Artikel
Forecasting Turkish Industrial Production Growth With Static Factor Models
In this paper, we forecast industrial production growth for the Turkish economy using static factor models. We evaluate how the performance of the models change based on the number of factors we extract from our data as well as the level of aggregation for the series in the data set. We consider two evaluation samples for the out-of-sample forecasting exercise to assess the stability of the forecasting performance. We find that the effect of the data set size on the forecasting performance is not independent from the number of factors extracted from this data set. Rankings of the models change in different evaluation samples. We conclude that using a dynamic approach to evaluate models from different dimensions is important in the forecasting process.
- Language
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Englisch
- Bibliographic citation
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Journal: International Econometric Review (IER) ; ISSN: 1308-8815 ; Volume: 7 ; Year: 2015 ; Issue: 2 ; Pages: 64-78 ; Ankara: Econometric Research Association (ERA)
- Classification
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Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
- Subject
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Forecasting
Factor Models
Principal Components
- Event
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Geistige Schöpfung
- (who)
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Günay, Mahmut
- Event
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Veröffentlichung
- (who)
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Econometric Research Association (ERA)
- (where)
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Ankara
- (when)
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2015
- DOI
-
doi:10.33818/ier.278041
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Günay, Mahmut
- Econometric Research Association (ERA)
Time of origin
- 2015
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