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The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting.
- Source :
-
Journal of the American Statistical Association . Sep2005, Vol. 100 Issue 471, p830-840. 11p. - Publication Year :
- 2005
-
Abstract
- This article proposes a new forecasting method that makes use of information from a large panel of time series. Like earlier methods, our method is based on a dynamic factor model. We argue that our method improves on a standard principal component predictor in that it fully exploits all the dynamic covariance structure of the panel and also weights the variables according to their estimated signal-to-noise ratio. We provide asymptotic results for our optimal forecast estimator and show that in finite samples, our forecast outperforms the standard principal components predictor. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01621459
- Volume :
- 100
- Issue :
- 471
- Database :
- Academic Search Index
- Journal :
- Journal of the American Statistical Association
- Publication Type :
- Academic Journal
- Accession number :
- 18148924
- Full Text :
- https://doi.org/10.1198/016214504000002050