Macroeconomic Forecasting Using Diffusion Indexes
Top Cited Papers
- 1 April 2002
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 20 (2) , 147-162
- https://doi.org/10.1198/073500102317351921
Abstract
This article studies forecasting a macroeconomic time series variable using a large number of predictors. The predictors are summarized using a small number of indexes constructed by principal comp...Keywords
This publication has 15 references indexed in Scilit:
- The Generalized Dynamic-Factor Model: Identification and EstimationThe Review of Economics and Statistics, 2000
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle DynamicsThe Review of Economic Studies, 1998
- The Time-Varying NAIRU and its Implications for Economic PolicyJournal of Economic Perspectives, 1997
- Dynamic common factors in large cross-sectionsEmpirical Economics, 1996
- A Test for the Number of Factors in an Approximate Factor ModelThe Journal of Finance, 1993
- Risk and return in an equilibrium APTJournal of Financial Economics, 1988
- Performance measurement with the arbitrage pricing theoryJournal of Financial Economics, 1986
- Price Inertia and Policy Ineffectiveness in the United States, 1890-1980Journal of Political Economy, 1982
- A One-Factor Multivariate Time Series Model of Metropolitan Wage RatesJournal of the American Statistical Association, 1981
- A Latent Time Series Model of the Cyclical Behavior of Interest RatesInternational Economic Review, 1980