Factor Models in Large Cross-Sections of Time Series

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The Use of Discrete Data in PCA: Theory, Simulations, and Applications to Socioeconomic Indices (2004, methodology): “…has been applied to the studies of cointegration and spatial convergence (Harris 1997, Drakos 2002), development (Caudill, Zanella & Mixon 2000), panel data (Bai 1993, Reichlin 2002), forecasting (Stock & Watson 2002), simultaneous equations (Choi 2002) and economics of education (Webster 2001).”
Large Dimensional Factor Analysis (2008, background): “Results concerning the use of factors in forecasting are discussed in Stock and Watson (2006), Banerjee et al.”
Socioeconomic Status Measurement with Discrete Proxy Variables (2009, methodology): “…has been applied to the studies of cointegration and spatial convergence (Harris, 1997; Drakos, 2002), development (Caudill et al., 2000), panel data (Bai, 1993; Reichlin, 2002), forecasting (Stock and Watson, 2002), simultaneous equations (Choi, 2002) and economics of education (Webster, 2001).”
Are Disaggregate Data Useful for Factor Analysis in Forecasting French GDP (2010, background): “1See Reichlin (2003), Stock and Watson (2006), Breitung and Eickmeier (2006), Eickmeier and Ziegler (2008) for a survey on factor models.”