Testing for structural stability of factor augmented forecasting models (Q2451804): Difference between revisions

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+https://doi.org/10.1016/j.jeconom.2014.04.011
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+W2239346152
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@@ Property / cites work @@
+Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments
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+Determining the Number of Factors in Approximate Factor Models
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+Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
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+Q4593684
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+Testing for structural breaks in dynamic factor models
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+Model selection when there are multiple breaks
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+Forecasting by factors, by variables, by both or neither?
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+Detecting big structural breaks in large factor models
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+Modelling methodology and forecast failure
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+Predictive density and conditional confidence interval accuracy tests
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+Detecting and Predicting Forecast Breakdowns
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+Bootstrapping factor-augmented regression models
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+Maximum likelihood and the bootstrap for nonlinear dynamic models
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+TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
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+Pooling of forecasts
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+Q5309205
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+Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
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+Forecasting Using Principal Components From a Large Number of Predictors
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+Q4593683
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