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Browsing Working Papers (Economics) by Subject "Dynamic factor model (DFM)"
Now showing items 1-7 of 7
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(University of Pretoria, Department of Economics, 2009-01)This paper analyzes whether a wealth of information contained in 126 monthly series used by large-scale Bayesian Vector Autoregressive (LBVAR) models, as well as Factor Augmented Vector Autoregressive (FAVAR) models, ...
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(University of Pretoria, Department of Economics, 2009-12)This paper analyzes the ability of a random walk and, classical and Bayesian versions of autoregressive, vector autoregressive and vector error correction models in forecasting home sales for the four US census regions ...
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(University of Pretoria, Department of Economics, 2008-10)This paper develops large-scale Bayesian Vector Autoregressive (BVAR) models, based on 268 quarterly series, for forecasting annualized real house price growth rates for large-, medium- and smallmiddle- segment housing ...
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(University of Pretoria, Department of Economics, 2008-06)This paper uses the Dynamic Factor Model (DFM) framework, which accommodates a large cross-section of macroeconomic time series for forecasting the per capita growth rate, inflation, and the nominal shortterm interest ...
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(University of Pretoria, Department of Economics, 2008-09)This paper compares the forecasting ability of five alternative models in predicting four key macroeconomic variables, namely, per capita growth rate, the Consumer Price Index (CPI) inflation, the money market rate, and ...
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(University of Pretoria, Department of Economics, 2008-06)This paper uses two-types of large-scale models, namely the Dynamic Factor Model (DFM) and Bayesian Vector Autoregressive (BVAR) Models based on alternative hyperparameters specifying the prior, which accommodates 267 ...
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(University of Pretoria, Department of Economics, 2008-06)This paper uses the Dynamic Factor Model (DFM) framework, which accommodates a large cross-section of macroeconomic time series for forecasting regional house price inflation. As a case study, we use data on house price ...
Now showing items 1-7 of 7