Search Results - subject:"PRINCIPAL COMPONENTS"

A comment on the dynamic factor model with dynamic factors

Poncela, Pilar; Ruiz, Esther - 2020

)) that studies and compares the performance of the Kalman Filter and Smoothing (KFS) and Principal Components (PC) factor …

Persistent link: https://www.econbiz.de/10012208913

Forecasting with supervised factor models

Umbach, Simon Lineu - In: Empirical economics : a journal of the Institute for … 58 (2020) 1, pp. 169-190

Persistent link: https://www.econbiz.de/10012216370

Forecasting national activity using lots of international predictors: an application to New Zealand

Eickmeier, Sandra; Ng, Tim - 2009

handling hundreds of predictor data series from many countries. The methods covered are principal components, targeted … predictors, weighted principal components, partial least squares, elastic net and ridge regression. Using these methods, we …

Persistent link: https://www.econbiz.de/10010298758

Forecasting national activity using lots of international predictors: an application to New Zealand

Eickmeier, Sandra; Ng, Tim - Deutsche Bundesbank - 2009

Persistent link: https://www.econbiz.de/10005083140

Estimación de un índice de condiciones financieras para México

Villarreal, Thelma Armendáriz; Bulos, Claudia Ramírez - 2015

talk" in the United States in the second half of 2013, among others. Keywords: Financial conditions index, principal … components, Mexico …

Persistent link: https://www.econbiz.de/10011445077

Forecasting Turkish Industrial Production Growth With Static Factor Models

Günay, Mahmut - In: International Econometric Review (IER) 7 (2015) 2, pp. 64-78

In this paper, we forecast industrial production growth for the Turkish economy using static factor models. We evaluate how the performance of the models change based on the number of factors we extract from our data as well as the level of aggregation for the series in the data set. We consider...

Persistent link: https://www.econbiz.de/10012610958

Two-sample Hotelling's T² statistics based on the functional Mahalanobis semi-distance

Esdras, Joseph; Galeano, Pedro; Lillo, Rosa E. - Departamento de Estadistica, Universidad Carlos III de … - 2015

based on the functional principal components semi-distance. A Monte Carlo study indicates that the twosample Hotelling's T …² of power those based on the functional principal components semidistance. We analyze a data set of daily temperature … regions that are not found with statistics based on the functional principal components semi-distance. …

Persistent link: https://www.econbiz.de/10011206306

Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals

Maciejowska, Katarzyna; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2015

In this paper we investigate whether considering the fine structure of half-hourly electricity prices, the market closing prices of fundamentals (natural gas, coal and CO2) and the system-wide demand can lead to significantly more accurate short- and mid-term forecasts of APX UK baseload prices....

Persistent link: https://www.econbiz.de/10011208077

Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment

Ruiz, Esther; Poncela, Pilar - Departamento de Estadistica, Universidad Carlos III de … - 2015

and smoother (KFS) factor estimates are highly correlated with those obtained using hybrid Principal Components (PC) and …

Persistent link: https://www.econbiz.de/10011188893

A Random Walk Test for Functional Time Series

Mingotti, Nicola; Lillo, Rosa E.; Romo, Juan - Departamento de Estadistica, Universidad Carlos III de … - 2015

parametric, based on Bootstrap and Functional Principal Components. The power of the test is shown through an extensive …

Persistent link: https://www.econbiz.de/10011272954