Curve Forecasting by Functional Autoregression
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More about this item
KeywordsFunctional data analysis; Dimension reduction; Reduced-rank regression; Principal component; Predictive factor; Generalized eigenvalue problem; Term structure; Interest rates;
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2005-11-19 (Econometrics)
- NEP-ETS-2005-11-19 (Econometric Time Series)
- NEP-FOR-2005-11-19 (Forecasting)
- NEP-MAC-2005-11-19 (Macroeconomics)
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