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

Kristensen, Johannes Tang - 2012

Persistent link: https://www.econbiz.de/10009546012

Factor models for non-stationary series : estimates of monthly U.S. GDP

Hengge, Martina; Leonard, Seton - 2017

-Gaussian (Kalman) filter. Crucially, consistent estimation does not require differencing the data despite it being cointegrated of …

Persistent link: https://www.econbiz.de/10011669132

Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods

Kim, Hyun Hak; Swanson, Norman R. - In: International journal of forecasting 34 (2018) 2, pp. 339-354

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Dynamic factor models : a review of the literature

Barhoumi, Karim; Darné, Olivier; Ferrara, Laurent - In: Journal of business cycle measurement and analysis : a … (2013) 2, pp. 73-107

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Eigenvalue ratio estimators for the number of common factors

Cavicchioli, Maddalena; Forni, Mario; Lippi, Marco; … - 2016

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Shrinkage estimation of high-dimensional factor models with structural instabilities

Cheng, Xu; Liao, Zhipeng; Schorfheide, Frank - 2014

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Shrinkage estimation of high-dimensional factor models with structural instabilities

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Dynamic factor models with common (drifting) stochastic trends

Kaufmann, Sylvia; Strachan, Rodney W. - 2024

It is common to transform data to stationarity, such as by differencing and demeaning, before estimating factor models in macroeconomics. Imposing these transformations, however, limit opportunities to learn about trending behaviour. Trends and deterministic processes can play a central role in...

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Direct estimation of the risk neutral factor dynamics of affine term structure models

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Forecasting with large unbalanced datasets : the mixed frequency three-pass regression filter

Hepenstrick, Christian; Marcellino, Massimiliano - 2016

but compares well to alternative mixed frequency factor estimation procedures in terms of theoretical properties, finite …

Persistent link: https://www.econbiz.de/10011541230

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