Spurious principal components
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References listed on IDEAS
- Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2005. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, Oxford University Press, vol. 120(1), pages 387-422.
- Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J.F., 2011.
"Real-time macroeconomic forecasting with leading indicators: An empirical comparison,"
International Journal of Forecasting,
Elsevier, vol. 27(2), pages 466-481, April.
- Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J.F., 2011. "Real-time macroeconomic forecasting with leading indicators: An empirical comparison," International Journal of Forecasting, Elsevier, vol. 27(2), pages 466-481.
- 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.
More about this item
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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