1. Two sample tests for high-dimensional autocovariances. (2021). Pipiras, Vladas ; Gates, Katheleen M ; Baek, Changryong ; Leinwand, Benjamin.
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301584.

   Full description at Econpapers || Download paper

2. Testing a Large Number of Hypotheses in Approximate Factor Models. (2014). Repetto, Luca ; Amengual, Dante.
   In: Working Papers.
   RePEc:cmf:wpaper:wp2014_1410.

   Full description at Econpapers || Download paper

3. Testing for Factor Loading Structural Change under Common Breaks. (2013). Yamamoto, Yohei ; Tanaka, Shinya.
   In: Discussion Papers.
   RePEc:hit:econdp:2013-17.

   Full description at Econpapers || Download paper

4. Maximum likelihood estimation and inference for approximate factor models of high dimension. (2012). Li, kunpeng ; Bai, Jushan.
   In: MPRA Paper.
   RePEc:pra:mprapa:42099.

   Full description at Econpapers || Download paper

5. Identifying observed factors in approximate factor models: estimation and hypothesis testing. (2012). Chen, Liang.
   In: MPRA Paper.
   RePEc:pra:mprapa:37514.

   Full description at Econpapers || Download paper

6. Detecting big structural breaks in large factor models. (2011). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang ; Cabrales, Antonio ; Albornoz, Facundo.
   In: UC3M Working papers. Economics.
   RePEc:cte:werepe:we1141.

   Full description at Econpapers || Download paper

1. Andrews, Donald W.K. (1993), “Tests for Parameter Instability and Structural Change with Unknown Change Point,” Econometrica, 61, 821-856.

2. Andrews, Donald W.K., and Werner Ploberger (1994), “Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative,” Econometrica, 62, 1383.

3. Bai, J. (2003), “Inferential Theory for Factor Models of Large Dimensions,” Econometrica 71, 135-172.

4. Bai, J., and S. Ng (2002), “Determining the Number of Factors in Approximate Factor Models”, Econometrica 70:191-221.

5. Bai, J., and S. Ng (2010), “Principal Components Estimation and Identification of the Factors,” Columbia University working paper.
   Paper not yet in RePEc: Add citation now
   

6. Banerjee, A. and M. Marcellino (2008), “Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change,” CEPR Working Paper 6706.

7. Bates, B., M. Plagborg-Moller, J. Stock, M. Watson (2012), “Consistent Factor Estimation in Dynamic Factor Models with Structural Instability,” Journal of Econometrics, forthcoming.

8. Bernanke, B.S., J. Boivin and P. Eliasz (2005), “Measuring the Effects of Monetary Policy: a Factor-augmented Vector Autoregressive (FAVAR) Approach”, Quarterly Journal of Economics 120, 387–422.
   Paper not yet in RePEc: Add citation now
   

9. Boivin, J. and M. Giannoni (2006), “DSGE Models in a Data-Rich Environment,” NBER Working Paper No. 12772.

10. Breitung, Jörg. and Sandra Eickmeier (2011), “Testing For Structural Breaks in Dynamic Factor Models,” Journal of Econometrics, 163, 71–84.

11. Chen, L., Dolado, J., and Gonzalo, J. (2012), “Detecting Big Structural Breaks in Large Factor Models,” MPRA working paper.

12. Cheng, X., Z. Liao, and F. Schorfheide (2013), “Shrinkage Estimation of Dynamic Factor Models with Structural Instabilities”, Manuscript, University of Pennsylvania.

13. Eickmeier, Sandra, Wolfgang Lemke and Massimiliano Marcellino (2011), “Classical TimeVarying FAVAR Models – Estimation, Forecasting and Structural Analysis,” CEPR Discussion Paper DP8321.

14. Golub, G.H. and C.F. van Loan (1989), Matrix Computations, Second Edn. Baltimore, MD: Johns Hopkins Press.
    Paper not yet in RePEc: Add citation now
    

15. Newey, Whitney K., and Kenneth D. West (1994), “Automatic Lag Selection in Covariance Matrix Estimation,” The Review of Economic Studies, 61(4), 631-653.

