Concepedia

Catherine Doz

CD

5

Publications

1.1K

Citations

5

H-Index

2006

Active since

Affiliations

Université Paris 1 Panthéon-Sorbonne(Current)

Paris School of Economics

Université Libre de Bruxelles

Centre for Economic Policy Research

London Business School

Catherine Doz is an author at Université Paris 1 Panthéon-Sorbonne specializing in econometrics, engineering, and statistics.

Top concepts

StatisticsEngineeringEconometricsEstimation TheoryStatistical InferenceEducationData ScienceFactor ModelsFactor AnalysisRobust Modeling

Publications per year

2006–2023

5

Publications

5

A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models

Catherine Doz, Domenico Giannone, Lucrezia Reichlin · The Review of Economics and Statistics · 2011 · 523 citations

Engineering, Quasi–maximum Likelihood Approach, Factor Models +16

A two-step estimator for large approximate dynamic factor models based on Kalman filtering

Catherine Doz, Domenico Giannone, Lucrezia Reichlin · Journal of Econometrics · 2011 · 483 citations · Full text

State Estimation, Parameter Identification, Parameter Estimation +8

A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering

Catherine Doz, Domenico Giannone, Lucrezia Reichlin · SSRN Electronic Journal · 2007 · 32 citations · Full text

Factor Stochastic Volatility in Mean Models: A GMM Approach

Catherine Doz, Éric Renault · Econometric Reviews · 2006 · 30 citations

Identifying and interpreting the factors in factor models via sparsity: Different approaches

Thomas Despois, Catherine Doz · Journal of Applied Econometrics · 2023 · 11 citations · Full text

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