Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators
Author:
Affiliation:
1. a Bank of Canada , 234 Wellington Street, Ottawa, ON K1A 0G9, Canada
2. b Department of Economics , Rutgers University , 75 Hamilton Street, New Brunswick, NJ 08901, USA
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/09603107.2011.523188
Reference47 articles.
1. Econometric Reviews;Armah N,2010
2. Inferential Theory for Factor Models of Large Dimensions
3. Determining the Number of Factors in Approximate Factor Models
4. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
5. Evaluating latent and observed factors in macroeconomics and finance
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