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The generalized dynamic factor model: One-sided estimation and forecasting

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - 2003

This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …

Persistent link: https://www.econbiz.de/10010328558

The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - Laboratory of Economics and Management (LEM), Scuola … - 2003

This paper proposes a new forecasting method that exploits information from a largepanel of time series. The method is …

Persistent link: https://www.econbiz.de/10005650062

The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002

This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …

Persistent link: https://www.econbiz.de/10005661541

Proyecciones de demanda de educación en España

Alonso Fernández, Alonso Fernández Andrés M.; Peña … - Fundación BBVA - 2007

This working paper focuses on demand projectionsfor Spain s official educational stages in the 2005-2050 period. Between now and 2015, the number of students in non university education will increaseas a result of immigration, while the number of university matriculations will go on shrinking...

Persistent link: https://www.econbiz.de/10008683553

Toward a theory of evaluating predictive accuracy

Kunst, Robert M.; Jumah, Adusei - 2004

We suggest a theoretical basis for the comparative evaluation of forecasts. Instead of the general assumption that the data is generated from a stochastic model, we classify three stages of prediction experiments: pure non-stochastic prediction of given data, stochastic prediction of given data,...

Persistent link: https://www.econbiz.de/10010293709

Forecasting trade

Keck, Alexander; Raubold, Alexander - 2006

This paper develops a set of time series models to provide short-term forecasts (6 to 18 months ahead) of international trade both at the global level and for selected regions. Our results compare favourably to other forecasts, notably by the International Monetary Fund, as measured by standard...

Persistent link: https://www.econbiz.de/10010326691

On using predictive-ability tests in the selection of time-series prediction models: A Monte Carlo evaluation

Costantini, Mauro; Kunst, Robert M. - 2018

selecting the best forecasting model class in finite samples of practical relevance. Flanking such a horse race by predictive …

Persistent link: https://www.econbiz.de/10011917383

Linear Gaussian Affine Term Structure Models with Unobservable Factors: Calibration and Yield Forecasting

Date, P; Wang, I C - 2008

This paper provides a significant numerical evidence for out-of-sample forecasting ability of linear Gaussian interest …

Persistent link: https://www.econbiz.de/10009465539

Dynamic semiparametric factor models

Borak, Szymon - 2008

Hochdimensionale Regressionsprobleme, die sich dynamisch entwickeln, sind in zahlreichen Bereichen der Wissenschaft anzutreffen. Die Dynamik eines solchen komplexen Systems wird typischerweise mittels der Zeitreiheneigenschaften einer geringen Anzahl von Faktoren analysiert. Diese Faktoren...

Persistent link: https://www.econbiz.de/10009467069

Simpler and Better? Revisit of a Time-Series Model of Forecasting in the Lodging Industry

Yost, Elizabeth A - 2011

The average hotel manager recognizes the criticality of forecasting. However, most managers are either frustrated by …, monthly and yearly (Wheaton & Rossof, 1998). This provides an opportunity for a time-series forecasting model for revenue … (Weatherford & Kimes, 2003; Banker & Chen, 2006; Schmidgall, 2006). Moreover, time-series forecasting models, if constructed …

Persistent link: https://www.econbiz.de/10009468078

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