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J. Bai, S. Ng, “A Panic Attack on Unit Roots and Cointegration, Econometrica, Vol. 72, No. 4, 2004, pp. 1127-1177. doi: 10.1111/j.1468-0262.2004.00528
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B.S. Bernanke, J. Boivin, “Monetary Policy in a Data-Rich Environment”, Journal of Monetary Economics, Vol. 50, No. 3, 2003, pp. 525-546.
doi: 10.1016/S0304-3932(03)00024-2
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M. Forni, M. Hallin, M. Lippi, L. Reichlin, “The Generalized Dynamic Factor Model: Identification and Estimation”, Review of Economics and Statistics, Vol. 82, No. 4, 2000, pp. 540-554. doi: 10.1162/003465300559037
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M.H. Pesaran, T. Schuerman, S.M. Weiner, “Modelling Regional Interdependencies Using a Global Error Correcting Macroeconometric Model”, Journal of Business and Economic Statistics, Vol. 22, No. 2, 2004, 129-162.
doi: 10.1198/073500104000000019
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C. Morana, “Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks”, 2011,
http://ssrn.com/abstract=1756376
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[6]
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J. Bai, “Estimating Cross-section Common Stochastic Trends in Nonstationary Panel Data”, Journal of Econometrics, Vol. 122, No. 1, 2004, pp. 137-38.
doi:10.1016/j.jeconom.2003.10.022
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[7]
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J. Bai, “Inferential Theory for Factor Models of Large Dimensions”, Econometrica, Vol. 71, No. 1, 2003, pp. 135-171. doi: 10.1111/1468-0262.00392
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[8]
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J.R.G. Lansang, E.B. Barrios, “Principal Components Analyisis of Nonstationary Time Series Data”, Statistics and Computing, Vol. 19, No. 2, 2009, pp. 173-187.
doi: 10.1007/s11222-008-9082-y
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[9]
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C. Morana, “Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation”, FEEM Working Paper Series, No. 7, 2011,
http://ssrn.com/abstract=2025787
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[10]
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J. Bai, S. Ng, “A Panic Attack on Unit Roots and Cointegration, Econometrica, Vol. 72, No. 4, 2004, pp. 1127-1177. doi: 10.1111/j.1468-0262.2004.00528
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[11]
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B.S. Bernanke, J. Boivin, “Monetary Policy in a Data-Rich Environment”, Journal of Monetary Economics, Vol. 50, No. 3, 2003, pp. 525-546.
doi: 10.1016/S0304-3932(03)00024-2
|
[12]
|
M. Forni, M. Hallin, M. Lippi, L. Reichlin, “The Generalized Dynamic Factor Model: Identification and Estimation”, Review of Economics and Statistics, Vol. 82, No. 4, 2000, pp. 540-554. doi: 10.1162/003465300559037
|
[13]
|
M.H. Pesaran, T. Schuerman, S.M. Weiner, “Modelling Regional Interdependencies Using a Global Error Correcting Macroeconometric Model”, Journal of Business and Economic Statistics, Vol. 22, No. 2, 2004, 129-162.
doi: 10.1198/073500104000000019
|
[14]
|
C. Morana, “Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks”, 2011,
http://ssrn.com/abstract=1756376
|
[15]
|
J. Bai, “Estimating Cross-section Common Stochastic Trends in Nonstationary Panel Data”, Journal of Econometrics, Vol. 122, No. 1, 2004, pp. 137-38.
doi:10.1016/j.jeconom.2003.10.022
|
[16]
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J. Bai, “Inferential Theory for Factor Models of Large Dimensions”, Econometrica, Vol. 71, No. 1, 2003, pp. 135-171. doi: 10.1111/1468-0262.00392
|
[17]
|
J.R.G. Lansang, E.B. Barrios, “Principal Components Analyisis of Nonstationary Time Series Data”, Statistics and Computing, Vol. 19, No. 2, 2009, pp. 173-187.
doi: 10.1007/s11222-008-9082-y
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[18]
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C. Morana, “Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation”, FEEM Working Paper Series, No. 7, 2011,
http://ssrn.com/abstract=2025787
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[19]
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J. Bai, S. Ng, “A Panic Attack on Unit Roots and Cointegration, Econometrica, Vol. 72, No. 4, 2004, pp. 1127-1177. doi: 10.1111/j.1468-0262.2004.00528
|
[20]
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B.S. Bernanke, J. Boivin, “Monetary Policy in a Data-Rich Environment”, Journal of Monetary Economics, Vol. 50, No. 3, 2003, pp. 525-546.
doi: 10.1016/S0304-3932(03)00024-2
|
[21]
|
M. Forni, M. Hallin, M. Lippi, L. Reichlin, “The Generalized Dynamic Factor Model: Identification and Estimation”, Review of Economics and Statistics, Vol. 82, No. 4, 2000, pp. 540-554. doi: 10.1162/003465300559037
|
[22]
|
M.H. Pesaran, T. Schuerman, S.M. Weiner, “Modelling Regional Interdependencies Using a Global Error Correcting Macroeconometric Model”, Journal of Business and Economic Statistics, Vol. 22, No. 2, 2004, 129-162.
doi: 10.1198/073500104000000019
|
[23]
|
C. Morana, “Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks”, 2011,
http://ssrn.com/abstract=1756376
|
[24]
|
J. Bai, “Estimating Cross-section Common Stochastic Trends in Nonstationary Panel Data”, Journal of Econometrics, Vol. 122, No. 1, 2004, pp. 137-38.
doi:10.1016/j.jeconom.2003.10.022
|
[25]
|
J. Bai, “Inferential Theory for Factor Models of Large Dimensions”, Econometrica, Vol. 71, No. 1, 2003, pp. 135-171. doi: 10.1111/1468-0262.00392
|
[26]
|
J.R.G. Lansang, E.B. Barrios, “Principal Components Analyisis of Nonstationary Time Series Data”, Statistics and Computing, Vol. 19, No. 2, 2009, pp. 173-187.
doi: 10.1007/s11222-008-9082-y
|
[27]
|
C. Morana, “Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation”, FEEM Working Paper Series, No. 7, 2011,
http://ssrn.com/abstract=2025787
|