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Foster, Richard S. - 1994

Persistent link: https://www.econbiz.de/10000893693

Estimating a multivariate ARMA model with mixed-frequency data : an application to forecasting US GNP at monthly intervals

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Univariate v[ersu]s multivariate forecasts of GNP growth and stock returns : evidence and implications for the persistence of shocks, detrending methods, and tests of the permanent...

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Persistent link: https://www.econbiz.de/10000802322

DSGE model-based forecasting of non-modelled variables

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Persistent link: https://www.econbiz.de/10003754163

Revisiting useful approaches to data-rich macroeconomic forecasting

Groen, Jan J. J. (contributor); … - 2008

We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser known alternative: partial least squares (PLS) regression. In this method, linear, orthogonal combinations of a large number of predictor variables are constructed such that the...

Persistent link: https://www.econbiz.de/10003781548