16. Onatski, A. (2010), “Determining the Number of Factors from Empirical Distribution of Eigenvalues, ” The Review of Economics and Statistics, 92(4), 1004-1016.

17. Sargent, T.J. and C.A.Sims (1977), “Business Cycle Modelling without Pretending to Have Too Much a-priori Economic Theory.”, in: Sims et al., eds., New Methods in Business Cycle Research (Federal Reserve Bank of Minneapolis, Minneapolis).
    Paper not yet in RePEc: Add citation now
    

18. Stock, James H., and Mark W. Watson (1996), “Evidence on Structural Instability in Macroeconomic Time Series Relations,” Journal of Business and Economic Statistics, 14, 11–30.

19. Stock, James H., and Mark W. Watson (2002a), “Macroeconomic forecasting using diffusion indexes”, Journal of Business and Economic Statistics 20, 147-162.
    Paper not yet in RePEc: Add citation now
    
20. Stock, James H., and Mark W. Watson (2002b), “Forecasting Using Principal Components from a Large Number of Predictors,” Journal of the American Statistical Association, 97, 1167–1179.
    Paper not yet in RePEc: Add citation now
    

21. Stock, James H., and Mark W. Watson (2005), “Implications of Dynamic Factor Models for VAR Analysis,” NBER Working Paper No. 11467.

22. Stock, James H., and Mark W. Watson (2009), “Forecasting in Dynamic Factor Models Subject to Structural Instability,” in The Methodology and Practice of Econometrics, A Festschrift in Honour of Professor David F. Hendry, Jennifer Castle and Neil Shephard (eds), Oxford: Oxford University Press.
    Paper not yet in RePEc: Add citation now
    

23. White, Halbert (1980),“A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity,” Econometrica, 48, 817-838.

1. A quantile regression analysis of flights-to-safety with implied volatilities. (2019). Troster, Victor ; Roubaud, David ; Bouri, Elie.
   In: Resources Policy.
   RePEc:eee:jrpoli:v:62:y:2019:i:c:p:482-495.

   Full description at Econpapers || Download paper

2. Testing parameter constancy in stationary vector autoregressive models against continuous change. (2004). Teräsvirta, Timo ; Gonzalez, Andres ; He, Changli.
   In: SSE/EFI Working Paper Series in Economics and Finance.
   RePEc:hhs:hastef:0507.

   Full description at Econpapers || Download paper

3. Empirical Analysis of Policy Interventions. (2002). Zha, Tao ; Leeper, Eric.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:9063.

   Full description at Econpapers || Download paper

4. Exchange Rate Pass-Through into Import Prices: A Macro or Micro Phenomenon?. (2002). Goldberg, Linda ; Campa, Jose.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:8934.

   Full description at Econpapers || Download paper

5. Inventory dynamics and business cycles: what has changed?. (2002). Zakrajšek, Egon ; McCarthy, Jonathan ; Zakrajsek, Egon.
   In: Staff Reports.
   RePEc:fip:fednsr:156.

   Full description at Econpapers || Download paper

6. Exchange rate pass-through into import prices: a macro or micro phenomenon?. (2002). Goldberg, Linda ; Campa, Jose.
   In: Staff Reports.
   RePEc:fip:fednsr:149.

   Full description at Econpapers || Download paper

7. Assessing changes in the monetary transmission mechanism: a VAR approach. (2002). Giannoni, Marc ; Boivin, Jean.
   In: Economic Policy Review.
   RePEc:fip:fednep:y:2002:i:may:p:97-111:n:v.8no.1.

   Full description at Econpapers || Download paper

8. Empirical analysis of policy interventions. (2002). Zha, Tao ; Leeper, Eric.
   In: Proceedings.
   RePEc:fip:fedfpr:y:2002:i:mar:x:1.

   Full description at Econpapers || Download paper

9. Differences in exchange rate pass-through in the euro area.. (2002). Campa, Jose ; Gonzalez, Jose M..
   In: IESE Research Papers.
   RePEc:ebg:iesewp:d-0479.

