EconPapers    
Economics at your fingertips  
 

Dynamic Factor model with infinite dimensional factor space: forecasting

Mario Forni (), Alessandro Giovannelli (), Marco Lippi () and Stefano Soccorsi ()

Center for Economic Research (RECent) from University of Modena and Reggio E., Dept. of Economics "Marco Biagi"

Abstract: The paper compares the pseudo real-time forecasting performance of three Dynamic Factor Models: (i) The standard principal-component model, Stock and Watson (2002a), (ii) The model based on generalized principal components, Forni et al. (2005), (iii) The model recently proposed in Forni et al. (2015) and Forni et al. (2016). We employ a large monthly dataset of macroeconomic and financial time series for the US economy, which includes the Great Moderation, the Great Recession and the subsequent recovery. Using a rolling window for estimation and prediction, we find that (iii) neatly outperforms (i) and (ii) in the Great Moderation period for both Industrial Production and Inflation, and for Inflation over the full sample. However, (iii) is outperformed by (i) and (ii) over the full sample for Industrial Production.

New Economics Papers: this item is included in nep-ets, nep-for and nep-pke
Date: 2016-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13) Track citations by RSS feed

Downloads: (external link)
http://155.185.68.2/campusone/web_dep/Recentpaper/recent-wp120.pdf (application/pdf)

Related works:
Journal Article: Dynamic factor model with infinite‐dimensional factor space: Forecasting (2018) Downloads
Working Paper: Dynamic Factor model with infinite dimensional factor space: forecasting (2016) Downloads
Working Paper: Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mod:recent:120

Access Statistics for this paper

More papers in Center for Economic Research (RECent) from University of Modena and Reggio E., Dept. of Economics "Marco Biagi" Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-10-17
Handle: RePEc:mod:recent:120