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  • JEL classification: C32, C22  (1)
  • Springer  (1)
  • American Physical Society (APS)
  • American Meteorological Society (AMS)
  • 1995-1999  (1)
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  • Springer  (1)
  • American Physical Society (APS)
  • American Meteorological Society (AMS)
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  • 1995-1999  (1)
Year
  • 1
    Electronic Resource
    Electronic Resource
    A dynamic factor model framework for forecast combination (1999)
    Springer
    Spanish economic review 1 (1999), S. 91-121 
    Details
    ISSN: 1435-5477
    Keywords: JEL classification: C32, C22 ; Key words: Combination forecasts, principal component regression, James-Stein estimation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. A panel of ex-ante forecasts of a single time series is modeled as a dynamic factor model, where the conditional expectation is the single unobserved factor. When applied to out-of-sample forecasting, this leads to combination forecasts that are based on methods other than OLS. These methods perform well in a Monte Carlo experiment. These methods are evaluated empirically in a panel of simulated real-time computer-generated univariate forecasts of U.S. macroeconomic time series.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s101080050005
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