Details about Pilar Poncela

Access statistics for papers by Pilar Poncela.

Last updated 2022-03-22. Update your information in the RePEc Author Service.

Short-id: ppo612

Working Papers

2023

1. Understanding fluctuations through Multivariate Circulant Singular Spectrum Analysis
   Papers, arXiv.org

2021

2. Dynamic factor models: does the specification matter?
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

2020

3. A comment on the dynamic factor model with dynamic factors
   Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (2)
4. Factor extraction using Kalman filter and smoothing: this is not just another survey
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
   See also Journal Article Factor extraction using Kalman filter and smoothing: This is not just another survey, International Journal of Forecasting, Elsevier (2021) View citations (12) (2021)

2018

5. New Risk Sharing Channels in OECD Countries: a Heterogeneous Panel VAR
   JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission View citations (10)

2017

6. Automatic Signal Extraction for Stationary and Non-Stationary Time Series by Circulant SSA
   MPRA Paper, University Library of Munich, Germany
7. Estimating non-stationary common factors: Implications for risk sharing
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
   See also Journal Article Estimating Non-stationary Common Factors: Implications for Risk Sharing, Computational Economics, Springer (2020) View citations (9) (2020)

2016

8. Determining the number of factors after stationary univariate transformations
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)
   See also Journal Article Determining the number of factors after stationary univariate transformations, Empirical Economics, Springer (2017) View citations (6) (2017)
9. Risk Sharing in Europe
   JRC Research Reports, Joint Research Centre View citations (5)

2015

10. Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (3)
    See also Chapter Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (10) (2016)

2014

11. Selecting and combining experts from survey forecasts
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)

2013

12. Short-term forecasting for empirical economists. A survey of the recently proposed algorithms
    Working Papers, Banco de España View citations (24)
    See also Journal Article Short-term Forecasting for Empirical Economists: A Survey of the Recently Proposed Algorithms, Foundations and Trends(R) in Econometrics, now publishers (2013) View citations (23) (2013)

2012

13. Extracting non-linear signals from several economic indicators
    Working Papers, Banco de España View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (14)
    See also Journal Article Extracting Nonlinear Signals from Several Economic Indicators, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (25) (2015)
14. Green Shoots and Double Dips in the Euro Area. A Real Time Measure
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    See also Journal Article Green shoots and double dips in the euro area: A real time measure, International Journal of Forecasting, Elsevier (2014) View citations (22) (2014)
15. Markov-switching dynamic factor models in real time
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (27)
    Also in Working Papers, Banco de España (2012) View citations (25)
    See also Journal Article Markov-switching dynamic factor models in real time, International Journal of Forecasting, Elsevier (2018) View citations (29) (2018)
16. More is not always better: back to the Kalman filter in dynamic factor models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (5)
17. Sparse partial least squares in time series for macroeconomic forecasting
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article Sparse Partial Least Squares in Time Series for Macroeconomic Forecasting, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (16) (2015)

2010

18. Green Shoots? Where, when and how?
    Working Papers, FEDEA
19. Green shoots in the euro area. A real time measure
    Working Papers, Banco de España View citations (9)

2002

20. Forecasting monthly us consumer price indexes through a disaggregated I(2) analysis
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (8)

2000

21. Forecasting with nostationary dynamic factor models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article Forecasting with nonstationary dynamic factor models, Journal of Econometrics, Elsevier (2004) View citations (33) (2004)

1997

22. Data graduation based on statistical time series methods
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article Data graduation based on statistical time series methods, Statistics & Probability Letters, Elsevier (2001) View citations (3) (2001)
23. Eigenstructure of nonstationary factor models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
24. Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article Measuring Intervention Effects on Multiple Time Series Subjected to Linear Restrictions: A Banking Example, Journal of Business & Economic Statistics, American Statistical Association (1998) (1998)

1996

25. Pooling information and forecasting with dynamic factor analysis
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

Journal Articles

2022

1. Seasonality in COVID-19 times
   Economics Letters, 2022, 211, (C) View citations (2)

2021

2. Circulant Singular Spectrum Analysis to Monitor the State of the Economy in Real Time
   Mathematics, 2021, 9, (11), 1-17
3. Factor extraction using Kalman filter and smoothing: This is not just another survey
   International Journal of Forecasting, 2021, 37, (4), 1399-1425 View citations (12)
   See also Working Paper Factor extraction using Kalman filter and smoothing: this is not just another survey, DES - Working Papers. Statistics and Econometrics. WS (2020) View citations (1) (2020)
4. Improving Wind Power Forecasts: Combination through Multivariate Dimension Reduction Techniques
   Energies, 2021, 14, (5), 1-16 View citations (4)

2020

5. A fragmented-periodogram approach for clustering big data time series
   Advances in Data Analysis and Classification, 2020, 14, (1), 117-146 View citations (6)
6. Estimating Non-stationary Common Factors: Implications for Risk Sharing
   Computational Economics, 2020, 55, (1), 37-60 View citations (9)
   See also Working Paper Estimating non-stationary common factors: Implications for risk sharing, DES - Working Papers. Statistics and Econometrics. WS (2017) View citations (1) (2017)
7. Global vs Sectoral Factors and the Impact of the Financialization in Commodity Price Changes
   Open Economies Review, 2020, 31, (4), 859-879 View citations (1)

2019

8. A Review of International Risk Sharing for Policy Analysis
   East Asian Economic Review, 2019, 23, (3), 227-260 View citations (7)

2018

9. Markov-switching dynamic factor models in real time
   International Journal of Forecasting, 2018, 34, (4), 598-611 View citations (29)
   See also Working Paper Markov-switching dynamic factor models in real time, CEPR Discussion Papers (2012) View citations (27) (2012)

