| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8867 |
| DP8867 Finite sample performance of small versus large scale dynamic factor models | |
| Gabriel Pérez-Quirós; Máximo Camacho | |
| 发表日期 | 2012-03-01 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We examine the finite-sample performance of small versus large scale dynamic factor models. Our Monte Carlo analysis reveals that small scale factor models out-perform large scale models in factor estimation and forecasting for high levels of cross-correlation across the idiosyncratic errors of series belonging to the same category, for oversampled categories and, especially, for high persistence in either the common factor series or the idiosyncratic errors. Using a panel of 147 US economic indicators, which are classified into 13 economic categories, we show that a small scale dynamic factor model that uses one representative indicator of each category yields satisfactory or even better forecasting results than a large scale dynamic factor model that uses all the economic indicator |
| 主题 | International Macroeconomics |
| 关键词 | Business cycles Output growth Time series |
| URL | https://cepr.org/publications/dp8867 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537705 |
| 推荐引用方式 GB/T 7714 | Gabriel Pérez-Quirós,Máximo Camacho. DP8867 Finite sample performance of small versus large scale dynamic factor models. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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