Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK

Factor based forecasting has been at the forefront of developments in the macroeconometricforecasting literature in the recent past. Despite the flurry of activityin the area, a number of specification issues such as the choice of the number offactors in the forecasting regression, the benefits of combining factor-based forecastsand the choice of the dataset from which to...

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Year of publication:	2009-05-13
Authors:	Caggiano, Giovanni ; apetanios, George ; Labhard, Vincent
Institutions:	European Central Bank
Published in:	Working papers published in 2009 ECB Working Paper Series No 1051, May 2009
Subject:	Statistik \| Datensatz \| Datasets \| Kriterium

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Abstract
Non-technical summary
1 Introduction
2 Forecasting with large datasets:specifi cation issues
3 Data
4 Empirical analysis
5 Concluding remarks
References
Tables
Appendix
European Central Bank Working Paper Series

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