MACROECONOMIC FORECASTING EXPERIENCE WITH BALANCED STATE-SPACE MODELS

被引：5

作者：

MITTNIK, S

机构：

[1] Department of Economics, State University of New York at Stony Brook, Stony Brook

来源：

INTERNATIONAL JOURNAL OF FORECASTING | 1990年 / 6卷 / 03期

关键词：

International economic forecasting; Leading indicators; National economic forecasting; Singular value decomposition; State space modeling; System theory;

D O I：

10.1016/0169-2070(90)90061-F

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper surveys the forecasting experience in macroeconomics with recently developed balanced state space methods. After relating the state space approach to traditional time series modeling, we give a brief overview of the alternative methods to balanced state space modeling. Results of various recent macroeconomic studies applying these techniques and comparing their forecasting performance to the ones of econometric time series models are discussed. © 1990.

引用

页码：337 / 348

页数：12

共 50 条

[1] FORECASTING WITH BALANCED STATE-SPACE REPRESENTATIONS OF MULTIVARIATE DISTRIBUTED LAG MODELS
MITTNIK, S
JOURNAL OF FORECASTING, 1990, 9 (03) : 207 - 218
[2] Causal Discovery and Forecasting in Nonstationary Environments with State-Space Models
Huang, Biwei
Zhang, Kun
Gong, Mingming
Glymour, Clark
INTERNATIONAL CONFERENCE ON MACHINE LEARNING, VOL 97, 2019, 97
[3] MODEL-SPECIFICATION TESTS FOR BALANCED REPRESENTATION STATE-SPACE MODELS
DORFMAN, JH
HAVENNER, A
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1995, 24 (01) : 97 - 119
[4] Recurrent dictionary learning for state-space models with an application in stock forecasting
Sharma, Shalini
Elvira, Victor
Chouzenoux, Emilie
Majumdar, Angshul
NEUROCOMPUTING, 2021, 450 : 1 - 13
[5] Univariate and multivariate forecasting of tourism demand using state-space models
Jorge-Gonzalez, Elisa
Gonzalez-Davila, Enrique
Martin-Rivero, Raquel
Lorenzo-Diaz, Domingo
TOURISM ECONOMICS, 2020, 26 (04) : 598 - 621
[6] Discriminative State-Space Models
Kuznetsov, Vitaly
Mohri, Mehryar
ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 30 (NIPS 2017), 2017, 30
[7] Dynamic state-space models
Guo, WS
JOURNAL OF TIME SERIES ANALYSIS, 2003, 24 (02) : 149 - 158
[8] Structured state-space models are deep Wiener modelsStructured state-space models are deep Wiener models
Bonassi, Fabio
Andersson, Carl
Mattsson, Per
Schon, Thomas B.
IFAC PAPERSONLINE, 2024, 58 (15): : 247 - 252
[9] State-space models of pipelines
Geiger, Gerhard
Marko, Drago
PROCEEDINGS OF THE 17TH IASTED INTERNATIONAL CONFERENCE ON MODELLING AND SIMULATION, 2006, : 56 - +
[10] FORECASTING WITH VECTOR ARMA AND STATE-SPACE METHODS
AKSU, C
NARAYAN, JY
INTERNATIONAL JOURNAL OF FORECASTING, 1991, 7 (01) : 17 - 30

← 1 2 3 4 5 →