Search Results - subject:"PRINCIPAL COMPONENTS"

Improved Construction of diffusion indexes for macroeconomic forecasting

van Dijk, Dick; Groenen, Patrick; Heij, Heij, C. - Faculteit der Economische Wetenschappen, Erasmus … - 2006

retained by the diffusion indexes, by matching the data windows used for constructing the principal components and for es …

Persistent link: https://www.econbiz.de/10010731613

Time series forecasting by principal covariate regression.

Groenen, Patrick; van Dijk, Dick; Heij, Heij, C. - Faculteit der Economische Wetenschappen, Erasmus … - 2006

first summarized by means of a limited number of factors -for instance, principal components- and, in a second step, these …

Persistent link: https://www.econbiz.de/10010837704

Sales-Advertising Relationship: An Application of Panel Data from the German Automobile Industry

Mariel, Petr; López, Cristina; Fernández, Karmele - In: Prague Economic Papers 2006 (2006) 1, pp. 29-43

This paper uses panel data from the German car industry for the estimation of parameters of a demand equation applying different statistical methodologies and paying special attention to advertising variables. Two important conclusions can be drawn. First, advertising plays an important role in...

Persistent link: https://www.econbiz.de/10005036491

To Combine Forecasts or to Combine Information?

Huang, Huiyu; Lee, Tae-Hwy - Department of Economics, University of California-Riverside - 2006

When the objective is to forecast a variable of interest but with many explanatory variables available, one could possibly improve the forecast by carefully integrating them. There are generally two directions one could proceed: combination of forecasts (CF) or combination of information (CI)....

Persistent link: https://www.econbiz.de/10005006783

A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling

Bagliano, Fabio C.; Morana, Claudio - Collegio Carlo Alberto, Università degli Studi di Torino - 2006

In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson (2005), is introduced. Relative to the Stock-Watson approach, the proposed method has the advantage of allowing for a more clear-cut interpretation of the global factors, as well as for the...

Persistent link: https://www.econbiz.de/10005094070

Panels with Nonstationary Multifactor Error Structures

Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi - CESifo - 2006

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference for stationary panel regressions with multifactor error...

Persistent link: https://www.econbiz.de/10005094412

What drives liberal policies in developing countries?

Sirimaneetham, Vatcharin - School of Economics, Finance and Management, University … - 2006

construct a composite policy index, the paper applies a robust principal components analysis to Washington Consensus policy …, O11, O40 Keywords: liberal policy, economic freedom, economic growth, Bayesian model averaging, principal components ∗ I … construct a new composite index of liberal policy, I apply both classi- cal and outlier-robust principal components analysis to …

Persistent link: https://www.econbiz.de/10005077112

Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?

De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - Deutsche Bundesbank - 2006

This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...

Persistent link: https://www.econbiz.de/10005083173

Real-time forecasting of GDP based on a large factor model with monthly and quarterly data

Schumacher, Christian; Breitung, Jörg - Deutsche Bundesbank - 2006

sample, the factors are estimated by applying an EM algorithm combined with a principal components estimator. We discuss the …

Persistent link: https://www.econbiz.de/10005083178

Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions

Booth, Heather; Hyndman, Rob J; Tickle, Leonie; Jong, … - Department of Econometrics and Business Statistics, … - 2006

We compare the short- to medium-term accuracy of five variants or extensions of the Lee-Carter method for mortality forecasting. These include the original Lee-Carter, the Lee-Miller and Booth-Maindonald-Smith variants, and the more flexible Hyndman-Ullah and De Jong-Tickle extensions. These...

Persistent link: https://www.econbiz.de/10005087612