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Forecasting with Rational Expectations Models
Forecasting Rational Expectations Models
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2015/8/4
Forecasting with Rational Expectations Models.
Generalized Shrinkage Methods for Forecasting using Many Predictors
high dimensional model empirical Bayes dynamic factor models
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2014/3/18
This paper provides a simple shrinkage representation that describes the operational characteristics of various forecasting methods designed for a large number of orthogonal predictors (such as princi...
Macroeconomic Forecasting Using Diffusion Indexes
Factor model Forecasting Principal components
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2014/3/18
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 princ...