English, Article, Journal or magazine article edition: 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; Vincent Labhard

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Bookmark: http://trove.nla.gov.au/version/211490
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  • preprint
Language
  • English

Edition details

Title
  • Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK.
Author
  • Giovanni Caggiano
  • George Kapetanios
  • Vincent Labhard
Physical Description
  • preprint
Notes
  • 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: C100,C150,C530.
  • Factors, Large Datasets, Forecast Combinations.
  • RePEc:ecb:ecbwps:200901051
Language
  • English
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