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
Hauptverfasser:	D' Agostino, Antonello, Giannone, Domenico
Format:	Artikel
Sprache:	eng
Schlagworte:	C31 C52 C53 Comparative analysis Comparative studies Data analysis Economic forecasts Economic models Factor analysis Forecasting techniques Macroeconomics Panel data U.S.A
Online-Zugang:	Volltext
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