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 …

yield considerable improvements over naive AR benchmarks. We also analyze pooling across forecasting methodologies. We find …

benchmarks. More data does not necessarily improve forecasting accuracy: For the factor model, adding monthly indicators from … national economies can lead to more uneven forecasting accuracy, notably when forecasting components of euro area GDP during … more difficulties beating the PMI model, with relatively large errors in forecasting some countries or components of euro …

The good forecasting performance of factor models has been well documented in the literature. While many studies focus … on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at … disaggregated levels to examine the source of the improved forecasting accuracy, relative to a simple autoregressive model. We use …

economic uncertainty. These results show that credit availability should be taken into account when modeling and forecasting …

or quarterly data supplied by central statistical agencies for macroeconomic modelling and forecasting. However …