VARs, common factors and the empirical validation of equilibrium business cycle models

By Domenico Giannone, L. Reichlin, Luca Sala. 2006

100 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/fae56871906e5e0089fb6ddc94c28992970100ce

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In Economics and Econometrics

Citations in the corpus

Non-Stationary Dynamic Factor Models for Large Datasets (2016, background): “For example, standard Dynamic Stochastic General Equilibrium models not only imply a factor structure in the data (Giannone et al., 2006), but are also stationary around a common stochastic trend (Del Negro et al.”
Fiscal Foresight and Information Flows (2012, background): “…agents’ information sets when state variables are excluded from the VAR system [for example, Cooley and Dwyer (1995), Fry and Pagan (2005), Kapetanios, Pagan, and Scott (2005), Giannone, Reichlin, and Sala (2006), Giannone and Reichlin (2006), Chung and Leeper (2007), Dungey and Fry (2007)].”
Comparing Alternative Predictors Based on Large-Panel Factor Models (2012, unknown): “2The restriction r = q(s + 1) holds in this very simple model but in more general models we can only say that r ≥ q (see Forni, Giannone, Lippi, and Reichlin, 2005; Giannone, Reichlin, and Sala, 2006).”
OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS (2009, methodology): “…a theory-based model with measurement errors goes back to Sargent, 1989; see also Altug, 1989, and the literature mentioned therein; Ireland, 2004, and the literature mentioned therein; for an explicit link to factor models see Giannone, Reichlin, and Sala, 2006; Boivin and Giannoni, 2006).”
Fiscal Foresight: Analytics and Econometrics (2008, background): “capture agents’ information sets when state variables are excluded from the VAR system [for example, Cooley and Dwyer (1995), Fry and Pagan (2005), Kapetanios, Pagan, and Scott (2005), Giannone, Reichlin, and Sala (2006) , Giannone and Reichlin (2006), Chung and Leeper (2007), Dungey and Fry (2007)”
Business Cycle Synchronization in the Enlarged EU (2008, unknown): “…countries tend to have more volatile cycles than large 11 See, for example, Gregory et al. (1997), Stock and Watson (1998), Forni and Reichlin (1998), Gregory and Head (1999), Forni et al. (2000), Kose et al. (2003), Monfort et al. (2003), Helbling and Bayoumi (2003) and Giannone et al. (2003).”