This paper discusses the forecasting performance of alternative factor models based on a large panel of quarterly time … space models. Out-of-sample forecasts show that the prediction errors of the factor models are generally smaller than the … simulation design. Therefore, the application of the dynamic factor models seems to provide only small forecasting improvements …

techniques such as intercept corrections are also evaluated. We find that factor models work well in general, although with …, a large number of macroeconomic variables (for a given time span) are available, making the class of dynamic factor … models a reasonable alternative forecasting tool. The relative performance of these two forecasting approaches is compared by …

variables. Throughout this extensive research activity on large dimensional factor models a major preoccupation has been the … large dimensional factor models. The new method is robust to considerable cross-sectional and temporal dependence. The …

factor models with many series, using data that begin in the early 1960s. The resulting monthly and quarterly indices both …