Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks
Year of publication: |
2014-01
|
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Authors: | Luciani, Matteo |
Institutions: | European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management |
Subject: | Penalized regressions | Local factors | Bayesian shrinkage | Forecasting |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published by: Elsevier, International Journal of Forecasting 10 pages long |
Classification: | C13 - Estimation ; C32 - Time-Series Models ; C33 - Models with Panel Data ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications |
Source: |
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Forecasting with approximate dynamic factor models: The role of non-pervasive shocks
Luciani, Matteo, (2014)
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Forecasting with approximate dynamic factor models : the role of non-pervasive shocks
Luciani, Matteo, (2013)
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Un Gran VAR Bayesiano para la Economia Chilena
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