Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach

The purpose of this article is to introduce an original macro code written in SAS 4GL. This macro is used to automate the process of forecasting with dynamic factor analysis. Automation of the process helps to save significant amounts of time and effort for the researcher. It also enables to compare different model specifications directly and, hence, to make conclusions that would be imperceptible without such automation, which is shown on the empirical study example.

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Year of publication:	2012-09-16
Authors:	Jêdrzejczyk, Adam
Institutions:	Zakład Ekonometrii Stosowanej, Szkoła Główna Handlowa w Warszawie
Subject:	statistical programming \| forecasting \| factor models \| inflation

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 63 2 pages long
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; C80 - Data Collection and Data Estimation Methodology; Computer Programs. General ; E31 - Price Level; Inflation; Deflation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010700705