Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean?
DOI10.1515/SNDE-2012-0049zbMath1329.62471OpenAlexW2005951985MaRDI QIDQ905382
Publication date: 19 January 2016
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.degruyter.com/view/j/snde.2014.18.issue-3/snde-2012-0049/snde-2012-0049.xml?format=INT
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Macroeconomic theory (monetary models, models of taxation) (91B64)
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