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Dynamic Factor Models

Catherine Doz , Peter Fuleky
2019
Preprints, Working Papers, ... halshs-02262202v1
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Forecasting French GDP with Dynamic Factor Models : a pseudo-real time experiment using Factor-augmented Error Correction Models

Stéphanie Combes , Catherine Doz
2018
Preprints, Working Papers, ... halshs-01819516v1

A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models

Catherine Doz , Domenico Giannone , Lucrezia Reichlin
Review of Economics and Statistics, 2012, 94 (4), pp.1014-1024. ⟨10.1162/REST_a_00225⟩
Journal articles hal-00638440v1
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Business cycle dynamics after the Great Recession: An Extended Markov-Switching Dynamic Factor Model

Catherine Doz , Laurent Ferrara , Pierre-Alain Pionnier
2020
Preprints, Working Papers, ... halshs-02443364v1

Dating Business Cycle Turning Points for the French Economy: An MS-DFM approach

Catherine Doz , Anna Petronevitch
Advances in Econometrics, 2016, Dynamic Factor Models, 35, pp.481-538. ⟨10.1108/S0731-905320150000035012⟩
Journal articles hal-01300932v1
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On the consistency of the two-step estimates of the MS-DFM: a Monte Carlo study

Catherine Doz , Anna Petronevich
2017
Preprints, Working Papers, ... halshs-01592863v1

Dynamic Factor Models

Catherine Doz , Peter Fuleky
Peter Fuleky. Macroeconomic Forecasting in the Era of Big Data, Springer, pp.27-64, 2020, ⟨10.1007/978-3-030-31150-6_2⟩
Book sections halshs-02491811v1
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Prévision de court terme de la croissance du PIB français à l’aide de modèles à facteurs dynamiques

Marie Bessec , Catherine Doz
Economie & prévision, 2012, 1 (199), pp.1-30
Journal articles hal-01515627v1
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Identifying and interpreting the factors in factor models via sparsity : Different approaches

Thomas Despois , Catherine Doz
2022
Preprints, Working Papers, ... halshs-03626503v1
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Identifying and interpreting the factors in factor models via sparsity: Different approaches

Thomas Despois , Catherine Doz
2021
Preprints, Working Papers, ... halshs-02235543v3

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

Catherine Doz , Domenico Giannone , Lucrezia Reichlin
Econometrics, 2011, 164 (1), pp.188-205
Journal articles hal-00638009v1

Identifying and interpreting the factors in factor models via sparsity: Different approaches

Thomas Despois , Catherine Doz
Journal of Applied Econometrics, In press, 38 (4), ⟨10.1002/jae.2967⟩
Journal articles halshs-03956392v1