Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach
The purpose of this article is to introduce an original macro code written in SAS 4GL. This macro is used to automate the process of forecasting with dynamic factor analysis. Automation of the process helps to save significant amounts of time and effort for the researcher. It also enables to compare different model specifications directly and, hence, to make conclusions that would be imperceptible without such automation, which is shown on the empirical study example.
|Date of creation:||16 Sep 2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: + (48)(22) 49 12 51
Fax: + (48)(22) 49 53 12
Web page: http://www.sgh.waw.pl/instytuty/zesEmail:
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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, 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," Boston College Working Papers in Economics 440, Boston College Department of Economics.
- Riccardo Cristadoro & Mario Forni & Lucrezia Reichlin & Giovanni Veronese, 2005.
"A core inflation indicator for the Euro area,"
ULB Institutional Repository
2013/10131, ULB -- Universite Libre de Bruxelles.
- Vansteenkiste, Isabel, 2009. "How important are common factors in driving non-fuel commodity prices? A dynamic factor analysis," Working Paper Series 1072, European Central Bank.
- Eickmeier, Sandra, 2004.
"Business Cycle Transmission from the US to Germany: a Structural Factor Approach,"
Discussion Paper Series 1: Economic Studies
2004,12, Deutsche Bundesbank, Research Centre.
- Eickmeier, Sandra, 2007. "Business cycle transmission from the US to Germany--A structural factor approach," European Economic Review, Elsevier, vol. 51(3), pages 521-551, April.
- Breitung, Jörg & Eickmeier, Sandra, 2005.
"Dynamic factor models,"
Discussion Paper Series 1: Economic Studies
2005,38, Deutsche Bundesbank, Research Centre.
- James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
- George Kapetanios & Vincent Labhard & Simon Price, 2007.
"Forecast combination and the Bank of England’s suite of statistical forecasting models,"
Bank of England working papers
323, Bank of England.
- Kapetanios, George & Labhard, Vincent & Price, Simon, 2008. "Forecast combination and the Bank of England's suite of statistical forecasting models," Economic Modelling, Elsevier, vol. 25(4), pages 772-792, July.
- Altissimo, Filippo & Bassanetti, Antonio & Cristadoro, Riccardo & Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia & Veronese, Giovanni, 2001.
"EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle,"
CEPR Discussion Papers
3108, C.E.P.R. Discussion Papers.
- Mario Forno & Marco Lippi & Lucrezia Reichlin & Filippo Altissimo & Antonio Bassanetti, 2003. "Eurocoin: A Real Time Coincident Indicator Of The Euro Area Business Cycle," Computing in Economics and Finance 2003 242, Society for Computational Economics.
- Forni, Mario & Lippi, Marco, 1997. "Aggregation and the Microfoundations of Dynamic Macroeconomics," OUP Catalogue, Oxford University Press, number 9780198288008, March.
- Del Negro, Marco & Otrok, Christopher, 2007. "99 Luftballons: Monetary policy and the house price boom across U.S. states," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1962-1985, October.
- Elena Angelini & Jérôme Henry & Ricardo Mestre, 2001.
"Diffusion index-based inflation forecasts for the euro area,"
BIS Papers chapters,
in: Bank for International Settlements (ed.), Empirical studies of structural changes and inflation, volume 3, pages 109-138
Bank for International Settlements.
- Angelini, Elena & Henry, Jérôme & Mestre, Ricardo, 2001. "Diffusion index-based inflation forecasts for the euro area," Working Paper Series 0061, European Central Bank.
- Geweke, John F. & Singleton, Kenneth J., 1981. "Latent variable models for time series : A frequency domain approach with an application to the permanent income hypothesis," Journal of Econometrics, Elsevier, vol. 17(3), pages 287-304, December.
When requesting a correction, please mention this item's handle: RePEc:wse:wpaper:63. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marcin Owczarczuk)
If references are entirely missing, you can add them using this form.