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VAR estimation and forecasting when data are subject to revision

Kishor, N. Kundan; Koenig, Evan F. - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 2, pp. 181-190

Persistent link: https://www.econbiz.de/10009657372

Modified median polish kriging and its application to the Wolfcamp-Aquifer data

Berke, Olaf - 2000

In geostatistics, spatial data will be analysed that often come from irregularly distributed sampling locations. Interest is in modelling the data, i.e. estimating distributional parameters and then to predict the phenomenon under study at unobserved sites within the corresponding sampling...

Persistent link: https://www.econbiz.de/10009781511

Incorporating short data into large mixed- frequency VARs for regional nowcasting

Koop, Gary; McIntyre, Stuart; Mitchell, James; Poon, Aubrey - 2023

Persistent link: https://www.econbiz.de/10014316254

Forecasting economic time series using targeted predictors

Bai, Jushan; Ng, Serena - In: Journal of econometrics 146 (2008) 2, pp. 304-317

Persistent link: https://www.econbiz.de/10003782981

Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions

Bai, Jushan; Ng, Serena - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 4, pp. 1133-1150

Persistent link: https://www.econbiz.de/10003346183

Asymptotically Efficient Model Selection for Panel Data Forecasting

Greenaway-McGrevy, Ryan - 2018

This paper develops new model selection methods for forecasting panel data using a set of least squares (LS) vector …

Persistent link: https://www.econbiz.de/10012926591

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

Forecasting with Panel Data : Estimation Uncertainty Versus Parameter Heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with …-sectional (N) and time (T) dimensions and varying degrees of parameter heterogeneity. We investigate conditions under which panel …

Persistent link: https://www.econbiz.de/10013292495

Asymptotically efficient model selection for panel data forecasting

Greenaway-McGrevy, Ryan - In: Econometric theory 35 (2019) 4, pp. 842-899

Persistent link: https://www.econbiz.de/10012386845

Identification and estimation of a large factor model with structural instability

Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - 2016

Persistent link: https://www.econbiz.de/10011687505

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