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Joint forecasts of Southern European fertility rates with non-stationary dynamic factor models

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  • Ortega, Jose Antonio
  • Poncela, Pilar

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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 21 (2005)
Issue (Month): 3 ()
Pages: 539-550

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Handle: RePEc:eee:intfor:v:21:y:2005:i:3:p:539-550

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Web page: http://www.elsevier.com/locate/ijforecast

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References

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  1. Geweke, John F & Singleton, Kenneth J, 1981. "Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 37-54, February.
  2. Alho, Juha M., 1992. "The magnitude of error due to different vital processes in population forecasts," International Journal of Forecasting, Elsevier, vol. 8(3), pages 301-314, November.
  3. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
  4. Mario Forni & Marc Hallin & Lucrezia Reichlin & Marco Lippi, 2000. "The generalised dynamic factor model: identification and estimation," ULB Institutional Repository 2013/10143, ULB -- Universite Libre de Bruxelles.
  5. Lee, Ronald D., 1993. "Modeling and forecasting the time series of US fertility: Age distribution, range, and ultimate level," International Journal of Forecasting, Elsevier, vol. 9(2), pages 187-202, August.
  6. Lee, Ronald D., 1992. "Stochastic demographic forecasting," International Journal of Forecasting, Elsevier, vol. 8(3), pages 315-327, November.
  7. Watson, Mark W. & Engle, Robert F., 1983. "Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models," Journal of Econometrics, Elsevier, vol. 23(3), pages 385-400, December.
  8. Robert Schoen & Young Kim, 1997. "Exploring cyclic net reproduction," Mathematical Population Studies, Taylor & Francis Journals, vol. 6(4), pages 277-290.
  9. T. Anderson, 1963. "The use of factor analysis in the statistical analysis of multiple time series," Psychometrika, Springer, vol. 28(1), pages 1-25, March.
  10. Forni M. & Hallin M., 2003. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Computing in Economics and Finance 2003 143, Society for Computational Economics.
  11. Garcia-Ferrer, Antonio & Poncela, Pilar, 2002. "Forecasting European GNP Data through Common Factor Models and Other Procedures," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(4), pages 225-44, July.
  12. Ahlburg, Dennis A. & Land, Kenneth C., 1992. "Population forecasting: Guest editors' introduction," International Journal of Forecasting, Elsevier, vol. 8(3), pages 289-299, November.
  13. Alho, Juha M., 1990. "Stochastic methods in population forecasting," International Journal of Forecasting, Elsevier, vol. 6(4), pages 521-530, December.
  14. Hans-Peter Kohler & José Antonio Ortega, 2002. "Tempo-Adjusted Period Parity Progression Measures, Fertility Postponement and Completed Cohort Fertility," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 6(6), pages 91-144, March.
  15. Tuljapurkar, Shripad & Boe, Carl, 1999. "Validation, probability-weighted priors, and information in stochastic forecasts," International Journal of Forecasting, Elsevier, vol. 15(3), pages 259-271, July.
  16. Peter Molenaar & Jan Gooijer & Bernhard Schmitz, 1992. "Dynamic factor analysis of nonstationary multivariate time series," Psychometrika, Springer, vol. 57(3), pages 333-349, September.
  17. James J. Heckman & James R. Walker, 1989. "Forecasting Aggregate Period Specific Birth Rates: The Time Series Properties of a Microdynamic Neoclassical Model of Fertility," NBER Working Papers 3133, National Bureau of Economic Research, Inc.
  18. Pena, Daniel & Poncela, Pilar, 2004. "Forecasting with nonstationary dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 291-321, April.
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Citations

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Cited by:
  1. Rob J Hyndman & Heather Booth & Farah Yasmeen, 2011. "Coherent Mortality Forecasting The Product-ratio Method with Functional Time Series Models," Working Papers 201116, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
  2. andrés M. Alonso & Carolina Garcia-Martos & Julio Rodriguez & Maria Jesus Sanchez, 2008. "Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting," Statistics and Econometrics Working Papers ws081406, Universidad Carlos III, Departamento de Estadística y Econometría.
  3. Booth, Heather, 2006. "Demographic forecasting: 1980 to 2005 in review," International Journal of Forecasting, Elsevier, vol. 22(3), pages 547-581.
  4. Andrés M. Alonso & Daniel Peña & Julio Rodríguez, 2008. "A methodology for population projections: an application to Spain," Statistics and Econometrics Working Papers ws084512, Universidad Carlos III, Departamento de Estadística y Econometría.
  5. Hyndman, Rob J. & Booth, Heather, 2008. "Stochastic population forecasts using functional data models for mortality, fertility and migration," International Journal of Forecasting, Elsevier, vol. 24(3), pages 323-342.
  6. Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius, 2012. "Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3134-3152.

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