Forecasting in dynamic factor models subject to structural instability

zbMATH Open1456.62219MaRDI QIDQ4593683FDOQ4593683

Authors: James H. Stock, Mark W. Watson 

Publication date: 22 November 2017

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zbMATH Keywords

forecastingdynamic factor modelsstructural instability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cited In (51)

• Reprint of: The likelihood ratio test for structural changes in factor models
• Estimation and inference for high dimensional factor model with regime switching
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Consistent factor estimation in dynamic factor models with structural instability
• Predictive Macro-Finance With Dynamic Partition Models
• Optimal forecasts in the presence of structural breaks
• Consistent estimation of time-varying loadings in high-dimensional factor models
• Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
• Identification of Time-Varying Factor Models
• Estimating and testing high dimensional factor models with multiple structural changes
• Theory-coherent forecasting
• Determining the number of factors with potentially strong within-block correlations in error terms
• Testing for structural changes in large dimensional factor models via discrete Fourier transform
• A state-space approach to time-varying reduced-rank regression
• Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
• Periodic dynamic factor models: estimation approaches and applications
• Estimation of large dimensional factor models with an unknown number of breaks
• Robust test for structural instability in dynamic factor models
• Testing for structural stability of factor augmented forecasting models
• Regression-based causal analysis from the potential outcomes perspective
• Analyzing cross-validation for forecasting with structural instability
• High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
• Forecasting by factors, by variables, by both or neither?
• Predicting Recessions with Factor Linear Dynamic Harmonic Regressions
• Editorial. Factor structures for panel and multivariate time series data
• Fitting dynamic factor models to non-stationary time series
• Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets
• Leverage as a predictor for real activity and volatility
• Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
• On time-varying factor models: estimation and testing
• Testing for symmetric correlation matrices with applications to factor models
• Revisiting useful approaches to data-rich macroeconomic forecasting
• Rate-optimal robust estimation of high-dimensional vector autoregressive models
• State-Varying Factor Models of Large Dimensions
• Estimation and Inference on Time-Varying FAVAR Models
• Boosting high dimensional predictive regressions with time varying parameters
• Real-time factor model forecasting and the effects of instability
• Nonparametric estimation of large covariance matrices with conditional sparsity
• Detecting big structural breaks in large factor models
• Time-varying forecast combination for factor-augmented regressions with smooth structural changes
• Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
• Testing for structural breaks in dynamic factor models
• Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean?
• Testing for factor loading structural change under common breaks
• Sequential testing for structural stability in approximate factor models
• Testing for time-varying factor loadings in high-dimensional factor models
• Group fused Lasso for large factor models with multiple structural breaks
• Panels with non-stationary multifactor error structures
• Identification and estimation of a large factor model with structural instability
• Simultaneous multiple change-point and factor analysis for high-dimensional time series
• Title not available (Why is that?)

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