In this paper we explore the performance of bridge and factor models in forecasting quarterly aggregates in the very … outperform naive forecasts and compare favorably against factor models. Results for France, Germany, Spain and the euro area …

In recent years, factor models have received increasing attention from both econometricians and practitioners in the …

series data. Those methods rely on various factor models whichall are particular cases of the Generalized Dynamic Factor …

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 …

superior to most of the single indicator models. Pooling information with the use of factor models gives even better results … and combine first the forecasts within each class of models and then the information in the dataset by means of factor … models, in a pseudo real-time framework. Anticipating some of the results, MIDAS without an AR component performs worse than …

Factor models have been applied extensively for forecasting when high dimensional datasets are available. In this case …, the number of variables can be very large. For instance, usual dynamic factor models in central banks handle over 100 …