End-to-end Python implementation of Ma et al.'s (2025) matrix-variate diffusion index models for macroeconomic forecasting. Features α-PCA factor extraction, supervised screening, and ILS estimation for high-dimensional forecasting with preserved structural information.
python numpy matrix-factorization scientific-computing econometrics supervised-learning monte-carlo-simulation quantitative-finance principal-component-analysis dimension-reduction factor-models time-series-analysis statistical-modeling statistical-computing time-series-forecasting financial-modeling high-dimensional-statistics research-replication diffusion-index macroeconomic-forecasting
-
Updated
Aug 10, 2025 - Jupyter Notebook