Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean?

DOI10.1515/SNDE-2012-0049zbMATH Open1329.62471OpenAlexW2005951985MaRDI QIDQ905382FDOQ905382

Authors: Johannes Tang Kristensen 

Publication date: 19 January 2016

Published in: Studies in Nonlinear Dynamics & 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

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zbMATH Keywords

forecastingrobust estimationprincipal components analysisleast absolute deviationsfactors models

Mathematics Subject Classification ID

Point estimation (62F10) Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Macroeconomic theory (monetary models, models of taxation) (91B64) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Robust factor analysis.
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Robust Statistics
• Applied multivariate statistical analysis.
• Asymptotic Theory of Least Absolute Error Regression
• Least absolute value regression: recent contributions
• Forecasting in dynamic factor models subject to structural instability
• Calculation method for nonlinear dynamic least-absolute deviations estimator
• Testing for structural breaks in dynamic factor models
• Least absolute error estimation in the presence of serial correlation

Cited In (1)

• Diffusion Indexes With Sparse Loadings

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