Details about Catherine Doz

Access statistics for papers by Catherine Doz.

Last updated 2019-12-05. Update your information in the RePEc Author Service.

Short-id: pdo117

Working Papers

2008

1. A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (48)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (121)
   See also Journal Article A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models, The Review of Economics and Statistics, MIT Press (2012) View citations (218) (2012)

2007

2. A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (47)
   Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2006) View citations (32)
   See also Journal Article A two-step estimator for large approximate dynamic factor models based on Kalman filtering, Journal of Econometrics, Elsevier (2011) View citations (329) (2011)

2004

3. Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation
   CIRANO Working Papers, CIRANO View citations (6)
   Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2004) View citations (3)

1998

4. Analyse factorielle dynamique: Test du nombre de facteurs, estimation, et application à l'enquête de conjoncture dans l'industrie
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
   Also in Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. (1998) View citations (2)

1993

5. Var models and short term forecasting
   CEPREMAP Working Papers (Couverture Orange), CEPREMAP

Journal Articles

2012

1. A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models
   The Review of Economics and Statistics, 2012, 94, (4), 1014-1024 View citations (218)
   See also Working Paper A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models, Working Papers ECARES (2008) View citations (48) (2008)

2011

2. A two-step estimator for large approximate dynamic factor models based on Kalman filtering
   Journal of Econometrics, 2011, 164, (1), 188-205 View citations (329)
   See also Working Paper A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering, CEPR Discussion Papers (2007) View citations (47) (2007)

2006

3. Factor Stochastic Volatility in Mean Models: A GMM Approach
   Econometric Reviews, 2006, 25, (2-3), 275-309 View citations (16)

1995

4. Décomposition tendance-cycle: estimations par des méthodes statistiques univariées
   Économie et Prévision, 1995, 120, (4), 73-93 View citations (1)

1993

5. Note sur les tests de rationalité des prévisions
   Économie et Prévision, 1993, 108, (2), 129-133 View citations (2)

1992

6. Modèles VAR et prévisions à court terme
   Économie et Prévision, 1992, 106, (5), 109-122 View citations (4)

1991

7. Vingt ans de prévisions macro-économiques: une évaluation sur données françaises
   Économie et Prévision, 1991, 99, (3), 43-65 View citations (6)