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A wavelet-based multivariate multiscale approach for forecasting

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  • Rua, António

Abstract

In our increasingly data-rich environment, factor models have become the workhorse approach for modelling and forecasting purposes. However, factors are not observable and have to be estimated. In particular, the space spanned by the unknown factors is typically estimated via principal components. This paper proposes a novel procedure for estimating the factor space, resorting to a wavelet-based multiscale principal component analysis. A Monte Carlo simulation study is used to demonstrate that such an approach may improve both the estimation and the forecasting performances of factor models. The empirical application then illustrates its usefulness for forecasting GDP growth and inflation in the United States.

Suggested Citation

  • Rua, António, 2017. "A wavelet-based multivariate multiscale approach for forecasting," International Journal of Forecasting, Elsevier, vol. 33(3), pages 581-590.
  • Handle: RePEc:eee:intfor:v:33:y:2017:i:3:p:581-590
    DOI: 10.1016/j.ijforecast.2017.01.007
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    More about this item

    Keywords

    Wavelets; Multiscale principal components; Factor models; Forecasting;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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