Forecasting by factors, by variables, or both?

We consider forecasting with factors, variables and both, modeling in-sample using Autometrics so all principal components and variables can be included jointly, while tackling multiple breaks by impulse-indicator saturation. A forecast-error taxonomy for factor models highlights the impacts of loc...

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Detalles Bibliográficos
Main Authors: Castle, J, Hendry, D
Formato: Working paper
Publicado: University of Oxford 2012