-
1
-
-
0013381104
-
Systematic monetary policy and the effects of oil price shocks
-
Bernanke, B. S., Gertler, M. Watson, M. W. (1997). 'Systematic monetary policy and the effects of oil price shocks', Brookings Papers on Economic Activity, Vol. 1997, pp. 91 157. (Pubitemid 127344814)
-
(1997)
Brookings Papers on Economic Activity
, Issue.1
, pp. 91-157
-
-
Bernanke, B.S.1
Gertler, M.2
Watson, M.3
-
3
-
-
0142013433
-
A state-space approach to transfer-function modeling
-
Prabhu, N. U. Basawa, I. V. eds. Marcel Dekker, New York
-
Brockwell, P. J., Davis, R. A Salehi, H. (1991 A state-space approach to transfer-function modeling in Prabhu N. U Basawa I. V eds Statistical Inference in Stochastic Processes, Marcel Dekker, New York, pp. 233 247.
-
(1991)
Statistical Inference in Stochastic Processes
, pp. 233-247
-
-
Brockwell, P.J.1
Davis, R.A.2
Salehi, H.3
-
5
-
-
0012396692
-
An econometric characterization of business cycle dynamics with factor structure and regime switching
-
Chauvet, M. (1998). 'An econometric characterization of business cycle dynamics with factor structure and regime switching', International Economic Review, Vol. 39, pp. 969 996.
-
(1998)
International Economic Review
, vol.39
, pp. 969-996
-
-
Chauvet, M.1
-
6
-
-
0001251352
-
Best linear unbiased interpolation, distribution, and extrapolation of time series by related series
-
Chow, G. C. Lin, A. (1971). 'Best linear unbiased interpolation, distribution, and extrapolation of time series by related series', Review of Economics and Statistics, Vol. 53, pp. 372 375.
-
(1971)
Review of Economics and Statistics
, vol.53
, pp. 372-375
-
-
Chow, G.C.1
Lin, A.2
-
8
-
-
0010010937
-
Estimating monthly GDP in a general Kalman filter framework: Evidence from Switzerland
-
Cuche, N. A. Hess, M. K. (2000). 'Estimating monthly GDP in a general Kalman filter framework: evidence from Switzerland', Economic & Financial Modelling, Vol. 7, pp. 153 194.
-
(2000)
Economic & Financial Modelling
, vol.7
, pp. 153-194
-
-
Cuche, N.A.1
Hess, M.K.2
-
9
-
-
0032354283
-
An em algorithm for conditionally heteroskedastic factor models
-
Demos, A. Sentana, E. (1998). 'An EM algorithm for conditionally heteroskedastic factor models', Journal of Business & Economic Statistics, Vol. 16, pp. 357 361.
-
(1998)
Journal of Business & Economic Statistics
, vol.16
, pp. 357-361
-
-
Demos, A.1
Sentana, E.2
-
13
-
-
0001342006
-
A new approach to the economic analysis of nonstationary time series and the business cycle
-
Hamilton, J. D. (1989). 'A new approach to the economic analysis of nonstationary time series and the business cycle', Econometrica, Vol. 57, pp. 357 384.
-
(1989)
Econometrica
, vol.57
, pp. 357-384
-
-
Hamilton, J.D.1
-
14
-
-
0003410290
-
-
Princeton University Press. Princeton
-
Hamilton, J. D. (1994). Time Series Analysis, Princeton University Press, Princeton.
-
(1994)
Time Series Analysis
-
-
Hamilton, J.D.1
-
16
-
-
84981423152
-
A corrected Akaike information criterion for vector autoregressive model selection
-
Hurvich, C. M. Tsai, C.-L. (1993). 'A corrected Akaike information criterion for vector autoregressive model selection', Journal of Time Series Analysis, Vol. 14, pp. 271 279.
-
(1993)
Journal of Time Series Analysis
, vol.14
, pp. 271-279
-
-
Hurvich, C.M.1
Tsai, C.-L.2
-
17
-
-
0001672910
-
Smoothing and interpolation with the state-space model
-
de Jong, P. (1989). 'Smoothing and interpolation with the state-space model', Journal of the American Statistical Association, Vol. 84, pp. 1085 1088.
-
(1989)
Journal of the American Statistical Association
, vol.84
, pp. 1085-1088
-
-
De Jong, P.1
-
18
-
-
0043169189
-
Covariances for smoothed estimates in state space models
-
de Jong, P. MacKinnon, M. J. (1988). 'Covariances for smoothed estimates in state space models', Biometrika, Vol. 75, pp. 601 602.
-
(1988)
Biometrika
, vol.75
, pp. 601-602
-
-
De Jong, P.1
MacKinnon, M.J.2
-
19
-
-
0039573714
-
Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching
-
Kim, C.-J. Nelson, C. R. (1998). 'Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching', Review of Economics and Statistics, Vol. 80, pp. 188 201.
-
(1998)
Review of Economics and Statistics
, vol.80
, pp. 188-201
-
-
Kim, C.-J.1
Nelson, C.R.2
-
20
-
-
0000407228
-
New index of coincident indicators: A multivariate Markov switching factor model approach
-
Kim, M.-J. Yoo, J.-S. (1995). 'New index of coincident indicators: a multivariate Markov switching factor model approach', Journal of Monetary Economics, Vol. 36, pp. 607 630.
