-PC technique is proposed. To determine the practical usefulness of the model, several pseudo forecasting exercises on 8 series of …», namely 1984. After 1984, FNN-PC has the same accuracy in forecasting with respect to the benchmark. …

In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields …. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns …. These factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates. …

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to improve the … forecasting performance. …

to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional …

In this paper, the dynamic common factors method of Forni et al. (2000) is applied to a large panel of economic time … series on the Estonian economy. In order to improve forecasting of economic activity in Estonia, we derive a leading …

-PC technique is proposed. To determine the practical usefulness of the model, several pseudo forecasting exercises on 8 series of …", namely 1984. After 1984, FNN-PC has the same accuracy in forecasting with respect to the benchmark. …

This paper studies the role of non-pervasive shocks when forecasting with factor models. To this end, we first … model for the idiosyncratic component. Then, we test the forecasting performance of this model both in simulations, and on a …

We show that two macroeconomic factors have an important predictive content for governmentbond yields and excess … returns. These factors are not spanned by the cross-section of yields andare well proxied by economic growth and real interest …

forecasting accuracy and then perform a structural exercise focused on the effect of a monetary policy shock on the macroeconomy …. Results show that BVARs estimated on the basis of hundred variables perform well in forecasting and are suitable for …