References
- 1. Banbura, M., & M. Madugno (2010). Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data. Working Paper Series 1189, European Central Bank.10.2139/ssrn.1598302
- 2. Barhoumi, K., Darne, O. & L. Ferrara (2009). Are disaggregated data useful for factor analysis in forecasting French GDP?. Documents de Travail 232, Banque de France.
- 3. Bernanke, B., J. Boivin & P. Eliasz (2005). Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics 120, 387-422.
- 4. Canova, F. (2007). Methods for Applied Macroeconomic Research. Princeton University Press.10.1515/9781400841028
- 5. Doz, C., Gianonne D. & L. Reichlin (2011). A two-step estimator for large approximate dynamic factor models. Review of Economics and Statistics 164, 188-205.
- 6. Doz, C., Gianonne D. & L. Reichlin (2012). A quasi-maximum likelihood approach for large approximate dynamic factor models. Review of Economics and Statistics 94, 1014-1024.10.1162/REST_a_00225
- 7. Forni, M., Hallin, M., Lippi, M. & L. Reichlin (2005). The generalized dynamic factor model: one-sided estimation and forecasting. Journal of American Statistical Association 100, 830-840.10.1198/016214504000002050
- 8. Gupta, R. & A. Kabundi (2009a). A large factor model for forecasting macroeconomic variables in South Africa. Working paper 137, University of Cape Town.
- 9. Gupta, R. & A. Kabundi (2009b). Forecasting macroeconomic variables using large scale datasets: Dynamic factor model versus large-scale BVAR’s. Working paper 143, University of Cape Town.
- 10. Hamilton, J. (1994). Time series analysis. Princeton University Press.10.1515/9780691218632
- 11. Litterman, R. (1981). A Bayesian procedure for forecasting with vector autoregressions. Working Paper, Federal Bank of Minneapolis.
- 12. Schumacher, C. (2007). Forecasting German GDP using alternative factor models based on large datasets. Journal of Forecasting 26, 271-302.10.1002/for.1026
- 13. Stock, J. & M. Watson (2002). Macroeconomic forecasting using diffusion indexes. Journal of Business & Economic Statistics 20, 147-162.10.1198/073500102317351921