Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK

39 Pages Posted: 13 May 2009

See all articles by Giovanni Caggiano

Giovanni Caggiano

Department of Economics, Monash University; University of Padova

George Kapetanios

King's College, London

Vincent Labhard

European Central Bank (ECB) - Directorate General Economics

Date Written: May 13, 2009

Abstract

Factor based forecasting has been at the forefront of developments in the macro-econometric 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.

Keywords: Factors, Large Datasets, Forecast Combinations

JEL Classification: C100, C150, C530

Suggested Citation

Caggiano, Giovanni and Kapetanios, George and Labhard, Vincent, Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK (May 13, 2009). ECB Working Paper No. 1051, Available at SSRN: https://ssrn.com/abstract=1393646

Giovanni Caggiano

Department of Economics, Monash University ( email )

900 Dandenong Road
Caulfield East, Victoria 3145
Australia

HOME PAGE: http://https://sites.google.com/site/giovannicaggiano72/CV/home

University of Padova ( email )

Via 8 Febbraio, 2
Padova, Vicenza 35122
Italy

George Kapetanios

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

Vincent Labhard (Contact Author)

European Central Bank (ECB) - Directorate General Economics ( email )

Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany

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