Can we use seasonally adjusted variables in dynamic factor models?

DOI10.1515/SNDE-2013-0096zbMath1506.62490OpenAlexW2126716348MaRDI QIDQ2687876

Maximo Camacho, Yuliya Lovcha, Gabriel Perez-Quiros

Publication date: 7 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2013-0096

zbMATH Keywords

seasonal adjustmentdynamic factor modelsshort-term forecasting

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) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• Approximately normal tests for equal predictive accuracy in nested models
• Are more data always better for factor analysis?
• Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series
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