شماره ركورد كنفرانس :
4857
عنوان مقاله :
A Sufficient Forecasting Method Using Factor Models and its Application to Iranian Macroeconomic Indices
پديدآورندگان :
Fallahi Alireza alirezafallahi@aut.ac.ir Amirkabir University of Technology , Salavati Erfan e-mail: erfan.salavati@aut.ac.ir Amirkabir University of Technology
كليدواژه :
Forecasting , Factor model , dimension reduction , Sliced inverse regression
عنوان كنفرانس :
پنجمين كنفرانس ملي مهندسي مالي و بيم سنجي
چكيده فارسي :
We use a new method developed by Fan et al (2017) for forecasting of macroecomomic time series.The main tools of this method are dimension reduction, slicing and local regression.This method is also applied to crosssectional sufficient regression using extracted factors.We apply this method to forecasting of several time series derived from Iranian macroeconomic indices,and compared its performance with some of the existing well known methods.
