1. VARMA versus VAR for macroeconomic forecasting;Athanasopoulos;Journal of Business and Economic Statistics,2008
2. Determining the number of factors in approximate factor models;Bai;Econometrica,2002
3. Boosting diffusion indices;Bai;Journal of Applied Econometrics,2009
4. Finite sample properties of forecasts from the stationary first-order autoregressive model under a general error distribution;Bao;Econometric Theory,2007
5. Measuring the effect of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach;Bernanke;Quarterly Journal of Economics,2005