Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models
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Cited by:
- Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013.
"Now-Casting and the Real-Time Data Flow,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.),Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237,
Elsevier.
- Martha Banbura & Domenico Giannone & Michèle Modugno & Lucrezia Reichlin, 2012. "Now-Casting and the Real-Time Data Flow," Working Papers ECARES ECARES 2012-026, ULB -- Universite Libre de Bruxelles.
- Banbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers 9112, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta & Modugno, Michele, 2013. "Now-casting and the real-time data flow," Working Paper Series 1564, European Central Bank.
More about this item
Keywords
Bayesian variable selection; shrinkage regression; principal components analysis; factor models; forecasting.;JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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