Blaskowitz, Oliver J.; Herwartz, Helmut; Cadenas … - 2005
structure. To evaluate ex-ante forecasting performance for particular short, medium and long term rates and for the level, slope …, we propose a data driven, adaptive model selection strategy to 'predict the best forecasting model' out of a set of 100 … alternative implementations of the PCA/VAR model. This approach is shown to outperform forecasting schemes relying on global …