Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments
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Publication:3063856
DOI10.1080/07474938.2010.481549zbMath1205.91135OpenAlexW2146124511MaRDI QIDQ3063856
Nii Ayi Armah, Norman R. Swanson
Publication date: 15 December 2010
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://www.sas.rutgers.edu/virtual/snde/wp/2011-05.pdf
Related Items (3)
Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets ⋮ Testing for structural stability of factor augmented forecasting models ⋮ Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
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