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Browsing Economic and Management Sciences by Subject "Factor-augmented models"

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Forecasting house prices for the four census regions and the aggregate US economy in a data-rich environment

Gupta, Rangan (Routledge, 2013)

This article considers the ability of large-scale (involving 145 fundamental variables) time-series models, estimated by dynamic factor analysis and Bayesian shrinkage, to forecast real house price growth rates of the ...
Forecasting US real private residential fixed investment using a large number of predictors

Aye, Goodness Chioma; Miller, Stephen M.; Gupta, Rangan; Balcilar, Mehmet (Springer, 2016-12)

This paper employs classical bivariate, slab-and-spike variable selection, Bayesian semi-parametric shrinkage, and factor augmented predictive regression models to forecast US real private residential fixed investment over ...

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