Binary Response Forecasting under a Factor-Augmented Framework
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Cheng, Xu & Hansen, Bruce E., 2015.
"Forecasting with factor-augmented regression: A frequentist model averaging approach,"
Journal of Econometrics, Elsevier, vol. 186(2), pages 280-293.
- Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach," PIER Working Paper Archive 12-046, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Heikki Kauppi & Pentti Saikkonen, 2008. "Predicting U.S. Recessions with Dynamic Binary Response Models," The Review of Economics and Statistics, MIT Press, vol. 90(4), pages 777-791, November.
- Arturo Estrella & Mary R. Trubin, 2006. "The yield curve as a leading indicator: some practical issues," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 12(Jul).
- Yang Liu & Fei Huang & Lili Ma & Qingguo Zeng & Jiale Shi, 2024. "Credit scoring prediction leveraging interpretable ensemble learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 286-308, March.
- Jiaming Liu & Xuemei Zhang & Haitao Xiong, 2024. "Credit risk prediction based on causal machine learning: Bayesian network learning, default inference, and interpretation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1625-1660, August.
- Bai, Jushan & Ng, Serena, 2013. "Principal components estimation and identification of static factors," Journal of Econometrics, Elsevier, vol. 176(1), pages 18-29.
- Christiansen, Charlotte & Eriksen, Jonas Nygaard & Møller, Stig Vinther, 2014.
"Forecasting US recessions: The role of sentiment,"
Journal of Banking & Finance, Elsevier, vol. 49(C), pages 459-468.
- Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller, 2013. "Forecasting US Recessions: The Role of Sentiments," CREATES Research Papers 2013-14, Department of Economics and Business Economics, Aarhus University.
- Jushan Bai & Serena Ng, 2002.
"Determining the Number of Factors in Approximate Factor Models,"
Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
- Marcelle Chauvet & Simon Potter, 2005.
"Forecasting recessions using the yield curve,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(2), pages 77-103.
- Marcelle Chauvet & Simon M. Potter, 2001. "Forecasting recessions using the yield curve," Staff Reports 134, Federal Reserve Bank of New York.
- Wang, Shaoping & Cui, Guowei & Li, Kunpeng, 2015. "Factor-augmented regression models with structural change," Economics Letters, Elsevier, vol. 130(C), pages 124-127.
- Michael W. McCracken & Serena Ng, 2016.
"FRED-MD: A Monthly Database for Macroeconomic Research,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 574-589, October.
- Michael W. McCracken & Serena Ng, 2015. "FRED-MD: A Monthly Database for Macroeconomic Research," Working Papers 2015-12, Federal Reserve Bank of St. Louis.
- Proaño, Christian R. & Theobald, Thomas, 2014. "Predicting recessions with a composite real-time dynamic probit model," International Journal of Forecasting, Elsevier, vol. 30(4), pages 898-917.
- Gonçalves, Sílvia & McCracken, Michael W. & Perron, Benoit, 2017.
"Tests of equal accuracy for nested models with estimated factors,"
Journal of Econometrics, Elsevier, vol. 198(2), pages 231-252.
- Silvia Goncalves & Michael W. McCracken & Benoit Perron, 2015. "Tests of Equal Accuracy for Nested Models with Estimated Factors," Working Papers 2015-25, Federal Reserve Bank of St. Louis.
- Hande Karabiyik & Jean‐Pierre Urbain & Joakim Westerlund, 2019.
"CCE estimation of factor‐augmented regression models with more factors than observables,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 268-284, March.
- Karabiyik, H. & Urbain, J.R.Y.J. & Westerlund, J., 2014. "CCE estimation of factor-augmented regression models with more factors than observables," Research Memorandum 007, Maastricht University, Graduate School of Business and Economics (GSBE).
- Yayi Yan & Tingting Cheng, 2022. "Factor-augmented forecasting regressions with threshold effects [What drives oil prices? Emerging versus developed economies]," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 134-154.
- Norman R. Swanson & Weiqi Xiong & Xiye Yang, 2020. "Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 587-613, August.
- Vrontos, Spyridon D. & Galakis, John & Vrontos, Ioannis D., 2021. "Modeling and predicting U.S. recessions using machine learning techniques," International Journal of Forecasting, Elsevier, vol. 37(2), pages 647-671.
