Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
| Autor(a) principal: | |
|---|---|
| Data de Publicação: | 2020 |
| Outros Autores: | , , , |
| Tipo de documento: | Artigo |
| Idioma: | eng |
| Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
| Texto Completo: | https://hdl.handle.net/10438/28790 |
Resumo: | General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in time series and have been successfully applied in many economic and financial applications. However, their performance in the presence of outliers has not been analysed yet. In this paper, we study the impact of additive outliers on the identification, estimation and forecasting performance of general dynamic factor models. Based on our findings, we propose robust identification, estimation and forecasting procedures. Our proposal is evaluated via Monte Carlo experiments and in empirical data. |
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Trucíos Maza, Carlos CésarMazzeu, João H. G.Hotta, Luiz KoodiPereira, Pedro L. VallsHallin, MarcEscolas::EESP2020-02-11T16:59:48Z2020-02-11T16:59:48Z2020-02TD 521https://hdl.handle.net/10438/28790General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in time series and have been successfully applied in many economic and financial applications. However, their performance in the presence of outliers has not been analysed yet. In this paper, we study the impact of additive outliers on the identification, estimation and forecasting performance of general dynamic factor models. Based on our findings, we propose robust identification, estimation and forecasting procedures. Our proposal is evaluated via Monte Carlo experiments and in empirical data.engFGV EESP - Textos para Discussão; TD 521Dimension reductionForecastJumpsLarge panelsEconomiaModelos econométricosAnálise de séries temporaisRobustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecastinginfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALTD 521 - CEQEF 53.pdfTD 521 - CEQEF 53.pdfPDFapplication/pdf1503049https://repositorio.fgv.br/bitstreams/458c633c-5fd1-4ec4-8c4e-d80774776b0f/downloadcbf88daa3081b0df11c9e1e5fae619c2MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/96ee60e2-729c-40e2-9462-81296a243116/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTTD 521 - CEQEF 53.pdf.txtTD 521 - CEQEF 53.pdf.txtExtracted 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Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting |
| title |
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting |
| spellingShingle |
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting Trucíos Maza, Carlos César Dimension reduction Forecast Jumps Large panels Economia Modelos econométricos Análise de séries temporais |
| title_short |
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting |
| title_full |
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting |
| title_fullStr |
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting |
| title_full_unstemmed |
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting |
| title_sort |
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting |
| author |
Trucíos Maza, Carlos César |
| author_facet |
Trucíos Maza, Carlos César Mazzeu, João H. G. Hotta, Luiz Koodi Pereira, Pedro L. Valls Hallin, Marc |
| author_role |
author |
| author2 |
Mazzeu, João H. G. Hotta, Luiz Koodi Pereira, Pedro L. Valls Hallin, Marc |
| author2_role |
author author author author |
| dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
| dc.contributor.author.fl_str_mv |
Trucíos Maza, Carlos César Mazzeu, João H. G. Hotta, Luiz Koodi Pereira, Pedro L. Valls Hallin, Marc |
| dc.subject.eng.fl_str_mv |
Dimension reduction Forecast Jumps Large panels |
| topic |
Dimension reduction Forecast Jumps Large panels Economia Modelos econométricos Análise de séries temporais |
| dc.subject.area.por.fl_str_mv |
Economia |
| dc.subject.bibliodata.por.fl_str_mv |
Modelos econométricos Análise de séries temporais |
| description |
General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in time series and have been successfully applied in many economic and financial applications. However, their performance in the presence of outliers has not been analysed yet. In this paper, we study the impact of additive outliers on the identification, estimation and forecasting performance of general dynamic factor models. Based on our findings, we propose robust identification, estimation and forecasting procedures. Our proposal is evaluated via Monte Carlo experiments and in empirical data. |
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2020 |
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2020-02-11T16:59:48Z |
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2020-02-11T16:59:48Z |
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2020-02 |
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info:eu-repo/semantics/publishedVersion |
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https://hdl.handle.net/10438/28790 |
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TD 521 |
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TD 521 |
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eng |
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FGV EESP - Textos para Discussão; TD 521 |
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