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Dergiler / European Journal of Pure and Applied Mathematics (elektronik) / 2010 / Cilt: 3 - Sayı: 3

Diffusion index models and index proxies: recent results and new directions

Norman R. SWANSON
Nii Ayi ARMAH
Sayfa
478–501
Yayın Tarihi
2022-11-05
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

We discuss, for example, the construction of factors used in prediction models implemented using diffusion index methodology and approaches that are useful for assessing whether there are observable variables that adequately “proxy” for estimated factors. 2000 Mathematics Subject Classifications: 62M10,62-07

📌 3 Maddede Bu Makale

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Amaç & Hipotez:Diffusion index models have received considerable attention from both theoreticians and empirical econometricians in recent years.
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Temel Bulgular & Veri:In this paper we review some recent results in the study of diffusion index models, focusing primarily on advances due to [4, 5] and [1].
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Sonuç & Katkı:We discuss, for example, the construction of factors used in prediction models implemented using diffusion index methodology and approaches that are useful for assessing whether there are observable variables that adequately “proxy” for estimated factors. 2000 Mathematics Subject Classifications: 62M10,62-07
🔬Tür:Literatür & Derleme Çalışması
📍Kapsam:2000 Verileri
⚙️Değişkenler:Alan Parametreleri

Abstract

Diffusion index models have received considerable attention from both theoreticians and empirical econometricians in recent years. One reason for this is that datasets with many variables are increasingly becoming available and being utilized for economic modelling, and another is that common factors are often assumed to underlie the co-movements of a set of macroeconomic variables. In this paper we review some recent results in the study of diffusion index models, focusing primarily on advances due to [4, 5] and [1]. We discuss, for example, the construction of factors used in prediction models implemented using diffusion index methodology and approaches that are useful for assessing whether there are observable variables that adequately “proxy” for estimated factors. 2000 Mathematics Subject Classifications: 62M10,62-07

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Bu Makaleye Atıf Yap

SWANSON, N. R., ARMAH, N. A. (2022). Diffusion index models and index proxies: recent results and new directions. European Journal of Pure and Applied Mathematics (elektronik), Cilt: 3 - Sayı: 3, 478–501. https://ajindex.com/articles/650430

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