This paper considers factor forecasting with national versus factor forecasting withinternational data. We forecast … estimation using targeted predictors following Bai and Ng [Forecasting economic time series using targeted predictors, Journal of … Econometrics 146 (2008), 304-317]. The results are as follows: Forecasting without data preselection favours the use of German data …

in the international data. The largest forecasting accuracy gains from including international predictors are at longer … forecast horizons. The forecasting performance achievable with the data-rich methods differs widely, with shrinkage methods and …

forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the role of dataset …

forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor …. For most of the components, we report that factor models yield lower forecasting errors than a simple AR process or an … improvements in terms of forecasting accuracy are found for more volatile periods, such as the recent financial crisis. However …

This work contains three papers employing common factor methodologies to economic forecasting for Estonia. The methods …