Travail de recherche/Working paper
Titre:
  • Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks
Auteur:Luciani, Matteo
Informations sur la publication:Elsevier, International Journal of Forecasting
Statut de publication:Publié, 2011-07
series:ECARES Working Papers, ECARES 2011‐022
Sujet CREF:Economie
Sujet JEL:Estimation
Multiple or Simultaneous Equation Models: Time-Series Models
Multiple or Simultaneous Equation Models: Models with Panel Data
Model Evaluation and Selection
Forecasting and Other Model Applications
Volumes/pages:10 p.
Mots-clés:Penalized regressions; Local factors; Bayesian shrinkage; Forecasting
Langue:Anglais
Identificateurs:RePEc:eca:wpaper:2013/97308