- Massacci, Daniele & Kapetanios, George, 2024. "Forecasting in factor augmented regressions under structural change," International Journal of Forecasting, Elsevier, vol. 40(1), pages 62-76.
- Changyong Feng & Hongyue Wang & Yu Han & Yinglin Xia & Xin M. Tu, 2013. "The Mean Value Theorem and Taylor's Expansion in Statistics," The American Statistician, Taylor & Francis Journals, vol. 67(4), pages 245-248, November.
- Harri Ponka, 2017.
"The Role of Credit in Predicting US Recessions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(5), pages 469-482, August.
- Harri Pönkä, 2015. "The Role of Credit in Predicting US Recessions," CREATES Research Papers 2015-48, Department of Economics and Business Economics, Aarhus University.
- Liu, Weiling & Moench, Emanuel, 2016.
"What predicts US recessions?,"
International Journal of Forecasting, Elsevier, vol. 32(4), pages 1138-1150.
- Weiling Liu & Emanuel Moench, 2014. "What predicts U.S. recessions?," Staff Reports 691, Federal Reserve Bank of New York.
- Ercolani, Valerio & Natoli, Filippo, 2020.
"Forecasting US recessions: The role of economic uncertainty,"
Economics Letters, Elsevier, vol. 193(C).
- Valerio Ercolani & Filippo Natoli, 2020. "Forecasting US recessions: the role of economic uncertainty," Temi di discussione (Economic working papers) 1299, Bank of Italy, Economic Research and International Relations Area.
- Gao, Jiti & Xia, Kai & Zhu, Huanjun, 2020. "Heterogeneous panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 219(2), pages 329-353.
- Seung C. Ahn & Alex R. Horenstein, 2013. "Eigenvalue Ratio Test for the Number of Factors," Econometrica, Econometric Society, vol. 81(3), pages 1203-1227, May.
- Tu, Yundong & Wang, Siwei, 2025. "Consistent model selection for factor-augmented regressions," Economics Letters, Elsevier, vol. 253(C).
- Stewart Jones & David Johnstone & Roy Wilson, 2017. "Predicting Corporate Bankruptcy: An Evaluation of Alternative Statistical Frameworks," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 44(1-2), pages 3-34, January.
- Brezigar-Masten, Arjana & Masten, Igor & Volk, Matjaž, 2021. "Modelin-g credit risk with a Tobit model of days past due," Journal of Banking & Finance, Elsevier, vol. 122(C).
- Bai, Jushan & Ng, Serena, 2008. "Forecasting economic time series using targeted predictors," Journal of Econometrics, Elsevier, vol. 146(2), pages 304-317, October.
- Jianqing Fan & Yihong Gu, 2024. "Factor Augmented Sparse Throughput Deep ReLU Neural Networks for High Dimensional Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(548), pages 2680-2694, October.
- Wang, Fa, 2022. "Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions," Journal of Econometrics, Elsevier, vol. 229(1), pages 180-200.
- Christakis Charalambous & Spiros H. Martzoukos & Zenon Taoushianis, 2023. "A neuro-structural framework for bankruptcy prediction," Quantitative Finance, Taylor & Francis Journals, vol. 23(10), pages 1445-1464, October.
- Jushan Bai, 2009. "Panel Data Models With Interactive Fixed Effects," Econometrica, Econometric Society, vol. 77(4), pages 1229-1279, July.
- Gu, Shihao & Kelly, Bryan & Xiu, Dacheng, 2021. "Autoencoder asset pricing models," Journal of Econometrics, Elsevier, vol. 222(1), pages 429-450.
- Travis J. Berge, 2015.
"Predicting Recessions with Leading Indicators: Model Averaging and Selection over the Business Cycle,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(6), pages 455-471, September.
- Travis J. Berge, 2013. "Predicting recessions with leading indicators: model averaging and selection over the business cycle," Research Working Paper RWP 13-05, Federal Reserve Bank of Kansas City.
- Chen, Qitong & Hong, Yongmiao & Li, Haiqi, 2024. "Time-varying forecast combination for factor-augmented regressions with smooth structural changes," Journal of Econometrics, Elsevier, vol. 240(1).
- Gao, Jiti & Liu, Fei & Peng, Bin & Yan, Yayi, 2023.
