This paper applies large scale factor models to Dutch quarterly data in order to generate forecasts of GDP growth rates … structural model for the Netherlands sup- plemented with leading indicator variables. In a pseudo out-of-sample forecasting … forecasting performance of the factor models. However, only the dynamic factor model systematically outper- forms and encompasses …

We compare the factor forecasting performance of nested specifications of the generalized factor model based on various …, the factors being well fit, however, generally do not show improved forecasting performance. Copyright Springer …

relate to the forecasting environment (which cannot be influenced by the forecasters). Among the variables capturing the … forecasting design (which can, by contrast, be influenced by the forecasters), the size of the dataset from which factors are … unbalanced panel, whether restrictions implied by the factor structure are imposed in the forecasting equation or not and whether …

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

extraction method, number of factors, data aggregation level and forecast equation type on the forecasting performance are … analyzed. Moreover, the effect of using certain data blocks such as interest rates on the forecasting performance is evaluated … as well. Out-of-sample forecasting exercise is conducted for two consecutive periods to assess the stability of the …

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …