Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153485
Authors: 
Caggiano, Giovanni
Kapetanios, George
Labhard, Vincent
Year of Publication: 
2009
Series/Report no.: 
ECB Working Paper 1051
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.
Subjects: 
Factors
Forecast Combinations
Large Datasets
JEL: 
C10
C15
C53
Document Type: 
Working Paper

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