Comparing alternative predictors based on large-panel factor models
From MaRDI portal
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Causal inference from observational studies (62D20)
Recommendations
- The Generalized Dynamic Factor Model
- The generalized dynamic factor model: one-sided estimation and forecasting
- A forecasting performance comparison of dynamic factor models based on static and dynamic methods
- scientific article; zbMATH DE number 7307121
- Forecasting Using Principal Components From a Large Number of Predictors
Cited in
(4)- Robustness comparison of the Peña-Box model and the factor model to extract useful predictors
- OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
- Forecasting with many predictors: is boosting a viable alternative?
- A forecasting performance comparison of dynamic factor models based on static and dynamic methods
This page was built for publication: Comparing alternative predictors based on large-panel factor models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5149186)
