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

DOI10.1002/for.1208zbMath1248.91073OpenAlexW2153578785MaRDI QIDQ3166696

Vincent Labhard, Giovanni Caggiano, George Kapetanios

Publication date: 15 October 2012

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1208

zbMATH Keywords

factorsforecast combinationslarge datasets

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Uses Software

• PcGets

Cites Work

• Approximately normal tests for equal predictive accuracy in nested models
• Are more data always better for factor analysis?
• Least-squares forecast averaging
• Forecasting using predictive likelihood model averaging
• The generalized dynamic factor model consistency and rates
• Pooling of forecasts
• Asymptotic Inference about Predictive Ability
• Determining the Number of Factors in Approximate Factor Models
• Computer automation of general-to-specific model selection procedures

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