Factor forecasting using international targeted predictors: The case of German GDP

Christian Schumacher

Economics Letters, 2010, vol. 107, issue 2, 95-98

Abstract: Papers on factor forecasting are often focused on national data only. This paper highlights the role of international data for forecasting German GDP and shows how targeted predictors as proposed by Bai and Ng [Forecasting economic time series using targeted predictors, Journal of Econometrics 146 (2008), 304-317] can improve forecast accuracy.

Keywords: Forecasting; Factor; models; International; data; Variable; selection (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (51)

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Working Paper: Factor forecasting using international targeted predictors: the case of German GDP (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:107:y:2010:i:2:p:95-98

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