| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6716 |
| DP6716 A Policy Insight into the R&D-Patent Relationship | |
| Bruno van Pottelsberghe de la Potterie; Gaétan de Rassenfosse | |
| 发表日期 | 2008-02-22 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We conduct a detailed simulation study of the forecasting performance of diffusion index-based methods in short samples with structural change. We consider several data generation processes, to mimic different types of structural change, and compare the relative forecasting performance of factor models and more traditional time series methods. We find that changes in the loading structure of the factors into the variables of interest are extremely important in determining the performance of factor models. We complement the analysis with an empirical evaluation of forecasts for the key macroeconomic variables of the Euro area and Slovenia, for which relatively short samples are officially available and structural changes are likely. The results are coherent with the findings of the simulation exercise, and confirm the relatively good performance of factor-based forecasts in short samples with structural change. |
| 主题 | International Macroeconomics |
| 关键词 | Factor models forecasts Parameter uncertainty Short samples Structural change Time series models |
| URL | https://cepr.org/publications/dp6716 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535554 |
| 推荐引用方式 GB/T 7714 | Bruno van Pottelsberghe de la Potterie,Gaétan de Rassenfosse. DP6716 A Policy Insight into the R&D-Patent Relationship. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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