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Comparing Alternative Predictors Based on Large-Panel Factor Models

✍ Scribed by Antonello D’ Agostino; Domenico Giannone

Book ID
111047083
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
282 KB
Volume
74
Category
Article
ISSN
0140-5543

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## Abstract This paper discusses the forecasting performance of alternative factor models based on a large panel of quarterly time series for the German economy. One model extracts factors by static principal components analysis; the second model is based on dynamic principal components obtained us