FORECASTING WITH BALANCED STATE-SPACE REPRESENTATIONS OF MULTIVARIATE DISTRIBUTED LAG MODELS

被引：10
|
作者：
MITTNIK, S
机构：
来源：
JOURNAL OF FORECASTING | 1990年 / 9卷 / 03期
关键词：
Internally balanced representation; Singular value decomposition; State space models;
D O I：
10.1002/for.3980090302
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A procedure for estimating state space models for multivariate distributed lag processes is described. It involves singular value decomposition techniques and yields an internally balanced state space representation which has attractive properties. Following the specifications of a forecasting competition, the approach is applied to generate ex‐post forecasts for US real GNP growth rates. The forecasts of the estimated state space model are compared to those of twelve econometric models and an ARIMA model. Copyright © 1990 John Wiley & Sons, Ltd.
引用
收藏
页码：207 / 218
页数：12
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