Forecasting linear dynamical systems using subspace methods
A new procedure to predict with subspace methods is presented in this paper. It is based on combining multiple forecasts obtained from setting a range of values for a speci c parameter that is typically xed by the user in the subspace methods literature. An algorithm to compute these predictions and to obtain a suitable number of combinations is provided. The procedure is illustrated by forecasting the German gross domestic product.
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Volume (Year): 32 (2011)
Issue (Month): 5 (September)
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References listed on IDEAS
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- Bauer, Dietmar & Wagner, Martin, 2002.
"Estimating cointegrated systems using subspace algorithms,"
Journal of Econometrics,
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- Bauer, Dietmar, 2005. "Estimating Linear Dynamical Systems Using Subspace Methods," Econometric Theory, Cambridge University Press, vol. 21(01), pages 181-211, February. Full references (including those not matched with items on IDEAS)
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