Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?
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- Kristensen Johannes Tang, 2014. "Factor-based forecasting in the presence of outliers: Are factors better selected and estimated by the median than by the mean?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-30, May.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- González-Rivera, Gloria & Vicente Maldonado, Javier de & Ruiz Ortega, Esther, 2018. "Growth in Stress," DES - Working Papers. Statistics and Econometrics. WS 26623, Universidad Carlos III de Madrid. Departamento de Estadística.
- Johannes Tang Kristensen, 2013. "Diffusion Indexes with Sparse Loadings," CREATES Research Papers 2013-22, Department of Economics and Business Economics, Aarhus University.
More about this item
KeywordsForecasting; FactorsModels; Principal Components Analysis; Robust Estimation; Least Absolute Deviations;
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-25 (All new papers)
- NEP-ECM-2012-06-25 (Econometrics)
- NEP-ETS-2012-06-25 (Econometric Time Series)
- NEP-FOR-2012-06-25 (Forecasting)
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