Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Forecasting"
DOI: 10.1002/for.2460
Abstract: In this paper, we first extract 8 factors from a monthly data set of 130 macroeconomic and financial variables. Then these extracted factors are used to construct a Factor-Augmented Qualitative VAR (FA-Qual VAR) model to… read more here.
Keywords: var model; var qual; factor augmented; qual var ... See more keywords
Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2020.11.002
Abstract: Abstract This paper reestablishes the main results in Bai (2003) and Bai and Ng (2006) for generalized factor models, with slightly stronger conditions on the relative magnitude of N (number of subjects) and T (number… read more here.
Keywords: maximum likelihood; factor models; factor augmented; factor ... See more keywords