create a website

Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors. (2024). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego.
In: Papers.
RePEc:arx:papers:2407.06883.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 51

References cited by this document

Cocites: 25

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Expecting the unexpected: Stressed scenarios for economic growth. (2023). Ruiz, Esther ; Rodriguez Caballero, Carlos ; Gonzalez-Rivera, Gloria ; Rodriguez-Caballero, Vladimir.
    In: Working Papers.
    RePEc:ucr:wpaper:202314.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aastveit, K., H. Bjornland and L. Thorsrud (2016), The world is not enough! Small open economies and regional dependence, Scandinavian Journal of Economics, 118, 168–195.

  2. Amburgey, A. and M. McCracken (2022), On the real-time predictive content of financial condition indices for growth, Journal of Applied Econometrics, 38(2), 137–163.
    Paper not yet in RePEc: Add citation now
  3. Ando and R. Tsay (2011), Quantile regression models with factor-augmented predictors and information criterion, The Econometrics Journal, 14(1), 1-24.

  4. Bai, J. (2003), Inferential theory for factor models of large dimensions, Econometrica, 71(1), 135-171.

  5. Bai, J. (2004), Estimating cross-section common stochastic trends in nonstationary panel data, Journal of Econometrics, 122, 137-183.

  6. Bai, J. and S. Ng (2006), Confidence intervals for diffusion index forecasts and inference for factor augmented regressions, Econometrica, 74(4), 1133-1150.

  7. Bai, J. and S. Ng (2013), Principal components estimation and identification of static factors, Journal of Econometrics, 176, 18-29.

  8. Bai, J. and S. Ng (2023), Approximate factor models with weaker loadings, Journal of Econometrics, 235(2), 1893-1916.

  9. Barigozzi, M. (2022), On estimation of large approximate dynamic factor models via principal component analysis, arXiv:2211.01921v3 [econ.EM]
    Paper not yet in RePEc: Add citation now
  10. Barigozzi, M. and C. Lissona (2023), Measuring the euro area output gap: A large dimensional dynamic factor model approach. Manuscript.
    Paper not yet in RePEc: Add citation now
  11. Barigozzi, M. and E. Ruiz (2024), The uncertainty of PC factors: Some insights, Manuscript.
    Paper not yet in RePEc: Add citation now
  12. Barigozzi, M. and M. Luciani (2022), Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm, arXiv:1910.03821v4[math.ST]

  13. Barigozzi, M. and M. Luciani (2023), Measuring the output gap using large data sets, Review of Economics and Statistics, 105(6), 1-15.

  14. Bickel, P. and E. Levina (2008), Covariance regularization by thresholding, Annals of Statistics, 36, 2577–2604.
    Paper not yet in RePEc: Add citation now
  15. Boivin, J. and S. Ng (2006), Are more data always better for factor analysis?, Journal of Econometrics, 132, 169-194.

  16. Cai, T.T. and W. Liu (2011), Adaptive thresholding for sparse covariance matrix estimation, Journal f the American Statistics Association, 494, 672-684.

  17. Chamberlain, G. and M. Rothschild (1983), Arbitrage, factor structure and mean-variance analysis in large asset markets, Econometrica, 51, 1281–1304.

  18. Chew, V. (1966), Confidence, prediction, and tolerance regions for the multivariate normal distribution, Journal of the American Statistical Association, 61(315), 605-617.
    Paper not yet in RePEc: Add citation now
  19. Ciccarelli, M. and B. Mojon (2010), Global inflation, Review of Economics and Statistics, 92(3), 524–535.
    Paper not yet in RePEc: Add citation now
  20. Diebold, F.X., M. Gobel, P. Goulet Coulombe, G.D. Rudebusch and B. Zhang (2021), Optimal combination of Artic sea ice extent measures: A dunamic factor modelling approach, International Journal of Forecasting, 37(4), 1509-1519,

  21. Fan, J., M. Liao and W. Wang (2016), Projected principal component analysis in factor models, The Annals of Statistics, 44, 219-254.
    Paper not yet in RePEc: Add citation now
  22. Fresoli, D., P. Poncela and E. Ruiz (2023), Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models, Economics Letters, 230, 111246.

