Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
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Other versions of this item:
- Yohei Yamamoto, 2016. "Forecasting With Nonspurious Factors in U.S. Macroeconomic Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 81-106, January.
References listed on IDEAS
- Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2016.
"Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities,"
Review of Economic Studies,
Oxford University Press, vol. 83(4), pages 1511-1543.
- Cheng, Xu & Liao, Zhipeng & Schorfheide, Frank, 2013. "Shrinkage estimation of high-dimensional factor models with structural instabilities," Working Papers 14-4, Federal Reserve Bank of Philadelphia.
- Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2014. "Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities," NBER Working Papers 19792, National Bureau of Economic Research, Inc.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Nektarios Aslanidis & Luke Hartigan, 2016. "Is the Assumption of Linearity in Factor Models too Strong in Practice?," Discussion Papers 2016-03, School of Economics, The University of New South Wales.
- Luke Hartigan, 2015. "Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?," Discussion Papers 2015-17, School of Economics, The University of New South Wales.
- Aslanidis, Nektarios & Hartigan, Luke, 2016. "Is the Assumption of Linearity in Factor Models too Strong in Practice?," Working Papers 2072/261531, Universitat Rovira i Virgili, Department of Economics.
More about this item
Keywordsdynamic factor model; principal components; structural change; spurious factors; out-of-sample forecasts; overfitting;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-06 (All new papers)
- NEP-ECM-2013-04-06 (Econometrics)
- NEP-ETS-2013-04-06 (Econometric Time Series)
- NEP-FOR-2013-04-06 (Forecasting)
- NEP-MAC-2013-04-06 (Macroeconomics)
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