Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
Top Cited Papers
- 19 June 2006
- journal article
- Published by The Econometric Society in Econometrica
- Vol. 74 (4) , 1133-1150
- https://doi.org/10.1111/j.1468-0262.2006.00696.x
Abstract
No abstract availableKeywords
This publication has 14 references indexed in Scilit:
- Principal components at work: the empirical analysis of monetary policy with large data setsJournal of Applied Econometrics, 2005
- Evaluating latent and observed factors in macroeconomics and financeJournal of Econometrics, 2005
- Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) ApproachThe Quarterly Journal of Economics, 2005
- Forecasting Macroeconomic Variables for the Acceding CountriesSSRN Electronic Journal, 2004
- Monetary policy in a data-rich environmentJournal of Monetary Economics, 2003
- Inferential Theory for Factor Models of Large DimensionsEconometrica, 2003
- GMM estimation with cross sectional dependenceJournal of Econometrics, 1999
- Consistent Covariance Matrix Estimation with Spatially Dependent Panel DataThe Review of Economics and Statistics, 1998
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix EstimationEconometrica, 1991
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset MarketsEconometrica, 1983