ; Kopoin, Alexandre ; Pare, Jean-Pierre .
    In: Economics Letters.
    RePEc:eee:ecolet:v:121:y:2013:i:2:p:267-270.

    Full description at Econpapers || Download paper

  13. Short-term forecasts of French GDP: A dynamic factor model with targeted predictors. (2013). Bessec, Marie.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/10079.

    Full description at Econpapers || Download paper

  14. Nowcasting Czech GDP in Real Time. (2013). Rusnák, Marek.
    In: Working Papers.
    RePEc:cnb:wpaper:2013/06.

    Full description at Econpapers || Download paper

  15. Dynamic Factor Models: A review of the Literature .. (2013). Barhoumi, Karim ; Ferrara, Laurent ; Darné, Olivier ; Darne, O..
    In: Working papers.
    RePEc:bfr:banfra:430.

    Full description at Econpapers || Download paper

  16. Uncertainty and heterogeneity in factor models forecasting. (2013). Monteforte, Libero ; Luciani, Matteo.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_930_13.

    Full description at Econpapers || Download paper

  17. Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility. (2013). Venditti, Fabrizio ; Marcellino, Massimiliano ; Porqueddu, Mario .
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_896_13.

    Full description at Econpapers || Download paper

  18. Forecasting with Many Models: Model Confidence Sets and Forecast Combination. (2013). Samuels, Jon D. ; Sekkel, Rodrigo.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-11.

    Full description at Econpapers || Download paper

  19. Diffusion Indexes with Sparse Loadings. (2013). Kristensen, Johannes.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-22.

    Full description at Econpapers || Download paper

  20. Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression. (2013). van Dijk, Dick ; Groenen, Patrick ; Exterkate, Peter ; Patrick J. F. Groenen, ; Heij, Christiaan .
    In: CREATES Research Papers.
    RePEc:aah:create:2013-16.

    Full description at Econpapers || Download paper

  21. Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies. (2012). Giovannelli, Alessandro.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:255.

    Full description at Econpapers || Download paper

  22. Estimating High-Dimensional Time Series Models.. (2012). Medeiros, Marcelo ; Mendes, Eduardo F..
    In: Textos para discussão.
    RePEc:rio:texdis:602.

    Full description at Econpapers || Download paper

  23. Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach. (2012). Hansen, Bruce ; Cheng, Xu.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:12-046.

    Full description at Econpapers || Download paper

  24. Generating short-term forecasts of the Lithuanian GDP using factor models. (2012). Stakenas, Julius.
    In: Bank of Lithuania Working Paper Series.
    RePEc:lie:wpaper:13.

    Full description at Econpapers || Download paper

  25. Lasso-type and Heuristic Strategies in Model Selection and Forecasting. (2012). Winker, Peter ; Savin, Ivan.
    In: Jena Economic Research Papers.
    RePEc:jrp:jrpwrp:2012-055.

    Full description at Econpapers || Download paper

  26. Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland. (2012). Siliverstovs, Boriss ; Kholodilin, Konstantin.
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:232:y:2012:i:4:p:429-444.

    Full description at Econpapers || Download paper

  27. Nowcasting the French index of industrial production: A comparison from bridge and factor models. (2012). Darné, Olivier ; Brunhes-Lesage, Veronique .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:6:p:2174-2182.

    Full description at Econpapers || Download paper

  28. Sometimes it helps: the evolving predictive power of spreads on GDP dynamics. (2012). Nicoletti, Giulio ; Passaro, Raffaele .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20121447.

    Full description at Econpapers || Download paper

  29. Forecasting GDP over the business cycle in a multi-frequency and data-rich environment. (2012). Bessec, Marie ; Bouabdallah, O..
    In: Working papers.
    RePEc:bfr:banfra:384.

    Full description at Econpapers || Download paper

  30. Forecasting economic activity with higher frequency targeted predictors. (2012). Venditti, Fabrizio ; Marcellino, Massimiliano ; Bulligan, Guido.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_847_12.

    Full description at Econpapers || Download paper

  31. Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F..
    In: CREATES Research Papers.
    RePEc:aah:create:2012-37.

    Full description at Econpapers || Download paper

  32. Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors. (2012). Lee, Tae Hwy ; Hillebrand, Eric.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-18.

    Full description at Econpapers || Download paper

  33. Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence. (2011). Swanson, Norman ; Kim, Hyun Hak.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201119.

    Full description at Econpapers || Download paper

  34. Forecasting national activity using lots of international predictors: An application to New Zealand. (2011). Ng, Tim ; Eickmeier, Sandra.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:496-511.

    Full description at Econpapers || Download paper

  35. A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP. (2011). Rünstler, Gerhard ; Banbura, Marta ; Runstler, Gerhard.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:333-346.

    Full description at Econpapers || Download paper

  36. Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks. (2011). Luciani, Matteo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/97308.

    Full description at Econpapers || Download paper

  37. Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions. (2010). Diebold, Francis ; Aruoba, S. Boragan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15657.

    Full description at Econpapers || Download paper

  38. Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP. (2010). Siliverstovs, Boriss ; Kholodilin, Konstantin.
    In: KOF Working papers.
    RePEc:kof:wpskof:10-251.

    Full description at Econpapers || Download paper

  39. Real-time macroeconomic monitoring: real activity, inflation, and interactions. (2010). Diebold, Francis ; Aruoba, S. Boragan.
    In: Working Papers.
    RePEc:fip:fedpwp:10-5.

    Full description at Econpapers || Download paper

  40. Factor forecasting using international targeted predictors: The case of German GDP. (2010). Schumacher, Christian.
    In: Economics Letters.
    RePEc:eee:ecolet:v:107:y:2010:i:2:p:95-98.

    Full description at Econpapers || Download paper

  41. Factor forecasting using international targeted predictors: the case of German GDP. (2009). Schumacher, Christian.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:7579.

    Full description at Econpapers || Download paper

  42. To Combine Forecasts or to Combine Information?. (2009). Lee, Tae Hwy ; Huang, Huiyu .
    In: Working Papers.
    RePEc:ucr:wpaper:200806.

    Full description at Econpapers || Download paper

  43. Forecasting national activity using lots of international predictors: an application to New Zealand. (2009). Ng, Tim ; Eickmeier, Sandra.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2009/04.

    Full description at Econpapers || Download paper

  44. Boosting diffusion indices. (2009). Ng, Serena ; Bai, Jushan.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:24:y:2009:i:4:p:607-629.

    Full description at Econpapers || Download paper

  45. Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth. (2009). Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7343.

    Full description at Econpapers || Download paper

  46. Ñ-STING: España Short Term INdicator of Growth. (2009). Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: Working Papers.
    RePEc:bde:wpaper:0912.

    Full description at Econpapers || Download paper

  47. Forecasting investment: A fishing contest using survey data. (2008). Maria, José ; Serra, Sara.
    In: Working Papers.
    RePEc:ptu:wpaper:w200818.

    Full description at Econpapers || Download paper

  48. Forecasting Using Targeted Diffusion Indexes. (2008). Pinheiro, Maximiano ; Dias, Francisco Craveiro .
    In: Working Papers.
    RePEc:ptu:wpaper:w200807.

    Full description at Econpapers || Download paper

  49. Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?. (2008). Reichlin, Lucrezia ; Giannone, Domenico ; de Mol, Christine .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:146:y:2008:i:2:p:318-328.

    Full description at Econpapers || Download paper

  50. The cyclical component factor model. (2008). Hansen, Henrik ; Dahl, Christian ; Smidt, John.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-44.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-24 11:53:41 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.