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Macroeconomic Forecasting Using Diffusion Indexes

✍ Scribed by James H. Stock and Mark W. Watson


Book ID
124714323
Publisher
American Statistical Association
Year
2002
Tongue
English
Weight
493 KB
Volume
20
Category
Article
ISSN
0735-0015

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## Abstract The simplicity of the standard diffusion index model of Stock and Watson has certainly contributed to its success among practitioners, resulting in a growing body of literature on factor‐augmented forecasts. However, as pointed out by Bai and Ng, the ranked factors considered in the for