Artis, Michael J; Banerjee, Anindya; Marcellino, … - C.E.P.R. Discussion Papers - 2002
Time series models are often adopted for forecasting because of their simplicity and good performance. The number of … series models. We find that just six factors are sufficient to explain 50% of the variability of all the variables in the … variables, model it using a dynamic factor model, and compare the resulting forecasts with those from a set of standard time …