Nonlinear Forecasting Using Factor‐Augmented Models

DOI10.1002/for.1248zbMath1397.60074MaRDI QIDQ4687303

Bruno Cara Giovannetti

Publication date: 11 October 2018

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

Full work available at URL: https://doi.org/10.1002/for.1248

zbMATH Keywords

covariates; forecasting regression; nonlinear estimation methods; out-of-sample forecasting accuracy

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

91B64: Macroeconomic theory (monetary models, models of taxation)

60G25: Prediction theory (aspects of stochastic processes)