Forecasting the industrial production using alternative factor models and business survey data

DOI10.1080/02664763.2013.809870OpenAlexW1988524584MaRDI QIDQ5129110

Mauro Costantini

Publication date: 26 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2013.809870

zbMATH Keywords

factor modelsforecast evaluationstatic and dynamic factorsindustrial productionbusiness survey data

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Approximately normal tests for equal predictive accuracy in nested models
• The generalized dynamic factor model consistency and rates
• A parametric estimation method for dynamic factor models of large dimensions
• Forecasting Using Principal Components From a Large Number of Predictors
• Forecasting UK Industrial Production with Multivariate Singular Spectrum Analysis
• Efficient Tests for an Autoregressive Unit Root
• Multivariate singular spectrum analysis for forecasting revisions to real-time data
• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model

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