We propose a dynamic factor model which we use to analyze the relationship between education participation and national unemployment, as well as to forecast the number of students across the many different types of education. By clustering the factor loadings associated with the dynamic...

We present a comparison of the forecasting performances of three Dynamic Factor Models on a large monthly data panel of macroeconomic and financial time series for the UE economy. The first model relies on static principal-component and was introduced by Stock and Watson. The second is based on...

In this paper we propose to exploit the heterogeneity of forecasts produced by different model specifications to measure forecast uncertainty. Our approach is simple and intuitive.It consists in selecting all the models that outperform some benchmark model, and then to construct an empirical...

In this paper, we exploit the heterogeneity in the forecasts obtained by estimating different factor models to measure forecast uncertainty. Our approach is simple and intuitive. It consists first in selecting all the models that outperform some benchmark model, and then in constructing an...

This paper presents a dynamic model averaging approach for forecasting nominal exchange rates, which is a novel approach in exchange rate forecasting literature. This framework encompasses most of the approaches commonly used in the forecasting literature. We focus on nine major trading currency...