The Generalized Dynamic Factor Model Identification And Estimation

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The Generalised Dynamic Factor Model

The Generalised Dynamic Factor Model written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Econometric models categories.

The Generalized Dynamic Factor Model Identification And Estimation

The Generalized Dynamic Factor Model Identification And Estimation written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.

The Generalized Dynamic Factor Model

The Generalized Dynamic Factor Model written by Mario Forni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.

The Generalized Dynamic Factor Model

The Generalized Dynamic Factor Model written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Econometric models categories.

The Generalized Dynamic Factor Model

The Generalized Dynamic Factor Model written by Mario Forni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Econometric models categories.

The Stacked Leading Indicators Dynamic Factor Model

The Stacked Leading Indicators Dynamic Factor Model written by Daniel Grenouilleau and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with European Union countries categories.

The paper introduces an approximate dynamic factor model based on the extraction of principal components from a very large number of leading indicators stacked at various lags. The model is designed to produce short-term forecasts that are computed with the EM algorithm implemented with the first few eigenvectors ordered by descending eigenvalues. A cross-sectional bootstrap experiment is used to shed light on the sensitivity of the factor model to factor selection and to sampling uncertainty. The empirical number of factors seems more appropriately set through an analysis of eigenvalues, bootstrapped eigenvalues or the BIC than with more sophisticated information criteria. Confidence intervals derived from bootstrapped forecasts show the extent to which the data composition can support the hypothesis of business cycle co-movements and the selected factors can account for those shocks. Pseudo real-time out-of-sample forecast experiments conducted with a dataset of about two thousand series covering the euro area business cycle show that the SLID factor model outperforms benchmark models (AR models, leading indicators equations) for one-, two- and three- quarters-ahead forecasts of GDP growth. The accuracy of coincident forecasts compared to final estimates is not significantly different from Eurostat Flash or first estimates and is slightly superior to that of CEPR Eurocoin.

Journal Of The American Statistical Association

Journal Of The American Statistical Association written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Statistics categories.

Factor Models In Large Cross Sections Of Time Series

Factor Models In Large Cross Sections Of Time Series written by Lucrezia Reichlin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Business cycles categories.

Journal Of Business Cycle Measurement And Analysis

Journal Of Business Cycle Measurement And Analysis written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Business cycles categories.

A Sorted Leading Indicators Dynamic Slid Factor Model For Short Run Euro Area Gdp Forecasting

A Sorted Leading Indicators Dynamic Slid Factor Model For Short Run Euro Area Gdp Forecasting written by Daniel Grenouilleau and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Economic forecasting categories.

Recoge: 1.The model - 2.Data selection and processing - 3.Forecast performances - 4.A few remarks about model robustness - 5.Conclusion - 6.References - 7.Annex.