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ArticleTesting for structural stability of factor augmented forecasting models

Norman Rasmus Swanson2014

Article2014

Testing for structural stability of factor augmented forecasting models

Norman Rasmus Swanson

78 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Statistical Methods and Applications Forecasting Techniques and Applications

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References

1994Comparing Predictive Accuracy 2002Determining the Number of Factors in Approximate Factor Models 2002Forecasting Using Principal Components From a Large Number of Predictors 2002Macroeconomic Forecasting Using Diffusion Indexes 2003Inferential Theory for Factor Models of Large Dimensions 2004Combination forecasts of output growth in a seven‐country data set 2006Asymptotics for out of sample tests of Granger causality 2006Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions

Cited by

2014Bootstrapping factor-augmented regression models 2016Econometric Analysis of Large Factor Models 2021Forecasting in the Presence of Instabilities: How We Know Whether Models Predict Well and How to Improve Them 2016Identification and estimation of a large factor model with structural instability 2019Estimating and Testing High Dimensional Factor Models With Multiple Structural Changes 2017

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2013Advances in Forecasting under Instabilitychapter · 9 shared references 2016Mining Big Data Using Parsimonious Factor, Machine Learning, Variable Selection and Shrinkage Methodsarticle · 9 shared references 2016Econometric Analysis of Large Factor Modelsreview · 9 shared references 2016Identification and estimation of a large factor model with structural instabilityarticle · 9 shared references 2021Forecasting in the Presence of Instabilities: How We Know Whether Models Predict Well and How to Improve Themarticle · 8 shared references 2019Estimating and Testing High Dimensional Factor Models With Multiple Structural Changesarticle · 8 shared references

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Year2014

Typearticle

Published2014-04-26

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations78

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2014.04.011

openalex_workW2239346152

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Estimation and Inference of Change Points in High Dimensional Factor Models

2018Bootstrap inference for impulse response functions in factor‐augmented vector autoregressions

2020Sequential testing for structural stability in approximate factor models