Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients

DOI10.1111/JTSA.12511zbMATH Open1447.62102OpenAlexW2990965122WikidataQ126787337 ScholiaQ126787337MaRDI QIDQ5111851FDOQ5111851

Authors: Degui Li, Jiraroj Tosasukul, Wenyang Zhang 

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12511

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zbMATH Keywords

factor modelsPCAbootstrap procedurelocal linear smoothingfunctional-coefficient modelsnonlinear forecastvector auto-regression.

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional data analysis (62R10)

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Cited In (3)

• Estimation and Inference on Time-Varying FAVAR Models
• Augmented IS-LM model based on particular functions
• Nonlinear Forecasting Using Factor‐Augmented Models

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