Castle, Jennifer L.; Clements, Michael P.; Hendry, David F. - In: Journal of Econometrics 177 (2013) 2, pp. 305-319
We consider forecasting with factors, variables and both, modeling in-sample using Autometrics so all principal …-error taxonomy for factor models highlights the impacts of location shifts on forecast-error biases. Forecasting US GDP over 1-, 4 … for nowcasting or short-term forecasting, but their relative performance declines as the forecast horizon increases …