政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/133658

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文笔数/总笔数 : 112721/143689 (78%)
造访人次 : 49530878 在线人数 : 878

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/133658

请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/133658

题名:	Macroeconomic Forecasting Using Approximate Factor Models with Outliers
作者:	顏佑銘 Yen, Yu-Min Chou, Ray Yeutien Yen, Tso-Jung
贡献者:	國貿系
关键词:	Approximate factor model;Macroeconomic forecast;Multivariate time series;Outlier;Principal component analysis
日期:	2020-04
上传时间:	2021-01-21 09:51:20 (UTC+8)
摘要:	In this paper we consider estimating an approximate factor model in which candidate predictors are subject to sharp spikes such as outliers or jumps. Given that these sharp spikes are assumed to be rare, we formulate the estimation problem as a penalized least squares problem by imposing a norm penalty function on those sharp spikes. Such a formulation allows us to disentangle the sharp spikes from the common factors and estimate them simultaneously. Numerical values of the estimates can be obtained by solving a principal component analysis (PCA) problem and a one-dimensional shrinkage estimation problem iteratively. In addition, it is easy to incorporate methods for selecting the number of common factors in the iterations. We compare our method with PCA by conducting simulation experiments in order to examine their finite-sample performances. We also apply our method to the prediction of important macroeconomic indicators in the U.S., and find that it can deliver performances that are comparable to those of the PCA method.
關聯:	International Journal of Forecasting, Vol.36, No.2, pp.267-291
数据类型:	article
DOI 連結:	https://doi.org/10.1016/j.ijforecast.2019.04.020
DOI:	10.1016/j.ijforecast.2019.04.020
显示于类别:	[國際經營與貿易學系 ] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
87.pdf		598Kb	Adobe PDF2	183	检视/开启

在政大典藏中所有的数据项都受到原著作权保护.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

数据加载中.....