Time series forecasting by principal covariate regression
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Cited by:
- Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen, 2013.
"Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 193-214, April.
- Exterkate, P. & van Dijk, D.J.C. & Heij, C. & Groenen, P.J.F., 2010. "Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model," Econometric Institute Research Papers EI 2010-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Heij, Christiaan & Groenen, Patrick J.F. & van Dijk, Dick, 2007.
"Forecast comparison of principal component regression and principal covariate regression,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3612-3625, April.
- Heij, C. & Groenen, P.J.F. & van Dijk, D.J.C., 2005. "Forecast comparison of principal component regression and principal covariate regression," Econometric Institute Research Papers EI 2005-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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More about this item
Keywords
distributed lags; dynamic factor models; economic forecasting; iterative majorization; principal components; principal covariate regression;All these keywords.
JEL classification:
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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