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...
| Main Authors: | , |
|---|---|
| Format: | Working paper |
| Izdano: |
University of Oxford
2012
|