Forecasting using targeted diffusion indexes
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Recommendations
- Forecasting economic time series using targeted predictors
- A time-varying diffusion index forecasting model
- Revisiting Targeted Factors
- Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
- The Generalized Dynamic Factor Model
Cites work
- Are more data always better for factor analysis?
- Determining the Number of Factors in Approximate Factor Models
- Forecasting Using Principal Components From a Large Number of Predictors
- Forecasting economic time series using targeted predictors
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
Cited in
(8)- Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
- Are disaggregate data useful for factor analysis in forecasting French GDP?
- Short-term forecasts of French GDP: a dynamic factor model with targeted predictors
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Diffusion Indexes With Sparse Loadings
- A time-varying diffusion index forecasting model
- Signal diffusion mapping: optimal forecasting with time-varying lags
- A predictive approach for selection of diffusion index models
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