  23. Freyaldenhoven, S. (2022), Factor models with local factors-determining the number of relevant factors, Journal of Econometrics, 229, 80–102.

  24. Gao, J., O. Linton and B. Peng (2024), A non-parametric panel model for climate data with seasonal and spatial variation, Journal of the Royal Statistical Society. Series A-Statistics in Society, 187(1), 160-179.
    Paper not yet in RePEc: Add citation now
  25. Gonçalves, S. (2011), The moving blocks bootstrap for panel linear regression models with individual fixed effects, Econometric Theory, 27, 1048–1082.
    Paper not yet in RePEc: Add citation now
  26. Gonçalves, S. and B. Perron (2014), Bootstrapping factor-augmented regressions, Journal of Econometrics, 182, 156-173.
    Paper not yet in RePEc: Add citation now
  27. Gonçalves, S. and B. Perron (2020), Bootstrapping factor models with cross sectional dependence, Journal of Econometrics, 218, 476-495.

  28. Gonçalves, S., B. Perron and A. Djogbenou (2017), Bootstrap prediction intervals for factor models, Journal of Business & Economic Statistics, 35, 53–69.

  29. González-Rivera, G., C.V. Rodríguez-Caballero and E. Ruiz (2024), Expecting the unexpected: Economic growth under stress, Journal of Applied Econometrics, in press.
    Paper not yet in RePEc: Add citation now
  30. González-Rivera, G., E. Ruiz and J.V. Maldonado (2019), Growth in stress, International Journal of Forecasting, 35(3), 948-966.
    Paper not yet in RePEc: Add citation now
  31. Hoechle, D. (2007), Robust standard errors for panel regressions with cross-sectional dependence, The Stata Journal, 7(3), 281-312.

  32. Jackson, L., M. Kose, C. Otrok and M. Owyan (2016), Specification and estimation of Bayesian dynamic factor models: A Monte Carlo analysis with an application to global house price comovement, in Advances in Econometrics, Dynamic Factor Models, 35.
    Paper not yet in RePEc: Add citation now
  33. Jiang, P., Y. Uematsu and T. Yamagata (2023), Revisiting asymptotic theory for princiapl component estimators of approximate factor models, arXiv:2311.00625v1.
    Paper not yet in RePEc: Add citation now
  34. Kim, M.S. (2022), Robust inference for diffusion-index forecasts with cross-sectionally dependent data, Journal of Business & Economic Statistics, 40(3), 1153-1167.

  35. Lewis, D.J., K. Mertens, J.H. Stock and M. Trivedi (2022), Measuring real activity using a weekly economic index, Journal of Applied Econometrics, 37, 667–687.

  36. Ludvigson, S. and S. Ng (2010), A factor analysis of bond risk premia, in Ullah, A. and D. Giles (eds.), Handbook of Empirical Economics and Finance, Chapman and Hall.
    Paper not yet in RePEc: Add citation now
  37. Ludvigson, S.C. and S. Ng (2007), The empirical risk-return tradeoff: A factor analysis approach, The Journal of Financial Economics, 83, 171-222.
    Paper not yet in RePEc: Add citation now
  38. Ludvigson, S.C. and S. Ng (2009), Macro Factors in Bond Risk Premia, The Review of Financial Studies, 22(12), 5027-5067.

  39. Lutkepolh, H. (1991), Introduction to Multiple Time Series Analysis, Springer-Verlag, Berlin.
    Paper not yet in RePEc: Add citation now
  40. Maldonado, J.V. and E. Ruiz (2021), Accurate confidence regions for principal components factors, Oxford Bulletin of Economics and Statistics, 83(6), 1432-1453.

  41. Politis, D. (2011), Higher-order accurate, positive semi-definite estimation of large-sample covariance and spectral density matrices, Econometric Theory, 27, 703-744.

