| Texto completo | |
| Autor(es): |
Trucios, Carlos
[1]
;
Mazzeu, Joao H. G.
[2]
;
Hotta, Luiz K.
[2]
;
Valls Pereira, Pedro L.
[1]
;
Hallin, Marc
[3]
Número total de Autores: 5
|
| Afiliação do(s) autor(es): | [1] Sao Paulo Sch Econ, FGV, Sao Paulo, SP - Brazil
[2] Univ Estadual Campinas, Dept Stat, Campinas, SP - Brazil
[3] Univ Libre Bruxelles, ECARES, Brussels - Belgium
Número total de Afiliações: 3
|
| Tipo de documento: | Artigo Científico |
| Fonte: | INTERNATIONAL JOURNAL OF FORECASTING; v. 37, n. 4, p. 1520-1534, OCT-DEC 2021. |
| Citações Web of Science: | 0 |
| Resumo | |
General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in the analysis of high-dimensional time series and have been successfully considered in many economic and financial applications. As second-order models, however, they are sensitive to the presence of outliers-an issue that has not been analyzed so far in the general case of dynamic factors with possibly infinite-dimensional factor spaces (Forni et al. 2000, 2015, 2017). In this paper, we consider this robustness issue and study the impact of additive outliers on the identification, estimation, and forecasting performance of general dynamic factor models. Based on our findings, we propose robust versions of identification, estimation, and forecasting procedures. The finite-sample performance of our methods is evaluated via Monte Carlo experiments and successfully applied to a classical data set of 115 US macroeconomic and financial time series. (C) 2020 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. (AU) | |
| Processo FAPESP: | 16/18599-4 - Modelagem e previsão da volatilidade para dados financeiros de alta dimensão |
| Beneficiário: | Carlos Cesar Trucios Maza |
| Modalidade de apoio: | Bolsas no Brasil - Pós-Doutorado |
| Processo FAPESP: | 18/03012-3 - Técnicas dinâmicas robustas de redução de dimensão para volatilidades |
| Beneficiário: | Carlos Cesar Trucios Maza |
| Modalidade de apoio: | Bolsas no Exterior - Estágio de Pesquisa - Pós-Doutorado |
| Processo FAPESP: | 18/04654-9 - Séries temporais, ondaletas e dados de alta dimensão |
| Beneficiário: | Pedro Alberto Morettin |
| Modalidade de apoio: | Auxílio à Pesquisa - Temático |