-
(1995)
Journal of Monetary Economics
, vol.36
, pp. 607-630
-
-
Kim, M.-J.1
Yoo, J.-S.2
-
21
-
-
0001729490
-
Statistical algorithms for models in state space using SsfPack 2.2
-
Koopman, S. J., Shephard, N. Doornik, J. A. (1999). 'Statistical algorithms for models in state space using SsfPack 2.2', Econometrics Journal, Vol. 2, pp. 107 160.
-
(1999)
Econometrics Journal
, vol.2
, pp. 107-160
-
-
Koopman, S.J.1
Shephard, N.2
Doornik, J.A.3
-
22
-
-
0042531601
-
A random walk, Markov model for the distribution of time series
-
Litterman, R. B. (1983). 'A random walk, Markov model for the distribution of time series', Journal of Business & Economic Statistics, Vol. 1, pp. 169 173.
-
(1983)
Journal of Business & Economic Statistics
, vol.1
, pp. 169-173
-
-
Litterman, R.B.1
-
23
-
-
0035446375
-
Creating high-frequency national accounts with state-space modelling: A Monte Carlo experiment
-
Liu, H. Hall, S. G. (2001). 'Creating high-frequency national accounts with state-space modelling: a Monte Carlo experiment', Journal of Forecasting, Vol. 20, pp. 441 449.
-
(2001)
Journal of Forecasting
, vol.20
, pp. 441-449
-
-
Liu, H.1
Hall, S.G.2
-
24
-
-
0042658073
-
A new coincident index of business cycles based on monthly and quarterly series
-
DOI 10.1002/jae.695
-
Mariano, R. S. Murasawa, Y. (2003). 'A new coincident index of business cycles based on monthly and quarterly series', Journal of Applied Econometrics, Vol. 18, pp. 427 443. (Pubitemid 37282622)
-
(2003)
Journal of Applied Econometrics
, vol.18
, Issue.4
, pp. 427-443
-
-
Mariano, R.S.1
Murasawa, Y.2
-
25
-
-
15044356986
-
An indicator of monthly GDP and an early estimate of quarterly GDP growth
-
Mitchell, J., Smith, R. J., Weale, M. R., Wright, S. Salazar, E. L. (2005). 'An indicator of monthly GDP and an early estimate of quarterly GDP growth', Economic Journal, Vol. 115, pp. F108 F129.
-
(2005)
Economic Journal
, vol.115
-
-
Mitchell, J.1
Smith, R.J.2
Weale, M.R.3
Wright, S.4
Salazar, E.L.5
-
26
-
-
63449131597
-
Do coincident indicators have one-factor structure?
-
Murasawa, Y. (2009). 'Do coincident indicators have one-factor structure?' Empirical Economics, Vol. 36, pp. 339 365.
-
(2009)
Empirical Economics
, vol.36
, pp. 339-365
-
-
Murasawa, Y.1
-
27
-
-
0000672899
-
Extensions of estimation methods using the em algorithm
-
Ruud, P. A. (1991). 'Extensions of estimation methods using the EM algorithm', Journal of Econometrics, Vol. 49, pp. 305 341.
-
(1991)
Journal of Econometrics
, vol.49
, pp. 305-341
-
-
Ruud, P.A.1
-
28
-
-
84986753417
-
An approach to time series smoothing and forecasting using the em algorithm
-
Shumway, R. H. Stoffer, D. S. (1982). 'An approach to time series smoothing and forecasting using the EM algorithm', Journal of Time Series Analysis, Vol. 3, pp. 253 265.
-
(1982)
Journal of Time Series Analysis
, vol.3
, pp. 253-265
-
-
Shumway, R.H.1
Stoffer, D.S.2
-
29
-
-
0000076932
-
New indexes of coincident and leading economic indicators
-
Stock, J. H. Watson, M. W. (1989). 'New indexes of coincident and leading economic indicators', NBER Macroeconomics Annual, Vol. 4, pp. 351 409.
-
(1989)
NBER Macroeconomics Annual
, vol.4
, pp. 351-409
-
-
Stock, J.H.1
Watson, M.W.2
-
30
-
-
0003153605
-
A probability model of the coincident economic indicators
-
Lahiri, K. Moore, G. H. eds. Cambridge University Press. Cambridge
-
Stock, J. H. Watson, M. W 1991 A probability model of the coincident economic indicators in Lahiri K Moore G. H eds Leading Economic Indicators, Cambridge University Press, Cambridge, pp. 63 89.
-
(1991)
Leading Economic Indicators
, pp. 63-89
-
-
Stock, J.H.1
Watson, M.W.2
-
31
-
-
0036970448
-
Forecasting using principal components from a large number of predictors
-
Stock, J. H. Watson, M. W. (2002a). 'Forecasting using principal components from a large number of predictors', Journal of the American Statistical Association, Vol. 97, pp. 1167 1179.
-
(2002)
Journal of the American Statistical Association
, vol.97
, pp. 1167-1179
-
-
Stock, J.H.1
Watson, M.W.2
-
33
-
-
0000546599
-
Alternative algorithms for the estimation of dynamic factor, MIMIC and varying coefficient regression models
-
Watson, M. W. Engle, R. F. (1983). 'Alternative algorithms for the estimation of dynamic factor, MIMIC and varying coefficient regression models', Journal of Econometrics, Vol. 23, pp. 385 400.
-
(1983)
Journal of Econometrics
, vol.23
, pp. 385-400
-
-
Watson, M.W.1
Engle, R.F.2
|