A forecasting performance comparison of dynamic factor models based on static and dynamic methods
We present a comparison of the forecasting performances of three Dynamic Factor Models on a large monthly data panel of macroeconomic and financial time series for the UE economy. The first model relies on static principal-component and was introduced by Stock and Watson (2002a, b). The second is ba...
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| Format: | Article |
| Language: | English |
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Sciendo
2017-03-01
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| Series: | Communications in Applied and Industrial Mathematics |
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| Online Access: | http://www.degruyter.com/view/j/caim.2017.8.issue-1/caim-2017-0003/caim-2017-0003.xml?format=INT |