The stacked leading indicators dynamic factor models : a sencitivity analysis of forecast accuracy using bootstrapping /
The paper introduces an approximate dynamic factor model based on the extraction of principal components from a very large number of leading indicators stacked at various lags. The model is designed to produce short-term forecasts that are computed with the EM algorithm implemented with the first fe...
| Κύριος συγγραφέας: | Grenouilleau, Daniel. |
|---|---|
| Corporate συγγραφέας: | European Commission : Directorate-General for Economic and Financial Affairs. |
| Μορφή: | Βιβλίο |
| Γλώσσα: | English |
| Στοιχεία έκδοσης: |
Brussels- Belgium:
European Comission: Directorate-General for Economic and Financial Affairs,
2006
|
| Σειρά: |
European Economy. Economic papers ;
249 |
| Διαθέσιμο Online: |
http://ec.europa.eu/economy_finance/publications/publication_summary732_en.htm |
| Ετικέτες: |
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