Forecasting by factors, by variables, by both or neither?

Forecasting by factors, by variables, by both or neither?

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 loca...

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Dettagli Bibliografici
Autori principali:	Castle, J, Clements, M, Hendry, D
Natura:	Journal article
Pubblicazione:	Elsevier 2013

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