Time series forecasting by principal covariate regression.
Year of publication: |
2006-08-31
|
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Authors: | Groenen, Patrick ; van Dijk, Dick ; Heij, Heij, C. |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | distributed lags | dynamic factor models | economic forecasting | iterative majorization | principal components | principal covariate regression |
Extent: | application/pdf |
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Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureir Number EI 2006-37 |
Classification: | G17 - Financial Forecasting |
Source: |
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Time series forecasting by principal covariate regression.
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