"Binary response models for heterogeneous panel data with interactive fixed effects,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1654-1679.
- Jiti Gao & Fei Liu & Bin Peng & Yayi Yan, 2020. "Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects," Papers 2012.03182, arXiv.org, revised Nov 2021.
- Antoine A. Djogbenou, 2021.
"Model selection in factor-augmented regressions with estimated factors,"
Econometric Reviews, Taylor & Francis Journals, vol. 40(5), pages 470-503, April.
- Antoine A. Djogbenou, 2017. "Model Selection In Factor-augmented Regressions With Estimated Factors," Working Paper 1391, Economics Department, Queen's University.
- Stewart Jones, 2017. "Corporate bankruptcy prediction: a high dimensional analysis," Review of Accounting Studies, Springer, vol. 22(3), pages 1366-1422, September.
- De Vos, Ignace & Westerlund, Joakim, 2019. "On CCE estimation of factor-augmented models when regressors are not linear in the factors," Economics Letters, Elsevier, vol. 178(C), pages 5-7.
- 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.
- Çakmaklı, Cem & van Dijk, Dick, 2016. "Getting the most out of macroeconomic information for predicting excess stock returns," International Journal of Forecasting, Elsevier, vol. 32(3), pages 650-668.
- Ng, Eric C.Y., 2012. "Forecasting US recessions with various risk factors and dynamic probit models," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 112-125.
- Degui Li & Jiraroj Tosasukul & Wenyang Zhang, 2020. "Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(3), pages 367-386, May.
- Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
- Jushan Bai & Serena Ng, 2006. "Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions," Econometrica, Econometric Society, vol. 74(4), pages 1133-1150, July.
- Kelly, Bryan & Pruitt, Seth, 2015. "The three-pass regression filter: A new approach to forecasting using many predictors," Journal of Econometrics, Elsevier, vol. 186(2), pages 294-316.
- Estrella, Arturo, 1998.
"A New Measure of Fit for Equations with Dichotomous Dependent Variables,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 198-205, April.
- Arturo Estrella, 1997. "A new measure of fit for equations with dichotomous dependent variables," Research Paper 9716, Federal Reserve Bank of New York.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Christiansen, Charlotte & Eriksen, Jonas Nygaard & Møller, Stig Vinther, 2014.
"Forecasting US recessions: The role of sentiment,"
Journal of Banking & Finance, Elsevier, vol. 49(C), pages 459-468.
- Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller, 2013. "Forecasting US Recessions: The Role of Sentiments," CREATES Research Papers 2013-14, Department of Economics and Business Economics, Aarhus University.
- Chen, Qitong & Hong, Yongmiao & Li, Haiqi, 2024. "Time-varying forecast combination for factor-augmented regressions with smooth structural changes," Journal of Econometrics, Elsevier, vol. 240(1).
- Shu, Lei & Hao, Yifan & Chen, Yu & Yang, Qing, 2025. "SFQRA: Scaled factor-augmented quantile regression with aggregation in conditional mean forecasting," Journal of Multivariate Analysis, Elsevier, vol. 207(C).
- Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
- Marine Carrasco & Barbara Rossi, 2016.
"In-Sample Inference and Forecasting in Misspecified Factor Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 313-338, July.
- Marine Carrasco & Barbara Rossi, 2016. "In-sample inference and forecasting in misspecified factor models," Economics Working Papers 1530, Department of Economics and Business, Universitat Pompeu Fabra.
- Rossi, Barbara & Carrasco, Marine, 2016. "In-sample Inference and Forecasting in Misspecified Factor Models," CEPR Discussion Papers 11388, C.E.P.R. Discussion Papers.
- Christiansen, Charlotte & Eriksen, Jonas N. & Møller, Stig V., 2019. "Negative house price co-movements and US recessions," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 382-394.
- Bae, Juhee, 2024. "Factor-augmented forecasting in big data," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1660-1688.
- Liang Chen & Juan J. Dolado & Jesús Gonzalo, 2021.
"Quantile Factor Models,"
Econometrica, Econometric Society, vol. 89(2), pages 875-910, March.
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús, 2017. "Quantile Factor Models," UC3M Working papers. Economics 25299, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo, 2019. "Quantile Factor Models," Papers 1911.02173, arXiv.org, revised Sep 2020.
