Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK

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Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK

Author Info

Giovanni Caggiano () (Department of Economics, University of Padua, Via del Santo 33, 35123 Padova, Italy.)
George Kapetanios () (Department of Economics, Queen Mary University of London, Mile End Road, London E1 4NS, United Kingdom.)
Vincent Labhard () (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.)

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Abstract

Factor based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the benefits of combining factor-based forecasts and the choice of the dataset from which to extract the factors remain partly unaddressed. This paper provides a comprehensive empirical investigation of these issues using data for the euro area, the six largest euro area countries, and the UK. JEL Classification: C100,C150,C530.

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Paper provided by European Central Bank in its series Working Paper Series with number 1051.

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Length: 39 pages
Date of creation: May 2009
Date of revision:
Handle: RePEc:ecb:ecbwps:20091051

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This paper has been announced in the following NEP Reports:

NEP-ALL-2009-08-08 (All new papers)
NEP-ECM-2009-08-08 (Econometrics)
NEP-EEC-2009-08-08 (European Economics)
NEP-FOR-2009-08-08 (Forecasting)

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Hansen, Bruce E., 2008. "Least-squares forecast averaging," Journal of Econometrics, Elsevier, vol. 146(2), pages 342-350, October. [Downloadable!] (restricted)

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