A two-step estimator for large approximate dynamic factor models based on Kalman filtering

By Catherine Doz, Domenico Giannone, L. Reichlin. 2011

497 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0e6e41b4109b0ca05b58b98480e818aa15cec792

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Citations in the corpus

The Global Financial Crisis and currency crises in Latin America (2012, methodology): “In this paper we employ the two-step approach of Doz et al. (2011), which is based on a slightly different version of the static factor representation of the dynamic”
Dynamic factor model with infinite‐dimensional factor space: Forecasting (2016, methodology): “The main task of the paper is evaluating the performance of the new model FHLZ with respect to SW, the standard in this literature, and FHLR, which shares with FHLZ the frequency domain approach.”
GLS Estimation of Dynamic Factor Models (2011, methodology): “5 Even though their actual implementation of the estimator does not allow for serial correlation of the idiosyncratic components, Doz, Giannone, and Reichlin (2006) point out that, in principle, it is possible to take into account this feature in the estimation approach.”
A Survey of Econometric Methods for Mixed-Frequency Data (2013, methodology): “ytm = β0 (Stm) + β1 (Stm)B (Lm; θ)x (m) tm+w−hm + εtm (Stm) (21)”
Surprise and Uncertainty Indexes: Real-Time Aggregation of Real-Activity Macro Surprises (2016, background): “(ii) determination of the weights wj(αt|t−1) as defined in equation (13) and (iii) construction of the indexes as for equations (16) and (17).”
Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension (2016, methodology): “We may regard the objective function as a misspecified likelihood function, as in Doz et al. (2012). This particular form of misspecification is desirable, as it coincides with the classical factor analysis under the exact factor structure.”
Non-Stationary Dynamic Factor Models for Large Datasets (2016, unknown): “If we had r = q, then Engle and Granger (1987) prove that there exists a VECM representation for Ft with d cointegration relations.”
A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models (2012, unknown): “If we stop here we have the two-step estimates of the common factors studied by Doz, Giannone, and Reichlin (2007) and applied by Giannone, Reichlin, and Sala (2004); Giannone, Reichlin, and Small (2005).”
Maximum Likelihood Estimation of Factor Models on Data Sets with Arbitrary Pattern of Missing Data (2010, methodology): “Recently, Doz, Giannone, and Reichlin (2006) have proved that, as the size of the cross-section goes to infinity, one can obtain consistent estimates of the factors by maximum likelihood (also in case of weak cross and serial correlation in the idiosyncratic component).”
A Shadow Policy Rate to Calibrate US Monetary Policy at the Zero Lower Bound (2014, unknown): “(3) The log-likelihood function (3) can in normal circumstances be evaluated using the Kalman filter, and maximized to obtain estimates of the unknown parameters (see Engle and Watson 1981; Doz, Giannone, and Reichlin 2011).”
Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis (2014, methodology): “The asymptotic justification for this procedure is given in Doz et al. (2011).”
Now-Casting and the Real-time Data Flow (2013, unknown): “How large is large enough is an empirical question and Monte Carlo exercises of Doz, Giannone, and Reichlin (2011) and Doz, Giannone, and Reichlin (2012) show that substantial robustness is achieved already with a handful of variables.”
Estimation and Inference of FAVAR Models (2014, unknown): “That is perhaps the reason that Doz, Giannone, and Reichlin (2011) subsequently also considered a two-step method.”
Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections (2015, methodology): “At this stage, we have the two-step procedure of Doz, Giannone, and Reichlin (2011).”
Common Factors of Commodity Prices † (2018, background): “If we stop here, we get the two-step estimates of the common factors studied by Doz et al. (2011).”
A parametric estimation method for dynamic factor models of large dimensions (2009, unknown): “Other recent related references include Doz et al. (2007), Reis and Watson (2007), Forni et al. (2007), Giannone et al. (2008), Banbura and Runstler (2007), and Matheson (2007).”
Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data (2017, methodology): “Dynamic factor models are developed in Forni et al. (2000), Forni and Lippi (2001), Forni et al. (2004), and Doz et al. (2011), in which the lagged values of the unobserved factors may also affect the observed dependent variables; see Croux et al. (2004) for a discussion.”