  42. Poncela, P. and E. Ruiz (2023), Common factors and common shocks: A tale of three (close) signal extraction procedures, in Barigozzi, M., S. Hormann and D. Paindaveine (eds.), Recent Advances in Econometrics and Statistics, Springer.
    Paper not yet in RePEc: Add citation now
  43. Qiao, X. and Y. Wang (2021), Correlated idiosyncratic volatility shocks, Journal of Risk, 23, 25-54.
    Paper not yet in RePEc: Add citation now
  44. Qiu, Y. and J.S.S. Liyanage (2019), Threshold selection for covariance estimation, Biometrics, 75, 895-905.

  45. Ruiz, E. and P. Poncela (2022), Factor extraction in dynamic factor models: Kalman filter versus Principal Components, Foundations and Trends in Econometrics, 12(3), 1-111.

  46. Stock, J.H. and M.W. Watson (2002), Forecasting using principal components from a large number of predictors, Journal of the American Statistical Association, 97, 1167–1179.

  47. Stock, J.H. and M.W. Watson (2011), Dynamic factor models, in Clements, M.P. and D.F. Hendry (eds.), Oxford Handbook on Economic Forecasting, Oxford University Press.
    Paper not yet in RePEc: Add citation now
  48. Thorsrud, L. (2020), Words are the new numbers: A newsy coincident index of the business cycle, Journal of Business & Economics Statistics, 38, 393–409.

  49. Uematsu, Y. and T. Yamagata (2023a), Estimation of sparcity-induced weak factor models, Journal of Business & Economic Statistics, 41, 213-227.
    Paper not yet in RePEc: Add citation now
  50. Uematsu, Y. and T. Yamagata (2023b), Inference in sparcity-induced weak factor models, Journal of Business & Economic Statistics, 41, 126-139.
    Paper not yet in RePEc: Add citation now
  51. Wang, L. and H. Liu (2017), TIGER: A tunning insensitive approach for optimally estimating Gaussian graphical models, Electronic Journal of Statistics, 11, 241-294.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Forecasting house price growth rates with factor models and spatio-temporal clustering. (2025). Franses, Philip Hans ; Mattera, Raffaele.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:41:y:2025:i:1:p:398-417.

    Full description at Econpapers || Download paper

  2. Expecting the unexpected: Stressed scenarios for economic growth. (2024). Ruiz, Esther ; Rodriguezcaballero, Vladimir C ; Gonzalezrivera, Gloria.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:39:y:2024:i:5:p:926-942.

    Full description at Econpapers || Download paper

  3. How Do Global Shocks Affect Australia?. (2024). Beckers, Benjamin ; Hendy, Patrick.
    In: RBA Research Discussion Papers.
    RePEc:rba:rbardp:rdp2024-10.

    Full description at Econpapers || Download paper

  4. Does the U.S. export inflation? Evidence from the dynamic inflation spillover between the U.S. and EAGLEs. (2024). Li, Xiao-Ming ; Thanh, Thao Thac ; Pham, Son Duy ; Do, Hung Xuan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024004192.

    Full description at Econpapers || Download paper

  5. Dynamic connectedness of inflation around the world: A time-varying approach from G7 and E7 countries. (2024). Hong, Yun ; Jiang, Yanhui ; Xiao, Xiyue ; Qu, BO.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:95:y:2024:i:c:p:111-125.

    Full description at Econpapers || Download paper

  6. Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors. (2024). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego.
    In: Papers.
    RePEc:arx:papers:2407.06883.

    Full description at Econpapers || Download paper

  7. Untangling crises: GFC and COVID-19 through the lens of a DSGE model. (2023). de la Pea, Rogelio ; Garcia, Ignacio.
    In: Latin American Journal of Central Banking (previously Monetaria).
    RePEc:eee:lajcba:v:4:y:2023:i:2:s2666143823000121.

    Full description at Econpapers || Download paper

  8. Drivers of consumer prices and exchange rates in small open economies. (2022). Corbo, Vesna ; di Casola, Paola.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002047.

    Full description at Econpapers || Download paper

  9. The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach. (2021). Osuntuyi, Ayokunle ; Casarin, Roberto ; Billio, Monica ; Mistry, Malcolm ; de Cian, Enrica.
    In: Working Papers.
    RePEc:ven:wpaper:2021:03.

