The cyclical component factor model
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- Arvid Raknerud & Terje Skjerpen & Anders Rygh Swensen, 2010.
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More about this item
KeywordsFactor model; Cyclical components; Estimation; Real time forecasting;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-05 (All new papers)
- NEP-ECM-2008-09-05 (Econometrics)
- NEP-ETS-2008-09-05 (Econometric Time Series)
- NEP-FOR-2008-09-05 (Forecasting)
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