Comparing Alternative Predictors Based on Large-Panel Factor Models
This article compares the predictive ability of the factor models of Stock and Watson (2002a) and Forni, Hallin, Lippi and Reichlin (2005) using a ‘large’ panel of macroeconomic variables of the United States. We propose a nesting procedure of comparison that clarifies and partially overturns the re...
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| Veröffentlicht in: | Oxford bulletin of economics and statistics 2012-04, Vol.74 (2), p.306-326 |
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| container_title | Oxford bulletin of economics and statistics |
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| creator | D' Agostino, Antonello Giannone, Domenico |
| description | This article compares the predictive ability of the factor models of Stock and Watson (2002a) and Forni, Hallin, Lippi and Reichlin (2005) using a ‘large’ panel of macroeconomic variables of the United States. We propose a nesting procedure of comparison that clarifies and partially overturns the results of similar exercises in the literature. Our main conclusion is that with the dataset at hand the two methods have a similar performance and produce highly collinear forecasts. |
| doi_str_mv | 10.1111/j.1468-0084.2011.00642.x |
| format | Article |
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| language | eng |
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| source | RePEc; Wiley Online Library Journals Frontfile Complete; Business Source Complete |
| subjects | C31 C52 C53 Comparative analysis Comparative studies Data analysis Economic forecasts Economic models Factor analysis Forecasting techniques Macroeconomics Panel data U.S.A |
| title | Comparing Alternative Predictors Based on Large-Panel Factor Models |
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