Forecasting key macroeconomic variables from a large number of predictors: a state space approach

DOI10.1002/for.1131zbMath1205.91134OpenAlexW1986861651MaRDI QIDQ3065521

Terje Skjerpen, Anders Rygh Swensen, Arvid Raknerud

Publication date: 6 January 2011

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11250/180667

zbMATH Keywords

forecastingstate space modeldynamic factor modelAR models

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Uses Software

• Fahrmeir

Cites Work

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• A two-step estimator for large approximate dynamic factor models based on Kalman filtering
• The diffuse Kalman filter
• Multivariate statistical modelling based on generalized linear models. With contributions by Wolfgang Hennevogl
• Estimating cointegrated systems using subspace algorithms
• Forecasting Using Principal Components From a Large Number of Predictors
• Determining the Number of Factors in Approximate Factor Models
• ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS

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