Weighted-covariance factor decomposition of VARMA models applied to forecasting quarterly U.S. real GDP at monthly intervals
Peter A. Zadrozny (Bureau of Labor Statistics), Baoline Chen (Bureau of Economic Analysis)
| Year of publication: |
2019
|
|---|---|
| Authors: | Zadrozny, Peter A. ; Chen, Baoline |
| Publisher: |
Washington, DC : U.S. Department of Labor, U.S. Bureau of Labor Statistics, Office of Prices and Living Conditions |
| Subject: | principal-components-type decomposition of multivariate time-series models | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | USA | United States | Dekompositionsverfahren | Decomposition method | VAR-Modell | VAR model | Nationaleinkommen | National income | ARMA-Modell | ARMA model | Theorie | Theory | Bruttoinlandsprodukt | Gross domestic product |
freely available