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Short-term forecasting of the Japanese economy using factor models
Godbout, Claudia; Lombardi, Marco J. - European Central Bank - 2012
forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor …. For most of the components, we report that factor models yield lower forecasting errors than a simple AR process or an … improvements in terms of forecasting accuracy are found for more volatile periods, such as the recent financial crisis. However …
Persistent link: https://www.econbiz.de/10010538810
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Forecasting economic growth in the euro area during the Great Moderation and the Great Recession
Lombardi, Marco J.; Maier, Philipp - European Central Bank - 2011
We evaluate forecasts for the euro area in data-rich and ‘data-lean’ environments by comparing three different approaches: a simple PMI model based on Purchasing Managers’ Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus...
Persistent link: https://www.econbiz.de/10009293720
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Short-term forecasting of the Japanese economy using factor models
Godbout, Claudia; Lombardi, Marco J. - European Central Bank - 2012
forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor …. For most of the components, we report that factor models yield lower forecasting errors than a simple AR process or an … improvements in terms of forecasting accuracy are found for more volatile periods, such as the recent financial crisis. However …
Persistent link: https://www.econbiz.de/10010686833