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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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  • Ortega, Jose Antonio & Poncela, Pilar, 2005. "Joint forecasts of Southern European fertility rates with non-stationary dynamic factor models," International Journal of Forecasting, Elsevier, vol. 21(3), pages 539-550.
  • Handle: RePEc:eee:intfor:v:21:y:2005:i:3:p:539-550
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    References listed on IDEAS

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    1. Peter Molenaar & Jan Gooijer & Bernhard Schmitz, 1992. "Dynamic factor analysis of nonstationary multivariate time series," Psychometrika, Springer;The Psychometric Society, vol. 57(3), pages 333-349, September.
    2. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2005. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 830-840, September.
    3. Ahlburg, Dennis A. & Land, Kenneth C., 1992. "Population forecasting: Guest editors' introduction," International Journal of Forecasting, Elsevier, vol. 8(3), pages 289-299, November.
    4. Robert Schoen & Young Kim, 1997. "Exploring cyclic net reproduction," Mathematical Population Studies, Taylor & Francis Journals, vol. 6(4), pages 277-290.
    5. Lee, Ronald D., 1992. "Stochastic demographic forecasting," International Journal of Forecasting, Elsevier, vol. 8(3), pages 315-327, November.
    6. Alho, Juha M., 1990. "Stochastic methods in population forecasting," International Journal of Forecasting, Elsevier, vol. 6(4), pages 521-530, December.
    7. Pena, Daniel & Poncela, Pilar, 2004. "Forecasting with nonstationary dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 291-321, April.
    8. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
    9. 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.
    10. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-162, April.
    11. 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.
    12. 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.
    13. 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.
    14. T. Anderson, 1963. "The use of factor analysis in the statistical analysis of multiple time series," Psychometrika, Springer;The Psychometric Society, vol. 28(1), pages 1-25, March.
    15. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
    16. 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.
    17. 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 225-244, July.
    18. 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.
    19. 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.
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    Cited by:

    1. Booth, Heather, 2006. "Demographic forecasting: 1980 to 2005 in review," International Journal of Forecasting, Elsevier, vol. 22(3), pages 547-581.
    2. Rob Hyndman & Heather Booth & Farah Yasmeen, 2013. "Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models," Demography, Springer;Population Association of America (PAA), vol. 50(1), pages 261-283, February.
    3. Alonso, Andrés M. & García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2008. "Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting," DES - Working Papers. Statistics and Econometrics. WS ws081406, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. 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.
    5. 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.
    6. Alonso, Andrés M. & Peña, Daniel & Rodríguez, Julio, 2008. "A methodology for population projections: an application to Spain," DES - Working Papers. Statistics and Econometrics. WS ws084512, Universidad Carlos III de Madrid. Departamento de Estadística.
    7. García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2011. "Forecasting electricity prices and their volatilities using Unobserved Components," Energy Economics, Elsevier, vol. 33(6), pages 1227-1239.

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