   Full description at Econpapers || Download paper

10. Demand Systems With Nonstationary Prices. (2002). Ng, Serena ; Lewbel, Arthur.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:441.

    Full description at Econpapers || Download paper

11. Inflation Changes, Yield Spreads, and Threshold Effects. (2002). Tkacz, Greg.
    In: Staff Working Papers.
    RePEc:bca:bocawp:02-40.

    Full description at Econpapers || Download paper

12. Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data. (2001). LE BIHAN, Hervé ; Jondeau, Eric.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0111005.

    Full description at Econpapers || Download paper

13. Prices, Wages and the U.S. NAIRU in the 1990s. (2001). Watson, Mark ; Staiger, Doug ; Stock, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8320.

    Full description at Econpapers || Download paper

14. The Empirical Relevance of Simple Forward- and Backward-looking Models: A View from a Dynamic General Equilibrium Model. (2001). Lindé, Jesper ; Linde, Jesper.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0130.

    Full description at Econpapers || Download paper

15. MODELING THE DIVIDEND-PRICE RATIO: THE ROLE OF FUNDAMENTALS USING A REGIME-SWITCHING APPROACH. (2001). Nielsen, Steen ; Olesen, Jan Overgaard .
    In: Working Papers.
    RePEc:hhs:cbsnow:2000_012.

    Full description at Econpapers || Download paper

16. Structural change in U.S. wage determination. (2001). Rich, Robert ; Rissmiller, Donald.
    In: Staff Reports.
    RePEc:fip:fednsr:117.

    Full description at Econpapers || Download paper

17. Information technology and the U.S. productivity revival: what do the industry data say?. (2001). Stiroh, Kevin.
    In: Staff Reports.
    RePEc:fip:fednsr:115.

    Full description at Econpapers || Download paper

18. Anticipations of monetary policy in financial markets. (2001). Whitesell, William ; Lange, Joe ; Sack, Brian.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-24.

    Full description at Econpapers || Download paper

19. Testing for Structural Change in the Presence of Auxiliary Models. (2001). Guay, Alain ; Ghysels, Eric.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:133.

    Full description at Econpapers || Download paper

20. Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?. (2000). Nelson, Charles ; Morley, James ; Kim, Chang-Jin.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0011.

    Full description at Econpapers || Download paper

21. Measuring Systematic Monetary Policy. (2000). Jorda, Oscar ; Hoover, Kevin.
    In: Department of Economics.
    RePEc:fth:caldec:00-05.

    Full description at Econpapers || Download paper

22. Is money useful in the conduct of monetary policy?. (2000). Santucci, Larry ; Dotsey, Michael ; Lantz, Carl D..
    In: Economic Quarterly.
    RePEc:fip:fedreq:y:2000:i:fall:p:23-48.

    Full description at Econpapers || Download paper

23. How stable is the predictive power of the yield curve? evidence from Germany and the United States. (2000). Schich, Sebastian ; Rodrigues, Anthony ; Estrella, Arturo.
    In: Staff Reports.
    RePEc:fip:fednsr:113.

    Full description at Econpapers || Download paper

24. Inference on the Quantile Regression Process. (2000). Koenker, Roger.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0886.

    Full description at Econpapers || Download paper

25. Tests of Equal Forecast Accuracy and Encompassing for Nested Models. (2000). McCracken, Michael ; Clark, Todd.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0319.

    Full description at Econpapers || Download paper

26. A Time Series Model of Multiple Structural changes in Level, Trend and Variance. (1999). Zivot, Eric ; Wang, Jiahui.
    In: Econometrics.
    RePEc:wpa:wuwpem:9903002.

    Full description at Econpapers || Download paper

27. Specification Search and Stability Analysis. (1999). Llorente, Guillermo J. ; Hoyo, del J..
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:642.

    Full description at Econpapers || Download paper

28. Are Deep Parameters Stable? The Lucas Critique as an Empirical Hypothesis. (1999). Fuhrer, Jeffrey ; Estrella, Arturo.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:621.

