Forecasting by factors, by variables, by both or neither?
DOI10.1016/J.JECONOM.2013.04.015zbMATH Open1288.62137OpenAlexW2111345445MaRDI QIDQ2453089FDOQ2453089
Authors: Jennifer L. Castle, Michael P. Clements, David F. Hendry 
Publication date: 6 June 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ora.ox.ac.uk/objects/uuid:fe19b17e-fdcc-42dd-99ee-d9655398cb12
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Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Statistical methods; economic indices and measures (91B82)
Cites Work
- Are more data always better for factor analysis?
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- Forecasting sales by exponentially weighted moving averages
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- Some contributions to maximum likelihood factor analysis
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- Forecasting in dynamic factor models subject to structural instability
- Autometrics
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- Evaluating automatic model selection
- The Methodology and Practice of Econometrics
- Model selection when there are multiple breaks
- Automatic selection of indicators in a fully saturated regression
- Forecasting with equilibrium-correction models during structural breaks
- Title not available (Why is that?)
- Automatic selection for non-linear models
- Title not available (Why is that?)
Cited In (14)
- A wavelet approach for factor-augmented forecasting
- Ridge Regression Under Dense Factor Augmented Models
- Forecasting US economic growth in downturns using cross-country data
- A multi-country approach to forecasting output growth using PMIs
- Are disaggregate data useful for factor analysis in forecasting French GDP?
- Testing for structural stability of factor augmented forecasting models
- Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
- The macroeconomic and fiscal implications of inflation forecast errors
- Real-time factor model forecasting and the effects of instability
- Weighted-covariance factor decomposition of VARMA models applied to forecasting quarterly U.S. real GDP at monthly intervals
- Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean?
- Is there an optimal forecast combination?
- Inflation Rate Forecasting: Extreme Learning Machine as a Model Combination Method
- Forecasting in dynamic factor models subject to structural instability
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