Research graph
References from Generalized canonical correlation estimation of the multilevel factor model. Local targets link to admitted publications; unresolved targets remain external evidence.
Eigenvalue ratio test for the number of factors
10.3982/ecta8968 · 2013 · External reference
10.2139/ssrn.4503954
10.2139/ssrn.4503954 · External reference
Inference in group factor models with an application to mixed-frequency data
10.3982/ecta14690 · 2019 · External reference
Mixed-frequency macro–finance factor models: theory and applications
2020 · External reference
Inferential theory for factor models of large dimensions
10.1111/1468-0262.00392 · 2003 · External reference
Determining the number of factors in approximate factor models
10.1111/1468-0262.00273 · 2002 · External reference
Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions
10.1111/j.1468-0262.2006.00696.x · 2006 · External reference
Gross capital flows, common factors, and the global financial cycle
2018 · External reference
On the importance of sectoral and regional shocks for price-setting
10.1002/jae.2490 · 2016 · External reference
Analyzing international business and financial cycles using multi-level factor models: a comparison of alternative approaches
2016 · External reference
Arbitrage, factor structure, and mean-variance analysis on large asset markets
10.2307/1912275 · 1983 · External reference
Circularly projected common factors for grouped data
10.1080/07350015.2022.2051520 · 2023 · External reference
The 2000s housing cycle with 2020 hindsight: a neo-kindlebergerian view
10.1093/restud/rdad045 · 2024 · External reference
Model selection for factor analysis: some new criteria and performance comparisons
10.1080/07474938.2017.1382763 · 2019 · External reference
A multilevel factor model: identification, asymptotic theory and applications
10.1002/jae.2611 · 2018 · External reference
Canonical correlation-based model selection for the multilevel factors
10.1016/j.jeconom.2021.09.008 · 2023 · External reference
99 Luftballons: monetary policy and the house price boom across US states
10.1016/j.jmoneco.2006.11.003 · 2007 · External reference
Determining the number of global and country-specific factors in the euro area
2013 · External reference
Large covariance estimation by thresholding principal orthogonal complements
10.1111/rssb.12016 · 2013 · External reference
10.2139/ssrn.4547778
10.2139/ssrn.4547778 · External reference
Unresolved reference
External reference
Dynamic factors in the presence of blocks
10.1016/j.jeconom.2010.11.004 · 2011 · External reference
Shrinkage estimation of factor models with global and group-specific factors
10.1080/07350015.2019.1617157 · 2021 · External reference
Is there long-run convergence among regional house prices in the UK?
10.1177/0042098008091489 · 2008 · External reference
The housing boom and bust: model meets evidence
10.1086/708816 · 2020 · External reference
International business cycles: world, region, and country-specific factors
10.1257/000282803769206278 · 2003 · External reference
Unresolved reference
External reference
Three-dimensional factor models with global and local factors
10.1017/s0266466625100091 · 2026 · External reference
10.2139/ssrn.3825385
10.2139/ssrn.3825385 · External reference
Dynamic hierarchical factor models
10.1162/rest_a_00359 · 2013 · External reference
UK house price convergence clubs and spillovers
10.1016/j.jhe.2015.10.003 · 2015 · External reference
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
10.2307/1913610 · 1987 · External reference
Determining the number of factors from empirical distribution of eigenvalues
10.1162/rest_a_00043 · 2010 · External reference
A multilevel factor approach for the analysis of CDS commonality and risk contribution
10.1016/j.intfin.2019.101144 · 2019 · External reference
Unresolved reference
1990 · External reference
Forecasting using principal components from a large number of predictors
10.1198/016214502388618960 · 2002 · External reference
Consistent model selection for factor-augmented regression within hierarchical factor structures
2025 · External reference
Unresolved reference
External reference
A survey on canonical correlation analysis
10.1109/tkde.2019.2958342 · 2019 · External reference
A useful variant of the Davis–Kahan theorem for statisticians
10.1093/biomet/asv008 · 2015 · External reference
On the importance of sectoral and regional shocks for price-setting
10.1002/jae.2490 · ExternalCitation · doi-reference
A multilevel factor model: identification, asymptotic theory and applications
10.1002/jae.2611 · ExternalCitation · doi-reference
A multilevel factor approach for the analysis of CDS commonality and risk contribution
10.1016/j.intfin.2019.101144 · ExternalCitation · doi-reference
Dynamic factors in the presence of blocks
10.1016/j.jeconom.2010.11.004 · ExternalCitation · doi-reference
Canonical correlation-based model selection for the multilevel factors
10.1016/j.jeconom.2021.09.008 · ExternalCitation · doi-reference
UK house price convergence clubs and spillovers
10.1016/j.jhe.2015.10.003 · ExternalCitation · doi-reference
99 Luftballons: monetary policy and the house price boom across US states
10.1016/j.jmoneco.2006.11.003 · ExternalCitation · doi-reference
Three-dimensional factor models with global and local factors
10.1017/s0266466625100091 · ExternalCitation · doi-reference
Shrinkage estimation of factor models with global and group-specific factors
10.1080/07350015.2019.1617157 · ExternalCitation · doi-reference
Circularly projected common factors for grouped data
10.1080/07350015.2022.2051520 · ExternalCitation · doi-reference
Model selection for factor analysis: some new criteria and performance comparisons
10.1080/07474938.2017.1382763 · ExternalCitation · doi-reference
The housing boom and bust: model meets evidence
10.1086/708816 · ExternalCitation · doi-reference
A useful variant of the Davis–Kahan theorem for statisticians
10.1093/biomet/asv008 · ExternalCitation · doi-reference
The 2000s housing cycle with 2020 hindsight: a neo-kindlebergerian view
10.1093/restud/rdad045 · ExternalCitation · doi-reference
A survey on canonical correlation analysis
10.1109/tkde.2019.2958342 · ExternalCitation · doi-reference
Determining the number of factors in approximate factor models
10.1111/1468-0262.00273 · ExternalCitation · doi-reference
Inferential theory for factor models of large dimensions
10.1111/1468-0262.00392 · ExternalCitation · doi-reference
Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions
10.1111/j.1468-0262.2006.00696.x · ExternalCitation · doi-reference
Large covariance estimation by thresholding principal orthogonal complements
10.1111/rssb.12016 · ExternalCitation · doi-reference
Determining the number of factors from empirical distribution of eigenvalues
10.1162/rest_a_00043 · ExternalCitation · doi-reference
Dynamic hierarchical factor models
10.1162/rest_a_00359 · ExternalCitation · doi-reference
Is there long-run convergence among regional house prices in the UK?
10.1177/0042098008091489 · ExternalCitation · doi-reference
Forecasting using principal components from a large number of predictors
10.1198/016214502388618960 · ExternalCitation · doi-reference
International business cycles: world, region, and country-specific factors
10.1257/000282803769206278 · ExternalCitation · doi-reference
10.2139/ssrn.3825385
10.2139/ssrn.3825385 · ExternalCitation · doi-reference
10.2139/ssrn.4503954
10.2139/ssrn.4503954 · ExternalCitation · doi-reference
10.2139/ssrn.4547778
10.2139/ssrn.4547778 · ExternalCitation · doi-reference
Arbitrage, factor structure, and mean-variance analysis on large asset markets
10.2307/1912275 · ExternalCitation · doi-reference
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
10.2307/1913610 · ExternalCitation · doi-reference
Inference in group factor models with an application to mixed-frequency data
10.3982/ecta14690 · ExternalCitation · doi-reference
Eigenvalue ratio test for the number of factors
10.3982/ecta8968 · ExternalCitation · doi-reference
