Factor Decomposition of Varma Models Based on Weighted Forecast-error Covariances: Applied to Forecasting Quarterly U.s. Gdp at Monthly Intervals
نویسندگان
چکیده
Earlier versions of the material here were presented at the Society for Computational Economics (Aix-en-Provence, June 2002, and Seattle, July 2003), the NSF-NBER Time Series Meeting (Philadelphia, September 2002), the Workshop on Forecasting Techniques of the European Central Bank (Frankfurt, December 2002), and the Econometric Society (Evanston, June 2003). The paper represents the authors' views and does not represent any official positions of the Bureau of Economic Analysis or the Bureau of Labor Statistics. We thank Ataman Ozyildirim for providing data from the Conference Board.
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Weighted-covariance Factor Decomposition of Varma Models Applied to Forecasting Quarterly U.s. Gdp at Monthly Intervals
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