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...

সম্পূর্ণ বিবরণ

গ্রন্থ-পঞ্জীর বিবরন
প্রধান লেখক: Castle, J, Hendry, D, Clements, M
বিন্যাস: Working paper
ভাষা:English
প্রকাশিত: Department of Economics (University of Oxford) 2012