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Forecasting a Nonstationary Time Series with a Mixture of Stationary and Nonstationary Factors as Predictors

Hannadige, Sium - 2020

This paper develops a method for forecasting a nonstationary time series, such as GDP, using a set of high-dimensional panel data as predictors. To this end, we use what is known as a factor augmented regression [FAR] model that contains a small number of estimated factors as predictors; the...

Persistent link: https://www.econbiz.de/10012834890

Bootstrapping tail statistics: tail quantile process, Hill estimator, and confidence intervals for highquantiles of heavy tailed distributions

Litvinova, Svetlana; Silvapulle, Mervyn J. - 2018

Persistent link: https://www.econbiz.de/10012583470

A new structural break test for panels with common factors

Zhu, Huanjun; Sarafidis, Vasilis; Silvapulle, Mervyn J. - In: The econometrics journal 23 (2020) 1, pp. 137-155

Persistent link: https://www.econbiz.de/10012167253

Consistency of full-sample bootstrap for estimating high-quantile, tail probability, and tail index

Litvinova, Svetlana; Silvapulle, Mervyn J. - 2020

Persistent link: https://www.econbiz.de/10012607652

Statistical modelling and forecast evaluation of the impact of extreme temperatures on wheat crops in North Western Victoria

Bailey, Natalia; Hochman, Zvi; Mao, Yufeng; Silvapulle, … - 2020

Persistent link: https://www.econbiz.de/10012607686

Forecasting a nonstationary time series with a mixture of stationary and nonstationary factors as predictors

Hannadige, Sium Bodha; Gao, Jiti; Silvapulle, Mervyn J.; … - 2020

Persistent link: https://www.econbiz.de/10012607687

Time series forecasting using a mixture of stationary and nonstationary predictors

Hannadige, Sium Bodha; Gao, Jiti; Silvapulle, Mervyn J.; … - 2021

Persistent link: https://www.econbiz.de/10012614548

Decomposition of bilateral trade flows using a three-dimensional panel data model

Mao, Yufeng; Peng, Bin; Silvapulle, Mervyn J.; … - 2021

Persistent link: https://www.econbiz.de/10012614566

Bootstrap based probability forecasting in multiplicative error models

Perera, Indeewara; Silvapulle, Mervyn J. - In: Journal of econometrics 221 (2021) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012618609

Forecasting a nonstationary time series using a mixture of stationary and nonstationary factors as predictors

Hannadige, Sium Bodha; Gao, Jiti; Silvapulle, Mervyn J.; … - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 122-134

Persistent link: https://www.econbiz.de/10014449839

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