, therefore, other methods should be also considered. Performance of several factor models, which relate the factor extraction … variables’ absolute correlation with GDP, was explored in greater detail. Although factor models performed better than naive … variables, which might indicate that for the case of the Lithuanian economy, a smaller scale factor models may be more suitable. …

Due to their well-known indeterminacies, factor models require identifying assumptions to guarantee unique parameter …

allowing for the economic interpretation of the data. We do also forecast German GDP by dynamic factor models. The combination …

-error taxonomy for factor models highlights the impacts of location shifts on forecast-error biases.  Forecasting US GDP over 1-, 4 …- and 8-step horizons using the dataset from Stock and Watson (2009) updated to 2011:2 shows factor models are more useful …

While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the … models over different samples, including the recent financial crisis. To do so, we construct factor models to forecast … 1991 to 2010. Overall, we find that factor models perform well at tracking GDP movements and anticipating turning points …

In this paper we study factor models for security returns on financial markets, where some pervasive factors are common …