Sökning: "Factor-Augmented Forecasting"

Hittade 2 avhandlingar innehållade orden Factor-Augmented Forecasting.

1. 1. Factor-Augmented Forecasting for High-Dimensional Data

   Författare :Ying Pang; Martin Sköld; Martin Singull; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; High-Dimensional Data; Factor-Augmented Forecasting; Principal Component; Lasso; Cross Validation; Multi-Level Factor; Predictive Performance; matematisk statistik; Mathematical Statistics;

   Sammanfattning : In this thesis, we take a critical look at the factor-augmented forecast models, when a large number of time series variables available can provide the vital information for prediction. We discuss how to describe the commonality and idiosyncrasy of high-dimensional data by a handful of factors in various levels, and how to improve the predictive performance using these factors as augmented predictors. LÄS MER

3. 2. Mostly Panel Econometrics : Essays on Asymptotic Analysis and Enhanced Inference

   Författare :Ovidijus Stauskas; Joakim Westerlund; Ignace De Vos; Milda Norkute; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Econometrics; Panel Data; Factor Models; Bootstrap; Forecasting; Non-Stationary Data; Common Correlated Effects; CCE;

   Sammanfattning : This thesis consists of five chapters which focus on panel data theory. Four of them analyze explicit panel data models and one chapter deals with time series forecasting model, where external panel data help us estimate unobserved explanatory variables. LÄS MER