A forecasting performance comparison of dynamic factor models based on static and dynamic methods

DOI10.1515/caim-2017-0003zbMath1367.62327OpenAlexW2599092360MaRDI QIDQ523139

Fabio Della Marra

Publication date: 20 April 2017

Published in: Communications in Applied and Industrial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/caim-2017-0003

zbMATH Keywords

dynamic factor modelsmacroeconomic forecastingfrequency domain methodstime domain methods

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
• Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
• Factor models in high-dimensional time series: A time-domain approach
• Forecasting Using Principal Components From a Large Number of Predictors
• Tests of Conditional Predictive Ability
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• The Generalized Dynamic Factor Model

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