Macroeconomic Forecasting Using Diffusion Indexes

Volume: 20, Issue: 2, Pages: 147 - 162
Published: Jan 1, 2002
Abstract
This article studies forecasting a macroeconomic time series variable using a large number of predictors. The predictors are summarized using a small number of indexes constructed by principal component analysis. An approximate dynamic factor model serves as the statistical framework for the estimation of the indexes and construction of the forecasts. The method is used to construct 6-, 12-, and 24-monthahead forecasts for eight monthly U.S....
Paper Details
Title
Macroeconomic Forecasting Using Diffusion Indexes
Published Date
Jan 1, 2002
Volume
20
Issue
2
Pages
147 - 162
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