A time-varying diffusion index forecasting model
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Publication:2208686
DOI10.1016/J.ECONLET.2020.109337zbMath1452.62426OpenAlexW3037621665MaRDI QIDQ2208686
Publication date: 3 November 2020
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109337
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Diffusion processes (60J60)
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Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors ⋮ Time-varying forecast combination for factor-augmented regressions with smooth structural changes
Cites Work
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- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Forecasting Using Principal Components From a Large Number of Predictors
- Tests of Conditional Predictive Ability
- Inferential Theory for Factor Models of Large Dimensions
- TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION
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