    Full description at Econpapers || Download paper

  10. Expecting the unexpected: economic growth under stress. (2021). Ruiz, Esther ; Rodriguez Caballero, Carlos ; Gonzalez-Rivera, Gloria ; Rodriguez-Caballero, Vladimir.
    In: Working Papers.
    RePEc:ucr:wpaper:202106.

    Full description at Econpapers || Download paper

  11. The Spillover of Inflation among the G7 Countries. (2021). Tiwari, Aviral ; Sohag, Kazi ; Husain, Humaira ; Istiak, Khandokar.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:8:p:392-:d:619209.

    Full description at Econpapers || Download paper

  12. Inflation synchronization among the G7and China: The important role of oil inflation. (2021). Sousa, Ricardo ; Elsayed, Ahmed ; Hammoudeh, Shawkat.
    In: Energy Economics.
    RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002383.

    Full description at Econpapers || Download paper

  13. Expecting the unexpected: economic growth under stress. (2021). Rodriguez Caballero, Carlos ; Gonzalez-Rivera, Gloria ; Gonzalezrivera, Gloria ; Ortega, Esther Ruiz.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:32148.

    Full description at Econpapers || Download paper

  14. Accurate Confidence Regions for Principal Components Factors. (2021). Ruiz, Esther ; Maldonado, Javier.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:83:y:2021:i:6:p:1432-1453.

    Full description at Econpapers || Download paper

  15. Expecting the unexpected: economic growth under stress. (2021). Ruiz, Esther ; Rodriguez Caballero, Carlos ; Gonzalez-Rivera, Gloria ; Ortega, Esther Ruiz ; Rodriguez-Caballero, Carlos Vladimir.
    In: CREATES Research Papers.
    RePEc:aah:create:2021-06.

    Full description at Econpapers || Download paper

  16. Drivers of consumer prices and exchange rates in small open economies. (2020). Corbo, Vesna ; di Casola, Paola.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0387.

    Full description at Econpapers || Download paper

  17. The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach. (2020). Osuntuyi, Ayokunle ; Casarin, Roberto ; Billio, Monica ; Mistry, Malcolm ; de Cian, Enrica.
    In: Papers.
    RePEc:arx:papers:2012.14693.

    Full description at Econpapers || Download paper

  18. Analysing the spillover of inflation in selected Euro-area countries. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Elheddad, Mohamed ; Hasim, Haslifah M.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:17:y:2019:i:3:d:10.1007_s40953-018-0152-5.

    Full description at Econpapers || Download paper

  19. Growth in stress. (2019). Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Maldonado, Javier.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:3:p:948-966.

    Full description at Econpapers || Download paper

  20. Growth in Stress. (2018). Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Vicente, Javier.
    In: Working Papers.
    RePEc:ucr:wpaper:201805.

    Full description at Econpapers || Download paper

  21. International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach. (2018). Poon, Aubrey ; Cross, Jamie ; Hou, Chenghan.
    In: Working Papers.
    RePEc:bny:wpaper:0070.

    Full description at Econpapers || Download paper

  22. International inflation spillovers - the role of different shocks. (2017). Känzig, Diego ; Gubler, Matthias ; Baeurle, Gregor ; Baurle, Gregor ; Kanzig, Diego R.
    In: Working Papers.
    RePEc:snb:snbwpa:2017-07.

    Full description at Econpapers || Download paper

  23. Determinants of low inflation in emerging, small open economy. Comparison of aggregated and disaggregated approaches. (2017). Szafranek, Karol ; Hałka, Aleksandra ; Halka, Aleksandra.
    In: EcoMod2017.
    RePEc:ekd:010027:10560.

    Full description at Econpapers || Download paper

  24. To bi, or not to bi? Differences between spillover estimates from bilateral and multilateral multi-country models. (2017). Georgiadis, Georgios.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:107:y:2017:i:c:p:1-18.

    Full description at Econpapers || Download paper

  25. Do central banks respond timely to developments in the global economy?. (2016). Thorsrud, Leif ; Bjørnland, Hilde ; Zahiri, Sepideh K.
    In: Working Papers.
    RePEc:bny:wpaper:0048.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-01 14:22:59 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.