Nonlinear Forecasting Using Factor‐Augmented Models

DOI10.1002/FOR.1248zbMATH Open1397.60074OpenAlexW1938152494MaRDI QIDQ4687303

Bruno Cara Giovannetti

Publication date: 11 October 2018

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

Full work available at URL: https://doi.org/10.1002/for.1248

zbMATH Keywords

covariatesforecasting regressionnonlinear estimation methodsout-of-sample forecasting accuracy

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Macroeconomic theory (monetary models, models of taxation) (91B64) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (2)

Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients ⋮ Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach

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