Advanced Search
MyIDEAS: Login to save this article or follow this journal

How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach

Contents:

Author Info

  • Sandra Eickmeier

    (Deutsche Bundesbank, Economic Research Centre, Frankfurt am Main and University of Cologne, Germany)

  • Christina Ziegler

    (University of Leipzig and Ifo Institute for Economic Research, Munich, Germany)

Abstract

This paper uses a meta-analysis to survey existing factor forecast applications for output and inflation and assesses what causes large factor models to perform better or more poorly at forecasting than other models. Our results suggest that factor models tend to outperform small models, whereas factor forecasts are slightly worse than pooled forecasts. Factor models deliver better predictions for US variables than for UK variables, for US output than for euro-area output and for euro-area inflation than for US inflation. The size of the dataset from which factors are extracted positively affects the relative factor forecast performance, whereas pre-selecting the variables included in the dataset did not improve factor forecasts in the past. Finally, the factor estimation technique may matter as well. Copyright © 2008 John Wiley & Sons, Ltd.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/10.1002/for.1056
File Function: Link to full text; subscription required
Download Restriction: no

Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 27 (2008)
Issue (Month): 3 ()
Pages: 237-265

as in new window
Handle: RePEc:jof:jforec:v:27:y:2008:i:3:p:237-265

Contact details of provider:
Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:27:y:2008:i:3:p:237-265. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.