✦ LIBER ✦
Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK
✍ Scribed by Giovanni Caggiano; George Kapetanios; Vincent Labhard
- Publisher
- John Wiley and Sons
- Year
- 2011
- Tongue
- English
- Weight
- 115 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0277-6693
- DOI
- 10.1002/for.1208
No coin nor oath required. For personal study only.
✦ Synopsis
Factor-based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in the recent past. Despite the fl urry of activity in the area, a number of specifi cation issues such as the choice of the number of factors in the forecasting regression, the benefi ts of combining factor-based forecasts and the choice of the dataset from which to extract the factors remain partly unaddressed. This paper provides a comprehensive empirical investigation of these issues using data for the euro area, the six largest euro area countries, and the UK.