2017

10. A new look at oil price pass-through into inflation: evidence from disaggregated European data
    Economia Politica: Journal of Analytical and Institutional Economics, 2017, 34, (1), 55-82 View citations (12)
11. Determining the number of factors after stationary univariate transformations
    Empirical Economics, 2017, 53, (1), 351-372 View citations (6)
    See also Working Paper Determining the number of factors after stationary univariate transformations, DES - Working Papers. Statistics and Econometrics. WS (2016) View citations (2) (2016)
12. Long-term links between raw materials prices, real exchange rate and relative de-industrialization in a commodity-dependent economy: empirical evidence of “Dutch disease” in Colombia
    Empirical Economics, 2017, 52, (2), 777-798 View citations (11)
13. Measuring uncertainty and assessing its predictive power in the euro area
    Empirical Economics, 2017, 53, (1), 165-182 View citations (7)

2016

14. Choosing a dynamic common factor as a coincident index
    Statistics & Probability Letters, 2016, 109, (C), 89-98 View citations (3)

2015

15. Extracting Nonlinear Signals from Several Economic Indicators
    Journal of Applied Econometrics, 2015, 30, (7), 1073-1089 View citations (25)
    See also Working Paper Extracting non-linear signals from several economic indicators, Working Papers (2012) View citations (2) (2012)
16. Sparse Partial Least Squares in Time Series for Macroeconomic Forecasting
    Journal of Applied Econometrics, 2015, 30, (4), 576-595 View citations (16)
    See also Working Paper Sparse partial least squares in time series for macroeconomic forecasting, DES - Working Papers. Statistics and Econometrics. WS (2012) (2012)

2014

17. Common dynamics of nonenergy commodity prices and their relation to uncertainty
    Applied Economics, 2014, 46, (30), 3724-3735 View citations (23)
18. Green shoots and double dips in the euro area: A real time measure
    International Journal of Forecasting, 2014, 30, (3), 520-535 View citations (22)
    See also Working Paper Green Shoots and Double Dips in the Euro Area. A Real Time Measure, CEPR Discussion Papers (2012) View citations (3) (2012)
19. Mexico: Combining monthly inflation predictions from surveys
    Revista CEPAL, 2014
20. México: la combinación de las predicciones mensuales de inflación mediante encuestas
    Revista CEPAL, 2014
21. Some New Results on the Estimation of Structural Budget Balance for Spain
    Hacienda Pública Española / Review of Public Economics, 2014, 210, (3), 11-31 View citations (5)
22. The Effects of Disaggregation on Forecasting Nonstationary Time Series
    Journal of Forecasting, 2014, 33, (4), 300-314 View citations (3)

2013

23. Automatic tuning of Kalman filters by maximum likelihood methods for wind energy forecasting
    Applied Energy, 2013, 108, (C), 349-362 View citations (18)
24. Short-term Forecasting for Empirical Economists: A Survey of the Recently Proposed Algorithms
    Foundations and Trends(R) in Econometrics, 2013, 6, (2), 101-161 View citations (23)
    See also Working Paper Short-term forecasting for empirical economists. A survey of the recently proposed algorithms, Working Papers (2013) View citations (24) (2013)

2011

25. Forecast combination through dimension reduction techniques
    International Journal of Forecasting, 2011, 27, (2), 224-237 View citations (29)
    Also in International Journal of Forecasting, 2011, 27, (2), 224-237 (2011) View citations (29)

2007

26. The relationship between road traffic accidents and real economic activity in spain: common cycles and health issues
    Health Economics, 2007, 16, (6), 603-626 View citations (16)

2006

27. A two factor model to combine US inflation forecasts
    Applied Economics, 2006, 38, (18), 2191-2197 View citations (5)
28. Demand Forecast and Elasticities Estimation of Public Transport
    Journal of Transport Economics and Policy, 2006, 40, (1), 45-67 View citations (17)
29. Forecasting traffic accidents using disaggregated data
    International Journal of Forecasting, 2006, 22, (2), 203-222 View citations (10)

2005

30. Introduction to nonlinearities, business cycles, and forecasting
    International Journal of Forecasting, 2005, 21, (4), 623-625 View citations (1)
31. Joint forecasts of Southern European fertility rates with non-stationary dynamic factor models
    International Journal of Forecasting, 2005, 21, (3), 539-550 View citations (9)

2004

32. Forecasting with nonstationary dynamic factor models
    Journal of Econometrics, 2004, 119, (2), 291-321 View citations (33)
    See also Working Paper Forecasting with nostationary dynamic factor models, DES - Working Papers. Statistics and Econometrics. WS (2000) (2000)
33. Time series analysis by state space methods: J. Durbin and S.J. Koopman, Oxford Statistical Series 24, 2001, Oxford University Press, ISBN 0-19-852354-8, 254 pages, price: [UK pound]36.00 (hardback)
    International Journal of Forecasting, 2004, 20, (1), 139-141

2002

34. Forecasting European GNP Data through Common Factor Models and Other Procedures
    Journal of Forecasting, 2002, 21, (4), 225-44 View citations (9)

2001

35. Data graduation based on statistical time series methods
    Statistics & Probability Letters, 2001, 52, (2), 169-175 View citations (3)
    See also Working Paper Data graduation based on statistical time series methods, DES - Working Papers. Statistics and Econometrics. WS (1997) (1997)

1998

36. Measuring Intervention Effects on Multiple Time Series Subjected to Linear Restrictions: A Banking Example
    Journal of Business & Economic Statistics, 1998, 16, (4), 489-97
    See also Working Paper Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example, DES - Working Papers. Statistics and Econometrics. WS (1997) (1997)

Chapters

2016

1. Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 401-434 View citations (10)
   See also Working Paper Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment, Universidad Carlos III de Madrid. Departamento de Estadística (2015) View citations (3) (2015)