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Forecasting Dutch GDP using Large Scale Factor Models
16 references·2 citing·31 second hop
Forecasting Dutch GDP using Large Scale Factor Models (2005)Forecasting Dutch GDP using Large Scale F…The Generalized Dynamic Factor Model (2005)The Generalized Dynamic Facto…Leading Indicators for Euro‐area Inflation and GDP Growth* (2005)Leading Indicators for Euro‐a…Factor forecasts for the UK (2005)Factor forecasts for the UKThe generalized dynamic factor model consistency and rates (2003)The generalized dynamic facto…Macroeconomic forecasting in the Euro area: Country specific versus area-wide information (2003)Macroeconomic forecasting in …Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…The Generalized Dynamic-Factor Model: Identification and Estimation (2000)The Generalized Dynamic-Facto…Tests for Forecast Encompassing (1998)Tests for Forecast Encompassi…Forecasting Economic Time Series (1998)Forecasting Economic Time Ser…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyRisk and return in an equilibrium APT (1988)Risk and return in an equilib…Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory (1977)Business Cycle Modeling Witho…Measuring Business Cycles (1947)Measuring Business CyclesStatistical Indicators of Cyclical Revivals (1938)Statistical Indicators of Cyc…Dynamic factors in the presence of blocks (2010)Dynamic factors in the presen…Are Disaggregate Data Useful for Factor Analysis in Forecasting French GDP? (2010)Are Disaggregate Data Useful …Transition Modeling and Econometric Convergence Tests (2007)Short- Term Interest Rates as Predictors of Inflation (2021)Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)Rank Correlation Methods. (1957)Comparing Predictive Accuracy (1995)Pooling of forecasts (2004)Time-Varying Risk Premiums and the Output Gap (2008)Short interest and aggregate stock returns (2016)Macroeconomic Forecasting Using Diffusion Indexes (2002)Measuring Uncertainty (2015)Panels with Nonstationary Multifactor Error Structures (2006)Exploring the international linkages of the euro area: a global VAR analysis (2007)U.S. Monetary Policy and the Global Financial Cycle (2020)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Economic and statistical measures of forecast accuracy (2000)Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (2005)The Volatility of Realized Volatility (2008)Understanding business cycles (1977)Dissecting the cycle: a methodological investigation (2002)Can News About the Future Drive the Business Cycle? (2006)Testing for a unit root in panels with dynamic factors (2004)Determining the Number of Factors in the General Dynamic Factor Model (2007)Forecasting economic time series using targeted predictors (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 1947Measuring Business Cycles1,481 cited
  • 1998Forecasting Economic Time Series863 cited
  • 2005The Generalized Dynamic Factor Model824 cited
  • 1998Tests for Forecast Encompassing786 cited
  • 1977Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory708 cited
  • 1988Risk and return in an equilibrium APT535 cited
  • 2003Macroeconomic forecasting in the Euro area: Country specific versus area-wide information415 cited
  • 2003The generalized dynamic factor model consistency and rates297 cited
  • 2005Factor forecasts for the UK177 cited
  • 1938Statistical Indicators of Cyclical Revivals145 cited
  • 2005Leading Indicators for Euro‐area Inflation and GDP Growth*

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134 cited

Cited by

  • 2010Dynamic factors in the presence of blocks91 cited
  • 2010Are Disaggregate Data Useful for Factor Analysis in Forecasting French GDP?34 cited