“...Factor model methods recently have become extremely popular in the theory and practice of large panels of time series data. Those methods rely on various...”

“...This paper proposes two new estimators for determining the number of factors (r) in static approximate factor models. We exploit the well-known fact that the r...”

“...Factor models, all particular cases of the Generalized Dynamic Factor Model (GDFM) introduced in Forni et al., (2000), have become extremely popular in the...”

“...In large panels of financial time series with dynamic factor structure on the levels or returns, the volatilities of the common and idiosyncratic components...”

“...We compute government spending multipliers for the Euro Area (EA) contingent on the interestgrowth differential, the so-called r-g. Whether the fiscal shock...”

“...Discussions concerning different structural equation modeling methods draw on an increasing array of concepts and related terminology. As a consequence,...”

“...This paper considers the maximum likelihood estimation of factor models of high dimension, where the number of variables (N) is comparable with or even greater...”

“...This paper develops and applies a Bayesian approach to Exploratory Factor Analysis that improves on ad hoc classical approaches. Our framework relies on...”

“...We propose a dynamic factor model which we use to analyze the relationship between education participation and national unemployment, as well as to forecast...”