In this paper, an adaptive smoothing forecasting approach based on evolutionary spectra as developed by Rao and Shapiro (1970) is applied to the 3003 time series of various types and lengths used in the M3-Competition (Makridakis and Hibon, 2000). Comparisons of out-of-sample forecasts are made...

This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate...

This paper discusses the forecasting performance of alternative factor models based on a large panel of quarterly time series for the german economy. One model extracts factors by static principals components analysis, the other is based on dynamic principal components obtained using frequency...