Real-time factor model forecasting and the effects of instability

DOI10.1016/j.csda.2015.01.011zbMath1466.62045OpenAlexW1988597639MaRDI QIDQ1659156

Michael P. Clements

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2015.01.011

zbMATH Keywords

financial crisisfactor modelsrobust approaches

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Directed graphs and variable selection in large vector autoregressive models

Cites Work

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• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model
• A real-time data set for macroeconomists
• A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP

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