IDEAS home Printed from https://ideas.repec.org/a/jof/jforec/v30y2011i8p736-752.html
   My bibliography  Save this article

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

Author

Listed:
  • Giovanni Caggiano
  • George Kapetanios
  • Vincent Labhard

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. Copyright (C) 2011 John Wiley & Sons, Ltd.

Suggested Citation

  • Giovanni Caggiano & George Kapetanios & Vincent Labhard, 2011. "Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(8), pages 736-752, December.
  • Handle: RePEc:jof:jforec:v:30:y:2011:i:8:p:736-752
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1002/for.1208
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Hansen, Bruce E., 2008. "Least-squares forecast averaging," Journal of Econometrics, Elsevier, vol. 146(2), pages 342-350, October.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    factors ; large datasets ; forecast combinations ;

    JEL classification:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:30:y:2011:i:8:p:736-752. 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). General contact details of provider: http://www3.interscience.wiley.com/cgi-bin/jhome/2966 .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.