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Forecasting Economic Activity in Data-Rich Environment

Author: Maxime Leroux; Rachidi Kotchoni; Dalibor Stevanovic
Publisher: Montreal, QC, CA : Center for Interuniversity Research and Analysis on Organizations, 2017.
Series: desLibris.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This paper compares the performance of five classes of forecasting models in an extensive out-of-sample exercise. The types of models considered are standard univariate models, factor-augmented regressions, dynamic factor models, other data-rich models and forecast combinations.
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Genre/Form: Electronic books
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Maxime Leroux; Rachidi Kotchoni; Dalibor Stevanovic
OCLC Number: 1000711602
Description: 1 online resource (67 pages)
Series Title: desLibris.
Responsibility: Maxime Leroux.
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Abstract:

This paper compares the performance of five classes of forecasting models in an extensive out-of-sample exercise. The types of models considered are standard univariate models, factor-augmented regressions, dynamic factor models, other data-rich models and forecast combinations.

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