Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean?

DOI10.1515/SNDE-2012-0049zbMath1329.62471OpenAlexW2005951985MaRDI QIDQ905382

Johannes Tang Kristensen

Publication date: 19 January 2016

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

Full work available at URL: https://www.degruyter.com/view/j/snde.2014.18.issue-3/snde-2012-0049/snde-2012-0049.xml?format=INT

zbMATH Keywords

forecastingrobust estimationprincipal components analysisleast absolute deviationsfactors models

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) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Macroeconomic theory (monetary models, models of taxation) (91B64)

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• Forecasting Using Principal Components From a Large Number of Predictors
• Least absolute value regression: recent contributions
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Robust Statistics

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