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Koop, Gary; Korobilis, Dimitris - In: European economic review : EER 71 (2014), pp. 101-116

Persistent link: https://www.econbiz.de/10010512275

Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data

Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015

The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic … accuracy not inferior to that of structural models. Additional advantage of their approach is that the forecasting procedure … can be mostly automated and the influence of subjective decisions made in the forecasting process can be significantly …

Persistent link: https://www.econbiz.de/10010512536

Factor model forecasts of exchange rates

Engel, Charles; Mark, Nelson C.; West, Kenneth D. - In: Econometric reviews 34 (2015) 1/2, pp. 32-55

Persistent link: https://www.econbiz.de/10011373312

Likelihood-based analysis for dynamic factor models

Jungbacker, Borus; Koopman, Siem Jan - 2008

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

Persistent link: https://www.econbiz.de/10011373811

Estimating and forecasting large panels of volatilities with approximate dynamic factor models

Luciani, Matteo; Veredas, David - In: Journal of forecasting 34 (2015) 3, pp. 163-176

Persistent link: https://www.econbiz.de/10011305278

Forecasting with mixed-frequency factor models in the presence of common trends

Fuleky, Peter; Bonham, Carl Stanley - In: Macroeconomic dynamics 19 (2015) 4, pp. 753-775

Persistent link: https://www.econbiz.de/10011309214

Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data

Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015

The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...

Persistent link: https://www.econbiz.de/10011349021

Forecasting Portuguese GDP with factor models : pre- and post-crisis evidence

Dias, Francisco C.; Pinheiro, Maximiano; Rua, António - In: Economic modelling 44 (2015), pp. 266-272

Persistent link: https://www.econbiz.de/10011326229

Forecasting economic activity with targeted predictors

Bulligan, Guido; Marcellino, Massimiliano; Venditti, … - In: International journal of forecasting 31 (2015) 1, pp. 188-206

Persistent link: https://www.econbiz.de/10011327372

Structural dynamic factors analysis using prior information from macroeconomic theory

Bäurle, Gregor - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 136-150

Persistent link: https://www.econbiz.de/10009754017