A time-varying diffusion index forecasting model

DOI10.1016/J.ECONLET.2020.109337MaRDI QIDQ2208686zbMATH OpenOpenAlexFDO

Authors Jie Wei, Yonghui Zhang

Publication date 3 November 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2020.109337

zbMATH Keywords

factor modeldiffusion indextime-varying parameterlocal principal component analysis (PCA)

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Diffusion processes (60J60)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Consistent factor estimation in dynamic factor models with structural instability
• Eigenvalue ratio test for the number of factors
• Forecasting Using Principal Components From a Large Number of Predictors
• Gradient-based smoothing parameter selection for nonparametric regression estimation
• Inferential Theory for Factor Models of Large Dimensions
• On time-varying factor models: estimation and testing
• Rolling window selection for out-of-sample forecasting with time-varying parameters
• Selection of estimation window in the presence of breaks
• Testing for smooth structural changes in time series models via nonparametric regression
• Testing for structural changes in factor models via a nonparametric regression
• Tests of Conditional Predictive Ability
• Trending time-varying coefficient time series models with serially correlated errors

Cited in

(13)

• Forecasting new product diffusion using grey time-delayed Verhulst model
• Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
• Forecasting using targeted diffusion indexes
• Forecasting inflation using dynamic model averaging
• Dynamic partial (co)variance forecasting model
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Estimation and Inference on Time-Varying FAVAR Models
• Time-varying forecast combination for factor-augmented regressions with smooth structural changes
• Rolling window selection for out-of-sample forecasting with time-varying parameters
• Analyzing the effect of time-varying factors for Thai rice export
• Time-varying model averaging
• Signal diffusion mapping: optimal forecasting with time-varying lags
• Diffusion index model specification and estimation using mixed frequency datasets

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