Marcellino, Massimiliano; Schumacher, Christian - In: Oxford Bulletin of Economics and Statistics 72 (2010) 4, pp. 518-550
In this article, we merge two strands from the recent econometric literature. First, factor models based on large sets of macroeconomic variables for forecasting, which have generally proven useful for forecasting. However, there is some disagreement in the literature as to the appropriate...