We propose a general framework to study whether and how common trends and common cycles are still present when the original variables are linearly aggregated or only a subset of them is analysed. This is particularly important because of the adoption in empirical analysis of aggregated data on a...

This paper develops tests for selection of competing non-linear dynamic models. The null hypothesis is that the models are equally close the Data Generating Process (DGP), according to a certain measure of closeness. The alternative is that one model is closer to the DGP. The models can be...

Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T 1 to T H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that...

In this paper we evaluate the relative merits of three approaches to information extraction from a large data set for forecasting, namely, the use of an automated model selection procedure, the adoption of a factor model, and single-indicator-based forecast pooling. The comparison is conducted...

In this paper we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our evaluation is based on using the variables in the ECB Euro-area model database, plus a set of similar variables for the US. We compare the forecasting performance of each...

The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new methodology for estimating factors from large datasets based on state space models, discuss its...

This paper investigates the effects of temporal aggregation when the aggregation frequency is variable and possibly stochastic. The results that we report include, as a particular case, the well-known results on fixed-interval aggregation, such as when monthly data is aggregated into quarters. A...

We show that the standard condition for MSFE encompassing is no longer valid when the forecasts to be compared are biased. We propose a simple modification of such a condition and of tests for its validity. The relationship between these tests, pooling regressions and tests for non-nested...