Latent Variables, Handbook of Econometrics, 1984. ,
Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables, Econometric Theory, vol.4, issue.03, pp.458-67, 1988. ,
DOI : 10.1214/aop/1176995772
Robust Priors in Nonlinear Panel Data Models, 2006. ,
A likelihood-Based Approximate Solution to the Incidental Parameter Problem in Dynamic Nonlinear Models with Multiple Effects, Global Economic Review, vol.58, issue.3, 2006. ,
DOI : 10.1016/j.jspi.2004.11.016
Determining the Number of Factors in Approximate Factor Models, Econometrica, vol.70, issue.1, pp.191-221, 2002. ,
DOI : 10.1111/1468-0262.00273
A Penalty Function Approach to Bias Reduction in Nonlinear Panel Models with Fixed Effects, Journal of Business & Economic Statistics, vol.27, issue.2, 2005. ,
DOI : 10.1198/jbes.2009.0012
Stationarity of Garch processes and of some nonnegative time series, Journal of Econometrics, vol.52, issue.1-2, pp.115-127, 1992. ,
DOI : 10.1016/0304-4076(92)90067-2
Asymptotic efficiency in estimation with conditional moment restrictions, Journal of Econometrics, vol.34, issue.3, pp.305-334, 1987. ,
DOI : 10.1016/0304-4076(87)90015-7
Sieve Extremum Estimates for Weakly Dependent Data, Econometrica, vol.66, issue.2, pp.298-314, 1998. ,
DOI : 10.2307/2998559
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns, SSRN Electronic Journal, 2007. ,
DOI : 10.2139/ssrn.1016025
Parameter Orthogonality and Approximate Conditional Inference, Journal of the Royal Statistical Society, Series B, vol.49, pp.1-39, 1987. ,
Stochastic Limit Theory, Advanced Texts in Econometrics, 1994. ,
Funzione Caratteristica di un Fenomeno Aleatorio, Classe di Scienze Fisiche, Matematiche e Naturali, pp.251-299, 1931. ,
The ordered qualitative model for credit rating transitions, Journal of Empirical Finance, vol.15, issue.1, pp.111-130, 2008. ,
DOI : 10.1016/j.jempfin.2006.12.003
The generalized dynamic factor model consistency and rates, Journal of Econometrics, vol.119, issue.2, pp.231-255, 2004. ,
DOI : 10.1016/S0304-4076(03)00196-9
Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics, Review of Economic Studies, vol.65, issue.3, pp.453-473, 1998. ,
DOI : 10.1111/1467-937X.00053
Large Sample Point Estimation: A Large Deviation Theory Approach, The Annals of Statistics, vol.10, issue.3, pp.762-771, 1982. ,
DOI : 10.1214/aos/1176345869
Migration correlation: Definition and efficient estimation, Journal of Banking & Finance, vol.29, issue.4, pp.865-894, 2005. ,
DOI : 10.1016/j.jbankfin.2004.08.006
Stochastic Migration Models with Application to Corporate Risk, Journal of Financial Econometrics, vol.3, issue.2, pp.188-226, 2005. ,
DOI : 10.1093/jjfinec/nbi013
Approximate Derivative Pricing in Large Homogeneous Class of Assets, 2008. ,
Estimating Default Correlation from Short Panels of Credit Rating Performance Data, Working Paper, 2002. ,
Granularity Adjustment for Basel II, 2007. ,
Granularity adjustment for default risk factor model with cohorts, Journal of Banking & Finance, vol.36, issue.5, 2008. ,
DOI : 10.1016/j.jbankfin.2011.12.013
Statistics and Econometric Models, 1995. ,
Granularity in a qualitative factor model, The Journal of Credit Risk, vol.5, issue.4, 2008. ,
DOI : 10.21314/JCR.2009.101
Long memory relationships and the aggregation of dynamic models, Journal of Econometrics, vol.14, issue.2, pp.227-238, 1980. ,
DOI : 10.1016/0304-4076(80)90092-5
AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING, Journal of Time Series Analysis, vol.7, issue.1, pp.15-29, 1980. ,
DOI : 10.2307/3212527
Creditmetrics, 1997. ,
BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS, Econometric Theory, vol.87, issue.06, 2004. ,
DOI : 10.2307/2297103
Jackknife and Analytical Bias Reduction for Nonlinear Panel Models, Econometrica, vol.72, issue.4, pp.1295-1319, 2004. ,
DOI : 10.1111/j.1468-0262.2004.00533.x
Two Sided Analysis of Variance with a Latent Time Series, 2004. ,
Symmetric measures on Cartesian products, Transactions of the American Mathematical Society, vol.80, issue.2, pp.470-501, 1955. ,
DOI : 10.1090/S0002-9947-1955-0076206-8
Modelling panels of intercorrelated autoregressive time series, Biometrika, vol.86, issue.3, pp.573-590, 1999. ,
DOI : 10.1093/biomet/86.3.573
The incidental parameter problem since 1948, Journal of Econometrics, vol.95, issue.2, pp.391-413, 1948. ,
DOI : 10.1016/S0304-4076(99)00044-5
Asymptotic Properties of the Maximum Likelihood Estimator in Autoregressive Models with Markov Regime, Annals of Statistics, vol.32, pp.2254-2304, 2004. ,
Consistent Estimates Based on Partially Consistent Observations, Econometrica, vol.16, issue.1, pp.1-31, 1948. ,
DOI : 10.2307/1914288
A simplified approach to computing efficiency bounds in semiparametric models, Journal of Econometrics, vol.102, issue.1, pp.23-66, 2001. ,
DOI : 10.1016/S0304-4076(00)00090-7
Efficient Nonparametric Testing and Estimation, Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability, pp.187-195, 1956. ,
Forecasting Using Principal Components From a Large Number of Predictors, Journal of the American Statistical Association, vol.97, issue.460, pp.1167-1179, 2002. ,
DOI : 10.1198/016214502388618960
Probability of Loss on Loan Portfolio, 1987. ,
DOI : 10.1002/9781119186229.ch17
Limiting Loan Loss Probability Distribution, 1991. ,
DOI : 10.1002/9781119186229.ch18
Robustness Against Incidental Parameters, 2002. ,