Forecasting using targeted diffusion indexes

Journal of Forecasting

Volumn 29, Issue 3, 2010, Pages 341-352

  Dias, Francisco ^a   Pinheiro, Maximiano ^a,b   Rua, António ^a  

^a BANCO DE PORTUGAL   (Portugal)

^b UNIVERSITY OF LISBON   (Portugal)

Author keywords

Factor models; Forecasting; Targeted predictors; USA; Words diffusion index

Indexed keywords

COVARIANCE MATRIX; DIFFUSION; EIGENVALUES AND EIGENFUNCTIONS;

CORRELATION MATRIX; DIFFUSION INDICES; EIGEN-VALUE; FACTOR MODEL; INDEX MODELS; PRINCIPAL COMPONENTS; TARGETED PREDICTOR; USA; WEIGHTED AVERAGES; WORD DIFFUSION INDEX;

FORECASTING;

EID: 77949580182     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1132     Document Type: Article

References (17)

1. Amengual D, Watson M. 2007. Consistent estimation of the number of dynamic factors in a large N and T panel. Journal of Business and Economic Statistics 25(1): 91-96.
2. Artis MJ, Banerjee A, Marcellino M. 2005. Factor forecasts for the UK. Journal of Forecasting 24: 279-298.
3. Bai J, Ng S. 2002. Determining the number of factors in approximate factor models. Econometrica 70(1): 191-221.
4. Bai J, Ng S. 2008. Forecasting economic time series using targeted predictors. Journal of Econometrics 146(2): 304-317.
5. Bai J, Ng S. 2009. Boosting diffusion indices. Journal of Applied Econometrics 24(4): 607-629.
6. Boivin J, Ng S. 2006. Are more data always better for factor analysis? Journal of Econometrics 132(1): 169-194.
7. De Mol C, Giannone D, Reichlin L. 2008. Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components? Journal of Econometrics 146(2): 318-328.
8. Inoue A, Kilian L. 2004. Bagging time series models. CEPR Discussion Paper no. 4333.
9. Inoue A, Kilian L. 2005. How useful is bagging in forecasting economic time series? A case study of US CPI infl ation. CEPR Discussion Paper no. 5304.
10. Marcellino M, Stock JH, Watson M. 2003. Macroeconomic forecasting in the euro area: country specific versus euro wide information. European Economic Review 47: 1-18.
11. Stock JH, Watson M. 1998. Diffusion indexes. NBER Working Paper no. 6702.
12. Stock JH, Watson M. 1999. Forecasting infl ation. Journal of Monetary Economics 44: 293-335.
13. Stock JH, Watson M. 2002a. Macroeconomic forecasting using diffusion indices. Journal of Business and Economics Statistics 20: 147-162.
14. Stock JH, Watson M. 2002b. Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association 97: 1167-1179.
15. Stock JH, Watson M. 2005a. An empirical comparison of methods for forecasting using many predictors. Mimeo.
16. Stock JH, Watson M. 2005b. Implications of dynamic factor models for VAR analysis. Mimeo.
17. Stock JH, Watson M. 2007. Why has US infl ation become harder to forecast. Journal of Money, Credit and Banking 39(1): 3-33.