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Robustness and the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting
Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - In: International journal of forecasting 37 (2021) 4, pp. 1520-1534
Persistent link: https://www.econbiz.de/10013274311
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Penalized estimation of panel vector autoregressive models : a panel LASSO approach
Camehl, Annika - In: International journal of forecasting 39 (2023) 3, pp. 1185-1204
Persistent link: https://www.econbiz.de/10014465265
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Accuracy of mortgage portfolio risk forecasts during financial crises
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 249 (2016) 2, pp. 440-456
Persistent link: https://www.econbiz.de/10011436707
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A parsimonious approach to stochastic mortality modelling with dependent residuals
Mavros, George; Cairns, Andrew; Kleinow, Torsten; … - 2014
Persistent link: https://www.econbiz.de/10010362818
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Robust forecasting
Christensen, Timothy; Moon, Hyungsik Roger; … - 2020 - This version: November 23, 2020
Persistent link: https://www.econbiz.de/10013206021
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Forecasting with a panel Tobit model
Liu, Laura; Moon, Hyungsik Roger; Schorfheide, Frank - 2019 - This version: December 10, 2019
Persistent link: https://www.econbiz.de/10012223913
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Forecasting with a panel Tobit model
Liu, Laura; Moon, Hyungsik Roger; Schorfheide, Frank - In: Quantitative economics : QE ; journal of the … 14 (2023) 1, pp. 117-159
We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross‐section of short …
Persistent link: https://www.econbiz.de/10014306360
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Forecasting with high dimensional panel VARs
Koop, Gary; Korobilis, Dimitris - 2015
Persistent link: https://www.econbiz.de/10011413079
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Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective
Liu, Laura - 2020
This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper …
Persistent link: https://www.econbiz.de/10012840510