Use of Dynamic Factor Analysis in Macroeconomic Forecasts
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Elena Angelini & Jérôme Henry & Ricardo Mestre, 2001.
"Diffusion index-based inflation forecasts for the euro area,"
BIS Papers chapters, in: Bank for International Settlements (ed.), Empirical studies of structural changes and inflation, volume 3, pages 109-138,
Bank for International Settlements.
- Henry, Jérôme & Mestre, Ricardo & Backé, Peter, 2001. "Diffusion index-based inflation forecasts for the euro area," Working Paper Series 61, European Central Bank.
- Boivin, Jean & Ng, Serena, 2006.
"Are more data always better for factor analysis?,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 169-194, May.
- Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc.
- Bernanke, Ben S. & Boivin, Jean, 2003.
"Monetary policy in a data-rich environment,"
Journal of Monetary Economics, Elsevier, vol. 50(3), pages 525-546, April.
- Ben S. Bernanke & Jean Boivin, 2001. "Monetary Policy in a Data-Rich Environment," NBER Working Papers 8379, National Bureau of Economic Research, Inc.
- Michael Artis & Anindya Banerjee & Massimiliano Marcellino, "undated".
"Factor forecasts for the UK,"
Working Papers
203, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Michael ARTIS & Anindya BANERJEE & Massimiliano MARCELLINO, 2001. "Factor Forecasts for the UK," Economics Working Papers ECO2001/15, European University Institute.
- Artis, Michael & Banerjee, Anindya & Marcellino, Massimiliano, 2002. "Factor Forecasts for the UK," CEPR Discussion Papers 3119, C.E.P.R. Discussion Papers.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Tomohiro Ando & Ruey S. Tsay, 2009.
"Model selection for generalized linear models with factor‐augmented predictors,"
Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 207-235, May.
- T. Ando & R. S. Tsay, 2009. "‘Model selection for generalized linear models with factor‐augmented predictors’," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 243-246, May.
- Marc Hallin & Roman Liska, 2008.
"Dynamic Factors in the Presence of Block Structure,"
Working Papers ECARES
2008_012, ULB -- Universite Libre de Bruxelles.
- Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Economics Working Papers ECO2008/22, European University Institute.
- Álvaro Aguirre R. & Luis Felipe Céspedes C., 2004. "Uso de Análisis Factorial Dinámico para Proyecciones Macroeconómicas," Working Papers Central Bank of Chile 274, Central Bank of Chile.
- Hanan Naser, 2015. "Estimating and forecasting Bahrain quarterly GDP growth using simple regression and factor-based methods," Empirical Economics, Springer, vol. 49(2), pages 449-479, September.
- Ard H.J. den Reijer, 2005. "Forecasting Dutch GDP using Large Scale Factor Models," DNB Working Papers 028, Netherlands Central Bank, Research Department.
- Gupta, Rangan & Kabundi, Alain & Miller, Stephen M., 2011.
"Forecasting the US real house price index: Structural and non-structural models with and without fundamentals,"
Economic Modelling, Elsevier, vol. 28(4), pages 2013-2021, July.
- Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 200927, University of Pretoria, Department of Economics.
- Rangan Gupta & Alan Kabundi & Stephen M. Miller, 2010. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 1001, University of Nevada, Las Vegas , Department of Economics.
- Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers 2009-42, University of Connecticut, Department of Economics.
- Bruneau, C. & De Bandt, O. & Flageollet, A., 2003. "Forecasting Inflation in the Euro Area," Working papers 102, Banque de France.
- Sandra Eickmeier & Christina Ziegler, 2008. "How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 237-265.
- Banbura, Marta & Rünstler, Gerhard, 2011.
"A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP,"
International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346, April.
- Bańbura, Marta & Rünstler, Gerhard, 2011. "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346.
- Rünstler, Gerhard & Bańbura, Marta, 2007. "A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP," Working Paper Series 751, European Central Bank.
- Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, vol. 163(1), pages 29-41, July.
- Jörg Breitung & Sandra Eickmeier, 2006.
"Dynamic Factor Models,"
Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 3, pages 25-40,
Springer.
- Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 27-42, March.
- Breitung, Jörg & Eickmeier, Sandra, 2005. "Dynamic factor models," Discussion Paper Series 1: Economic Studies 2005,38, Deutsche Bundesbank.
- Gupta, Rangan & Kabundi, Alain, 2011.
"A large factor model for forecasting macroeconomic variables in South Africa,"
International Journal of Forecasting, Elsevier, vol. 27(4), pages 1076-1088, October.
- Alain Kabundi & Rangan Gupta, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
- Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2014.
"Dynamic factor models: A review of the literature,"
OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 73-107.
- Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2013. "Dynamic factor models: A review of the literature," Post-Print hal-01385974, HAL.
- Barhoumi, K. & Darné, O. & Ferrara, L., 2013. "Dynamic Factor Models: A review of the Literature ," Working papers 430, Banque de France.
- Monica Defend & Aleksey Min & Lorenzo Portelli & Franz Ramsauer & Francesco Sandrini & Rudi Zagst, 2021. "Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data," Forecasting, MDPI, vol. 3(1), pages 1-35, February.
- Angelini, Elena & Henry, Jerome & Marcellino, Massimiliano, 2006.
"Interpolation and backdating with a large information set,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2693-2724, December.
- Angelini, Elena & Henry, Jérôme & Marcellino, Massimiliano, 2003. "Interpolation and backdating with a large information set," Working Paper Series 252, European Central Bank.
- Henry, Jerome & Marcellino, Massimiliano & Angelini, Elena, 2004. "Interpolation and Backdating with A Large Information Set," CEPR Discussion Papers 4533, C.E.P.R. Discussion Papers.
- Dimitar EFTIMOSKI, 2019. "Improving Short-Term Forecasting of Macedonian GDP: Comparing the Factor Model with the Macroeconomic Structural Equation Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 32-53, June.
- Ibarra-Ramírez Raúl, 2010. "Forecasting Inflation in Mexico Using Factor Models: Do Disaggregated CPI Data Improve Forecast Accuracy?," Working Papers 2010-01, Banco de México.
- Viktors Ajevskis & Gundars Davidsons, 2008. "Dynamic Factor Models in Forecasting Latvia's Gross Domestic Product," Working Papers 2008/02, Latvijas Banka.
- Martin Schneider & Martin Spitzer, 2004. "Forecasting Austrian GDP using the generalized dynamic factor model," Working Papers 89, Oesterreichische Nationalbank (Austrian Central Bank).
- Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chb:bcchec:v:7:y:2004:i:3:p:35-46. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Fredherick Sanllehi (email available below). General contact details of provider: https://edirc.repec.org/data/bccgvcl.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.