Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a … regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in … macroeconomic policy analysis and forecasting. By means of an empirical application we demonstrate that these models turn out to be …

surveying best linear unbiased prediction under various assumptions of the disturbance term. This includes various ARMA models … as well as spatial autoregressive models. The paper also surveys how these forecasts have been used in panal data … applications, running horse races between heterogeneous and homogeneous panel data models using out of sample forecasts. …

forecasters combine different models of exchange rate forecasting, while others rely solely on one model. We also find evidence …