product, which in turn are used as an input in the forecasting process. Such forecasts reflect and incorporate the flow of … in a synchronous way. The forecasting power of the dynamic factor model is compared with those of several other models …

forecasting performance, the proposed factor model of the yield curve exhibits substantial incremental predictive value. This …

for forecasting business cycle turning points. When we allow for asymmetry in the long-run volatility component, we find …

The use of large-dimensional factor models in forecasting has received much attention in the literature with the … model which is better suited for forecasting compared to the traditional principal components (PC) approach.We provide an … asymptotic analysis of the estimator and illustrate its merits empirically in a forecasting experiment based on US macroeconomic …

Macroeconomic forecasting using factor models estimated by principal components has become a popular research topic … simply screen datasets prior to estimation and remove anomalous observations.We investigate whether forecasting performance … Carlo simulation studies. Finally, we apply our proposed estimator in a simulated real-time forecasting exercise to test its …

This paper investigates the use of dynamic factor model for forecasting headline and core inflation as well as food … factors' estimation, way of handling "ragged edge" data structure and allowing for the model to change over time. Forecasting …