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Sufficient Forecasting Using Factor Models
We consider forecasting a single time series when there is a large number of predictors and a possible nonlinear effect. The dimensionality was first reduced via a high-dimensional (approximate) factor model implemented by the principal component analysis. Using the extracted factors, we develop a n...
Gardado en:
| Publicado en: | J Econom |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
2017
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| Assuntos: | |
| Acceso en liña: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5931744/ https://ncbi.nlm.nih.gov/pubmed/29731537 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.jeconom.2017.08.009 |
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