. Design/methodology/approach The paper develops a unified dynamic factor model based on Diebold and Li (2006) and Nelson and … find that the dynamic factor model produces the best in-sample fit, and it dominates existing models in medium- and long …-horizon yield curve forecasting performance. Research limitations/implications The authors find that the dynamic factor model and …

This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor … model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range …

This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor … model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range …