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Giovanni Caggiano

13 May 2009
WORKING PAPER SERIES - No. 1051
Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK
English
Details
Abstract
Factor based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the benefits 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.
JEL Code
C10 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→General
C15 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→Statistical Simulation Methods: General
C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods