Testing for structural stability of factor augmented forecasting models

Journal of Econometrics

Volumn 182, Issue 1, 2014, Pages 100-118

  Corradi, Valentina ^a   Swanson, Norman R ^b  

^a UNIVERSITY OF SURREY   (United Kingdom)

^b RUTGERS UNIVERSITY   (United States)

Author keywords

Diffusion index; Factor loading stability; Forecast failure; Forecast stability; Regression coefficients stability

Indexed keywords

FORECASTING; REGRESSION ANALYSIS; STATISTICAL TESTS;

CONSISTENT ESTIMATORS; DIFFUSION INDICES; FORECASTING MODELING; INFORMATION CRITERION; LIMITING DISTRIBUTIONS; MACROECONOMIC INDICATORS; REGRESSION COEFFICIENT; STRUCTURAL STABILITIES;

STABILITY;

EID: 84901836647     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2014.04.011     Document Type: Conference Paper

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