Principal factors loadings for macroeconomic variables.

NIAID Data Ecosystem2026-05-02 收录

宏观经济因子分析

经济变量降维

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资源简介：

Principal factors loadings for macroeconomic variables.

创建时间：

2024-12-05

What Information Drives Asset Prices?

资产定价模型

宏观经济因子分析

The market price-dividend ratio is highly correlated with several macroeconomic variables, particularly inflation and labor market variables, but not with aggregate consumption and GDP. We incorporate

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Expectations, Surprises and Treasury Bill Rates: 1960-82

短期国债利率预测

宏观经济因子分析

Changes in six-month bill rates over semiannual periods in the 1960s and 1970s are successfully related to expected changes and to surprises. The latter include unanticipated changes in expected infla

NBER1984-01-01 更新40

Are More Data Always Better for Factor Analysis?

宏观经济因子分析

数据规模效应

Factors estimated from large macroeconomic panels are being used in an increasing number of applications. However, little is known about how the size and the composition of the data affect the factor

NBER2003-07-01 更新30

Shrinkage Estimation of Factor Models With Global and Group-Specific Factors

宏观经济因子分析

因子模型估计

This article develops an adaptive group lasso estimator for factor models with both global and group-specific factors. The global factors can affect all variables, whereas the group-specific factors a

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Principal Component Analysis for a Mix of Stationary and Nonstationary Variables

宏观经济因子分析

时间序列周期提取

This paper develops a procedure for uncovering the common cyclical factors that drive a mix of stationary and nonstationary variables. The method does not require knowing which variables are nonstatio

NBER2024-01-01 更新40

Principal factors loadings for macroeconomic variables.

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