Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - 2003 - [Elektronische Ressource]
This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is based on the generalized dynamic factor model proposed in Forni, Hallin, Lippi, and Reichlin (2000), and takes advantage of the information on the dynamic covariance structure...
