Sufficient Forecasting Using Factor Models.
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DOI: 10.1016/j.jeconom.2017.08.009
Abstract: We consider forecasting a single time series when there is a large number of predictors and a possible nonlinear effect. The dimensionality was first reduced via a high-dimensional (approximate) factor model implemented by the principal… read more here.
Keywords: high dimensional; sufficient forecasting; factor models; method ... See more keywords