Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - In: Journal of Forecasting 30 (2011) 8, pp. 736-752
Factor-based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...