    Full description at Econpapers || Download paper

29. Tests of Equal Forecast Accuracy and Encompassing for Nested Models. (1999). McCracken, Michael ; Clark, Todd.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:1241.

    Full description at Econpapers || Download paper

30. Testing for Structural Breaks in the Evaluation of Programs. (1999). Piehl, Anne ; Cooper, Suzanne J. ; Kennedy, David M. ; Braga, Anthony A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7226.

    Full description at Econpapers || Download paper

31. Tests of equal forecast accuracy and encompassing for nested models. (1999). McCracken, Michael ; Clark, Todd.
    In: Research Working Paper.
    RePEc:fip:fedkrw:99-11.

    Full description at Econpapers || Download paper

32. Are oil shocks inflationary? Asymmetric and nonlinear specifications versus changes in regime. (1999). Hooker, Mark A..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-65.

    Full description at Econpapers || Download paper

33. Are \deep\ parameters stable? the Lucas critique as an empirical hypothesis. (1999). Fuhrer, Jeffrey ; Estrella, Arturo.
    In: Working Papers.
    RePEc:fip:fedbwp:99-4.

    Full description at Econpapers || Download paper

34. Modest policy interventions. (1999). Zha, Tao ; Leeper, Eric.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:99-22.

    Full description at Econpapers || Download paper

35. Emerging Markets and Trading Costs. (1999). Ghysels, Eric ; Cherkaoui, Mouna .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-04.

    Full description at Econpapers || Download paper

36. Structural Change Tests for Simulated Method of Moments. (1998). Guay, Alain.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:61.

    Full description at Econpapers || Download paper

37. Structural Change Tests for Simulated Method of Moments. (1998). Guay, Alain ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-19.

    Full description at Econpapers || Download paper

38. Slowdowns and Meltdowns: Postwar Growth Evidence from 74 Countries. (1997). Papell, David ; Ben-David, Dan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6266.

    Full description at Econpapers || Download paper

39. The bank lending channel of monetary policy transmission: evidence from a model of bank behavior that incorporates long-term customer relationships.. (1997). Gibson, Michael S..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:584.

    Full description at Econpapers || Download paper

40. What Does the Bundesbank Target?. (1996). Mihov, Ilian ; Bernanke, Ben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5764.

    Full description at Econpapers || Download paper

41. Moving endpoints and the internal consistency of agents ex ante forecasts. (1996). Kozicki, Sharon.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:96-47.

    Full description at Econpapers || Download paper

42. Structural Change and Asset Pricing in Emerging Markets. (1996). Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:96s-34.

    Full description at Econpapers || Download paper

43. Modelling Federal Reserve Discount Policy. (1996). Baum, Christopher ; Karasulu, Meral.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:335.

    Full description at Econpapers || Download paper

44. CHANGES IN THE INFLATION PROCESS IN CANADA: Evidence and Implications. (1995). Hostland, Doug.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9508001.

    Full description at Econpapers || Download paper

45. Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate. (1995). van Norden, Simon ; Amano, Robert.
    In: International Finance.
    RePEc:wpa:wuwpif:9502001.

    Full description at Econpapers || Download paper

46. On Stable Factor Structures in the Pricing of Risk. (1995). Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-16.

    Full description at Econpapers || Download paper

47. Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models. (1995). Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-07.

    Full description at Econpapers || Download paper

48. An Analysis of the Real Interest Rate Under Regime Shifts. (1995). Perron, Pierre ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-05.

    Full description at Econpapers || Download paper

49. Moving Endpoints in Macrofinance. (). Kozicki, Sharon.
    In: Computing in Economics and Finance 1996.
    RePEc:sce:scecf6:_058.

    Full description at Econpapers || Download paper

50. Ex Post and Ex Ante Analysis of Provisional Data. (). Marcellino, Massimiliano ; Gallo, Giampiero.
    In: Working Papers.
    RePEc:igi:igierp:141.

    Full description at Econpapers || Download paper

Report date: 2025-09-17 03:43:27 || Missing content? Let us know