Macroeconomic Forecasting with Fractional Factor Models

Beschreibung

"We combine high-dimensional factor models with fractional integration methods and derive models where nonstationary, potentially cointegrated data of different persistence is modelled as a function of common fractionally integrated factors. A two-stage estimator, that combines principal components and the Kalman filter, is proposed. The forecast performance is studied for a high-dimensional US macroeconomic data set, where we find that benefits from the fractional factor models can be substantial, as they outperform univariate autoregressions, principal components, and the factor-augmented errorcorrection model." (Author's abstract, IAB-Doku) ((en))

Zitationshinweis

Hartl, Tobias (2020): Macroeconomic Forecasting with Fractional Factor Models. (arXiv papers), 31 S. DOI:10.48550/arXiv.2005.04897