Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/128924
Authors: 
Rünstler, Gerhard
Year of Publication: 
2010
Series/Report no.: 
WIFO Working Papers 376
Abstract: 
Forecasts from dynamic factor models potentially benefit from refining the data set by eliminating uninformative series. The paper proposes to use forecast weights as provided by the factor model itself for this purpose. Monte Carlo simulations and an empirical application to forecasting euro area, German, and French GDP growth from unbalanced monthly data suggest that both forecast weights and least angle regressions result in improved forecasts. Overall, forecast weights provide yet more robust results.
Document Type: 
Working Paper

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