메뉴 건너뛰기




Volumn 25, Issue 5, 2009, Pages 1319-1347

Opening the black box: Structural factor models with large cross sections

Author keywords

[No Author keywords available]

Indexed keywords


EID: 74149090687     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S026646660809052X     Document Type: Article
Times cited : (269)

References (40)
  • 1
    • 0011479401 scopus 로고
    • Time-to-build and aggregate fluctuations: Some new evidence
    • Altug, S. (1989) Time-to-build and aggregate fluctuations: Some new evidence. International Economic Review 30, 889-920.
    • (1989) International Economic Review , vol.30 , pp. 889-920
    • Altug, S.1
  • 4
    • 0037277111 scopus 로고    scopus 로고
    • Inferential theory for factor models of large dimensions
    • Bai, J. (2003). Inferential theory for factor models of large dimensions. Econometrica 71, 135-171.
    • (2003) Econometrica , vol.71 , pp. 135-171
    • Bai, J.1
  • 5
    • 0036221554 scopus 로고    scopus 로고
    • Determining the number of factors in approximate factor models
    • Bai, J. & S. Ng (2002). Determining the number of factors in approximate factor models. Econometrica 70, 191-221.
    • (2002) Econometrica , vol.70 , pp. 191-221
    • Bai, J.1    Ng, S.2
  • 6
    • 33846119127 scopus 로고    scopus 로고
    • Determining the number of primitive shocks in factor models
    • Bai, J. & S. Ng (2007). Determining the number of primitive shocks in factor models. Journal of Business & Economic Statistics 25, 52-60.
    • (2007) Journal of Business & Economic Statistics , vol.25 , pp. 52-60
    • Bai, J.1    Ng, S.2
  • 8
    • 15544377383 scopus 로고    scopus 로고
    • Measuring monetary policy: A factor augmented autoregressive (FAVAR) approach
    • Bernanke, B.S., J. Boivin, & P. Eliasz (2005). Measuring monetary policy: A factor augmented autoregressive (FAVAR) approach. Quarterly Journal of Economics 120, 387-422.
    • (2005) Quarterly Journal of Economics , vol.120 , pp. 387-422
    • Bernanke, B.S.1    Boivin, J.2    Eliasz, P.3
  • 10
    • 33646162895 scopus 로고    scopus 로고
    • Are more data always better for factor analysis?
    • Boivin, J. & S. Ng (2003). Are more data always better for factor analysis? Journal of Econometrics 127, 169-194.
    • (2003) Journal of Econometrics , vol.127 , pp. 169-194
    • Boivin, J.1    Ng, S.2
  • 11
    • 0000915180 scopus 로고
    • Funds, factors, and diversification in arbitrage pricing models
    • Chamberlain, G. (1983). Funds, factors, and diversification in arbitrage pricing models. Econometrica 51, 1281-1304.
    • (1983) Econometrica , vol.51 , pp. 1281-1304
    • Chamberlain, G.1
  • 12
    • 0000915180 scopus 로고
    • Arbitrage, factor structure and mean-variance analysis in large asset markets
    • Chamberlain, G. & M. Rothschild (1983). Arbitrage, factor structure and mean-variance analysis in large asset markets. Econometrica 51, 1305-1324.
    • (1983) Econometrica , vol.51 , pp. 1305-1324
    • Chamberlain, G.1    Rothschild, M.2
  • 14
    • 33646972178 scopus 로고
    • Risk and return in an equilibrium APT. Application of a new test methodology
    • Connor, G. & R.A. Korajczyk (1988). Risk and return in an equilibrium APT. Application of a new test methodology. Journal of Financial Economics 21, 255-289.
    • (1988) Journal of Financial Economics , vol.21 , pp. 255-289
    • Connor, G.1    Korajczyk, R.A.2
  • 18
    • 0035634831 scopus 로고    scopus 로고
    • The generalized dynamic factor model: Representation theory
    • Forni, M. & M. Lippi (2001). The generalized dynamic factor model: Representation theory. Econometric Theory 17, 1113-1141. (Pubitemid 33720743)
    • (2001) Econometric Theory , vol.17 , Issue.6 , pp. 1113-1141
    • Forni, M.1    Lippi, M.2
  • 19
    • 0001600765 scopus 로고    scopus 로고
    • Let's get real: A factor analytical approach to disaggregated business cycle dynamics
    • Forni, M. & L. Reichlin (1998). Let's get real: A factor analytical approach to disaggregated business cycle dynamics. Review of Economic Studies 65, 453-473.
    • (1998) Review of Economic Studies , vol.65 , pp. 453-473
    • Forni, M.1    Reichlin, L.2
  • 20
    • 0002931014 scopus 로고
    • The dynamic factor analysis of economic time series
    • D.J. Aigner & A.S. Goldberger (eds.), North-Holland
    • Geweke, J. (1977). The dynamic factor analysis of economic time series. In D.J. Aigner & A.S. Goldberger (eds.), Latent Variables in Socio-Economic Models, pp. 365-383. North-Holland.
    • (1977) Latent Variables in Socio-Economic Models , pp. 365-383
    • Geweke, J.1
  • 21
    • 78650968479 scopus 로고    scopus 로고
    • Tracking Greenspan: Systematic and nonsystematic monetary policy revisited
    • Giannone, D., L. Reichlin, & L. Sala (2002). Tracking Greenspan: Systematic and Nonsystematic Monetary Policy Revisited. CEPR Discussion paper 3550.
    • (2002) CEPR Discussion Paper 3550
    • Giannone, D.1    Reichlin, L.2    Sala, L.3
  • 22
    • 21244451040 scopus 로고    scopus 로고
    • Monetary policy in real time
    • M. Gertler & K. Rogoff, (eds.), MIT Press
    • Giannone, D., L. Reichlin, & L. Sala (2005). Monetary policy in real time. In M. Gertler & K. Rogoff, (eds.), NBER Macroeconomic Annual. 2004, pp. 161-200. MIT Press.
    • (2005) NBER Macroeconomic Annual. 2004 , pp. 161-200
    • Giannone, D.1    Reichlin, L.2    Sala, L.3
  • 23
    • 33646477830 scopus 로고    scopus 로고
    • VARs, common factors and the empirical validation of equilibrium business cycle models
    • Giannone, D., L. Reichlin, & L. Sala (2006). VARs, common factors and the empirical validation of equilibrium business cycle models. Journal of Econometrics 127, 257-279.
    • (2006) Journal of Econometrics , vol.127 , pp. 257-279
    • Giannone, D.1    Reichlin, L.2    Sala, L.3
  • 24
    • 74149089382 scopus 로고    scopus 로고
    • The generalized dynamic factor model: Determining the number of factors
    • Hallin, M. & R. Liška (2007). The generalized dynamic factor model: Determining the number of factors. Journal of the American Statistical Association 102, 103-117.
    • (2007) Journal of the American Statistical Association , vol.102 , pp. 103-117
    • Hallin, M.1    Liška, R.2
  • 27
    • 0010942106 scopus 로고
    • Formulating and estimating dynamic linear rational expectations models
    • Hansen, L.P. & T.J. Sargent (1980). Formulating and estimating dynamic linear rational expectations models. Journal of Economic Dynamics and Control 2, 7-46.
    • (1980) Journal of Economic Dynamics and Control , vol.2 , pp. 7-46
    • Hansen, L.P.1    Sargent, T.J.2
  • 28
    • 0003236002 scopus 로고
    • Two problems in interpreting vector autoregressions
    • L.P. Hansen & T.J. Sargent (eds.), Westview
    • Hansen, L.P. & T.J. Sargent (1991). Two problems in interpreting vector autoregressions. In L.P. Hansen & T.J. Sargent (eds.), Rational Expectations Econometrics. pp. 77-119. Westview.
    • (1991) Rational Expectations Econometrics , pp. 77-119
    • Hansen, L.P.1    Sargent, T.J.2
  • 31
    • 0000318562 scopus 로고
    • The dynamic effects of aggregate demand and supply disturbances: Comment
    • Lippi, M. & L. Reichlin (1993) The dynamic effects of aggregate demand and supply disturbances: Comment, American Economic Review 83, 644-652.
    • (1993) American Economic Review , vol.83 , pp. 644-652
    • Lippi, M.1    Reichlin, L.2
  • 32
    • 38149147119 scopus 로고
    • VAR analysis, nonfundamental representation, Blaschke matrices
    • Lippi, M. & L. Reichlin (1994) VAR analysis, nonfundamental representation, Blaschke matrices. Journal of Econometrics 63, 307-325.
    • (1994) Journal of Econometrics , vol.63 , pp. 307-325
    • Lippi, M.1    Reichlin, L.2
  • 34
    • 84931202090 scopus 로고
    • Two models of measurements and the investment accelerator
    • Sargent, T.J. (1989). Two models of measurements and the investment accelerator. Journal of Political Economy 97, 251-287.
    • (1989) Journal of Political Economy , vol.97 , pp. 251-287
    • Sargent, T.J.1
  • 35
    • 0003331699 scopus 로고
    • Business cycle modelling without pretending to have too much a priori economic theory
    • C.A. Sims (ed.), Federal Reserve Bank of Minneapolis
    • Sargent, T.J. & C.A. Sims (1977). Business cycle modelling without pretending to have too much a priori economic theory. In C.A. Sims (ed.), New Methods in Business Research, 45-109. Federal Reserve Bank of Minneapolis.
    • (1977) New Methods in Business Research , pp. 45-109
    • Sargent, T.J.1    Sims, C.A.2
  • 38
    • 0036970448 scopus 로고    scopus 로고
    • Forecasting using principal components from a large number of predictors
    • Stock, J.H. & M.W. Watson (2002b). Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association 97, 1167-1179.
    • (2002) Journal of the American Statistical Association , vol.97 , pp. 1167-1179
    • Stock, J.H.1    Watson, M.W.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.