Forecasting by factors, by variables, by both or neither?

DOI10.1016/j.jeconom.2013.04.015zbMath1288.62137OpenAlexW2111345445MaRDI QIDQ2453089

Jennifer L. Castle, Michael P. Clements, David F. Hendry

Publication date: 6 June 2014

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

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:fe19b17e-fdcc-42dd-99ee-d9655398cb12

zbMATH Keywords

model selectionforecastingfactor modelsautometricsimpulse-indicator saturation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Inflation Rate Forecasting: Extreme Learning Machine as a Model Combination Method ⋮ The macroeconomic and fiscal implications of inflation forecast errors ⋮ Real-time factor model forecasting and the effects of instability ⋮ Testing for structural stability of factor augmented forecasting models

Uses Software

• PcGets
• PcGive

Cites Work

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