Forecasting with nonstationary dynamic factor models

DOI10.1016/S0304-4076(03)00198-2zbMath1282.91270MaRDI QIDQ2439045

Daniel Peña, Pilar Poncela

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

predictioncointegrationvector time seriescommon factorspooled forecasts

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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