Bräuning, Falk; Koopman, Siem Jan - In: International Journal of Forecasting 30 (2014) 3, pp. 572-584
We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with principal components from a large time series panel of macroeconomic indicators using a multivariate unobserved components time...