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Forecasting linear dynamical systems using subspace methods

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  • Alfredo García-Hiernaux

    (Universidad Complutense de Madrid. Department of Quantitative Economics)

Abstract

A new procedure to predict with subspace methods is presented in this paper. It is based on combining multiple forecasts obtained from setting a range of values for a speci c parameter that is typically xed by the user in the subspace methods literature. An algorithm to compute these predictions and to obtain a suitable number of combinations is provided. The procedure is illustrated by forecasting the German gross domestic product.

Suggested Citation

  • Alfredo García-Hiernaux, 2009. "Forecasting linear dynamical systems using subspace methods," Documentos de Trabajo del ICAE 2009-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    • Handle: RePEc:ucm:doicae:0902
    as

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    References listed on IDEAS

    as
    1. Kascha, Christian & Mertens, Karel, 2009. "Business cycle analysis and VARMA models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 267-282, February.
    2. Christian Schumacher, 2007. "Forecasting German GDP using alternative factor models based on large datasets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(4), pages 271-302.
    3. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    4. Bauer, Dietmar, 2005. "Estimating Linear Dynamical Systems Using Subspace Methods," Econometric Theory, Cambridge University Press, vol. 21(1), pages 181-211, February.
    5. Dietmar Bauer, 2005. "Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 631-668, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Forecasting; Subspace methods; Combining forecasts.;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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