Forecasting by factors, by variables, or both?

Forecasting by factors, by variables, or both?

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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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron:	Castle, J, Hendry, D
Fformat:	Working paper
Cyhoeddwyd:	University of Oxford 2012

Eitemau Tebyg

Forecasting by factors, by variables, or both?
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Cyhoeddwyd: (2012)

Forecasting by factors, by variables, by both or neither?
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Cyhoeddwyd: (2013)

Forecasting and nowcasting macroeconomic variables: a methodological overview
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Forecasting and nowcasting macroeconomic variables: a methodological overview
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Forecasting breaks and forecasting during breaks
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Forecasting breaks and forecasting during breaks.
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On not evaluating economic models by forecast outcomes
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On not evaluating economic models by forecast outcomes
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On Not Evaluating Economic Models by Forecast Outcomes.
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Robust approaches to forecasting
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Robust approaches to forecasting
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Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation
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Forecasting UK inflation: the roles of structural breaks and time disaggregation
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Forecasting UK inflation: the roles of structural breaks and time disaggregation
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An overview of forecasting facing breaks
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Nowcasting is not just contemporaneous forecasting
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An overview of forecasting facing breaks
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Nowcasting Is Not Just Contemporaneous Forecasting.
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Forecasting principles from experience with forecasting competitions
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Forecasting an essential introduction
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Policy analysis, forediction, and forecast failure
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Selecting a model for forecasting
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Forecasting with Equilibrium-correction Models during Structural Breaks.
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Forecasting with equilibrium-correction models during structural breaks
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Forecasting with equilibrium-correction models during structural breaks
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The value of robust statistical forecasts in the COVID-19 pandemic
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Forecasting with Equilibrium-correction Models during Structural Breaks.
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Forecasting facing economic shifts, climate change and evolving pandemics
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Evaluating forecasts, narratives and policy using a test of invariance
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Econometric forecasting of climate change
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Card forecasts for M4
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Forecasting Principles from Experience with Forecasting Competitions
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Improving models and forecasts after equilibrium-mean shifts
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Smooth robust multi-horizon forecasts
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Short-term forecasting of the coronavirus pandemic
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Forecasting: theory and practice
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Statistical short-term forecasting of the COVID-19 pandemic
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Modeling and forecasting the COVID-19 pandemic time-series data
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Selecting a Model for Forecasting
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Forecasting the UK top 1% income share in a shifting world
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