文章基本信息

标题：Feeding Large Econometric Models by a Mixed Approach of Classical Decomposition of Series and Dynamic Factor Analysis: Application to Wharton-UAM Model
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作者：JULIÁN MORAL CARCEDO ; JULIÁN PÉREZ GARCÍA
期刊名称：Estudios de Economía Aplicada
印刷版ISSN：1133-3197
电子版ISSN：1697-5731
出版年度：2015
卷号：33
期号：3
页码：487-512
语种：English
出版社：Asociación Internacional de Economía Aplicada
摘要：The aim of this article is to submit an applied methodology to design long term scenarios that, many times, are needed to feed large econometric models in their most classical approach of L.R.Klein's legacy. In our proposal we mix the classical decomposition of time series with dynamic factor analysis, which, in fact, is closely linked to most recent Klein's works on High Frequency Models. The methodological approach is illustrated through an application for the set of exogenous variables that shape the international environment of the Wharton-UAM model for the Spanish economy.
其他摘要：The aim of this article is to submit an applied methodology to design long term scenarios that, many times, are needed to feed large econometric models in their most classical approach of L.R.Klein's legacy. In our proposal we mix the classical decomposition of time series with dynamic factor analysis, which, in fact, is closely linked to most recent Klein's works on High Frequency Models. The methodological approach is illustrated through an application for the set of exogenous variables that shape the international environment of the Wharton-UAM model for the Spanish economy.
关键词：Long-term forecast; world growth; structural models; dynamic factor analysis.
其他关键词：Long-term forecast; world growth; structural models; dynamic factor analysis.