Bańbura, Marta; Rünstler, Gerhard - In: International Journal of Forecasting 27 (2011) 2, pp. 333-346
We derive forecast weights and uncertainty measures for assessing the roles of individual series in a dynamic factor model (DFM) for forecasting the euro area GDP from monthly indicators. The use of the Kalman smoother allows us to deal with publication lags when calculating the above measures....