Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK

Giovanni Caggiano, George Kapetanios and Vincent Labhard ()

No 1051, Working Paper Series from European Central Bank

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 Classification: C10, C15, C53

Keywords: factors; forecast combinations; large datasets (search for similar items in EconPapers)
Date: 2009-05
New Economics Papers: this item is included in nep-ecm, nep-eec and nep-for
Note: 360650
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Journal Article: Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20091051

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