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus, 2018. "Quantile Factor Models," CEPR Discussion Papers 12716, C.E.P.R. Discussion Papers.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2020. "Quantile Factor Models," IZA Discussion Papers 13870, Institute of Labor Economics (IZA).
- Varlam Kutateladze, 2021. "The Kernel Trick for Nonlinear Factor Modeling," Papers 2103.01266, arXiv.org.
- Tu, Yundong & Wang, Siwei, 2025. "Quantile prediction with factor-augmented regression: Structural instability and model uncertainty," Journal of Econometrics, Elsevier, vol. 249(PB).
- Antoine A. Djogbenou, 2021.
"Model selection in factor-augmented regressions with estimated factors,"
Econometric Reviews, Taylor & Francis Journals, vol. 40(5), pages 470-503, April.
- Antoine A. Djogbenou, 2017. "Model Selection In Factor-augmented Regressions With Estimated Factors," Working Paper 1391, Economics Department, Queen's University.
- Kutateladze, Varlam, 2022. "The kernel trick for nonlinear factor modeling," International Journal of Forecasting, Elsevier, vol. 38(1), pages 165-177.
- Dashan Huang & Fuwei Jiang & Kunpeng Li & Guoshi Tong & Guofu Zhou, 2022.
"Scaled PCA: A New Approach to Dimension Reduction,"
Management Science, INFORMS, vol. 68(3), pages 1678-1695, March.
- Dashan Huang & Fuwei Jiang & Kunpeng Li & Guoshi Tong & Guofu Zhou, 2022. "Scaled PCA: A New Approach to Dimension Reduction," CEMA Working Papers 678, China Economics and Management Academy, Central University of Finance and Economics.
- Gonçalves, Sílvia & McCracken, Michael W. & Perron, Benoit, 2017.
"Tests of equal accuracy for nested models with estimated factors,"
Journal of Econometrics, Elsevier, vol. 198(2), pages 231-252.
- Silvia Goncalves & Michael W. McCracken & Benoit Perron, 2015. "Tests of Equal Accuracy for Nested Models with Estimated Factors," Working Papers 2015-25, Federal Reserve Bank of St. Louis.
- Harri Pönkä & Markku Stenborg, 2020.
"Forecasting the state of the Finnish business cycle,"
Finnish Economic Papers, Finnish Economic Association, vol. 29(1), pages 81-99, Spring.
- Pönkä, Harri & Stenborg, Markku, 2018. "Forecasting the state of the Finnish business cycle," MPRA Paper 91226, University Library of Munich, Germany.
- Catherine Doz & Peter Fuleky, 2019.
"Dynamic Factor Models,"
Working Papers
halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," Post-Print halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
- Yoshimasa Uematsu & Takashi Yamagata, 2019.
"Estimation of Weak Factor Models,"
ISER Discussion Paper
1053r, Institute of Social and Economic Research, The University of Osaka, revised Mar 2020.
- Yoshimasa Uematsu & Takashi Yamagata, 2019. "Estimation of Weak Factor Models," ISER Discussion Paper 1053, Institute of Social and Economic Research, The University of Osaka.
- Fan, Jianqing & Xue, Lingzhou & Yao, Jiawei, 2017. "Sufficient forecasting using factor models," Journal of Econometrics, Elsevier, vol. 201(2), pages 292-306.
- Harri Ponka, 2017.
"The Role of Credit in Predicting US Recessions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(5), pages 469-482, August.
- Harri Pönkä, 2015. "The Role of Credit in Predicting US Recessions," CREATES Research Papers 2015-48, Department of Economics and Business Economics, Aarhus University.
- Fan, Jianqing & Ke, Yuan & Liao, Yuan, 2021.
"Augmented factor models with applications to validating market risk factors and forecasting bond risk premia,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 269-294.
- Jianqing Fan & Yuan Ke & Yuan Liao, 2016. "Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia," Papers 1603.07041, arXiv.org, revised Sep 2018.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DCM-2025-09-08 (Discrete Choice Models)
- NEP-ECM-2025-09-08 (Econometrics)
- NEP-ETS-2025-09-08 (Econometric Time Series)
- NEP-FOR-2025-09-08 (Forecasting)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2507.16462. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.
Printed from https://ideas.repec.org/p/arx/papers/2507.16462.html