We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis … forecasting purposes. Given a dynamic factor model as the data generation process, we provide Monte Carlo evidence for the finite … unbalanced panel contain quarterly and monthly variables. The forecasting accuracy is measured against a set of benchmark models …

explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

construction methods, we find that this procedure leads to better interpretable factors and to a favorable forecasting performance …