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Band-Pass Filtering with High-Dimensional Time Series
The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic product (GDP), into the space spanned by a finite number of smooth principal components, representative of the medium-to-long-run component of economic growth of a high-dimensional time series, available at the monthly frequency.
The Forecasting performance of the Factor model with Martingale Difference errors
This paper analyses the forecasting performance of a new class of factor models with martingale difference errors (FMMDE) recently introduced by Lee and Shao (2018).
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