Structural Modeling and Forecasting Using a Cluster of Dynamic Factor Models

Forecasting in Dynamic Factor Models Subject to Structural Instability

Forecasting with dynamic factor models

The validity of previous findings that dynamic factor models are useful for macroeconomic forecasting is of great importance for subsequent studies which use these models not only as a starting point for further developments but also as a benchmark for the evaluation of the forecasting performance of these further developments. Reanalyzing a standard macroeconomic dataset, we do not find any ev...

Forecasting in Dynamic Factor Models Using Bayesian Model Averaging

This paper considers the problem of forecasting in dynamic factor models using Bayesian model averaging. Theoretical justi…cations for averaging across models, as opposed to selecting a single model, are given. Practical methods for implementing Bayesian model averaging with factor models are described. These methods involve algorithms which simulate from the space de…ned by all possible models...

Sufficient Forecasting Using Factor Models ∗

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 highdimensional factor model implemented by the principal component analysis. Using the extracted factors, we develop a link-free forecasting method, called the sufficient forecasting, which provides several sufficient predictive ind...

scour modeling piles of kambuzia industrial city bridge using hec-ras and artificial neural network

today, scouring is one of the important topics in the river and coastal engineering so that the most destruction in the bridges is occurred due to this phenomenon. whereas the bridges are assumed as the most important connecting structures in the communications roads in the country and their importance is doubled while floodwater, thus exact design and maintenance thereof is very crucial. f...