Forecasting in dynamic factor models subject to structural instability
From MaRDI portal
(Redirected from Publication:4593683)
Recommendations
Cited in
(60)- Consistent factor estimation in dynamic factor models with structural instability
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Estimation and inference for high dimensional factor model with regime switching
- 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
- Estimating and testing high dimensional factor models with multiple structural changes
- Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
- Identification of Time-Varying Factor Models
- Theory-coherent forecasting
- Testing for structural changes in large dimensional factor models via discrete Fourier transform
- Determining the number of factors with potentially strong within-block correlations in error terms
- Periodic dynamic factor models: estimation approaches and applications
- Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
- A state-space approach to time-varying reduced-rank regression
- Estimation of large dimensional factor models with an unknown number of breaks
- Robust test for structural instability in dynamic factor models
- Improving estimation of portfolio risk using new statistical factors
- Regression-based causal analysis from the potential outcomes perspective
- Testing for structural stability of factor augmented forecasting models
- Analyzing cross-validation for forecasting with structural instability
- Forecasting by factors, by variables, by both or neither?
- High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
- 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
- Leverage as a predictor for real activity and volatility
- Moving sum procedure for multiple change point detection in large factor models
- Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity
- On time-varying factor models: estimation and testing
- Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
- Revisiting useful approaches to data-rich macroeconomic forecasting
- Shrinkage and noniterative estimation for moving average models with structural breaks
- Testing for symmetric correlation matrices with applications to factor models
- Real-time factor model forecasting and the effects of instability
- Boosting high dimensional predictive regressions with time varying parameters
- Detecting big structural breaks in large factor models
- Rate-optimal robust estimation of high-dimensional vector autoregressive models
- State-Varying Factor Models of Large Dimensions
- Nonparametric estimation of large covariance matrices with conditional sparsity
- Estimation and Inference on Time-Varying FAVAR Models
- On structurally grouped approximate factor models
- Bayesian model averaging for VAR models: \texttt{gretl}-based implementation
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Testing for structural breaks in dynamic factor models
- Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
- 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
- High-dimensional banded vector autoregressions subject to structural breaks
- Sequential testing for structural stability in approximate factor models
- Panels with non-stationary multifactor error structures
- Group fused Lasso for large factor models with multiple structural breaks
- Testing for time-varying factor loadings in high-dimensional factor models
- Identification and estimation of a large factor model with structural instability
- Reprint of: The likelihood ratio test for structural changes in factor models
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
- Sieve estimation of state-varying factor models
- scientific article; zbMATH DE number 7307121 (Why is no real title available?)
- Diffusion index model specification and estimation using mixed frequency datasets
- Distinguishing Time-Varying Factor Models
This page was built for publication: Forecasting in dynamic factor models subject to structural instability
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4593683)
