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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

Citations

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Cited by:

  1. Katja Drechsel & Laurent Maurin, 2011. "Flow of conjunctural information and forecast of euro area economic activity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(3), pages 336-354, April.
  2. Marie Bessec, 2013. "Short‐Term Forecasts of French GDP: A Dynamic Factor Model with Targeted Predictors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 500-511, September.
  3. Poncela, Pilar, 2012. "More is not always better : back to the Kalman filter in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS ws122317, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. repec:dau:papers:123456789/10079 is not listed on IDEAS
  5. Ard Reijer, 2013. "Forecasting Dutch GDP and inflation using alternative factor model specifications based on large and small datasets," Empirical Economics, Springer, vol. 44(2), pages 435-453, April.
  6. Hanan Naser, 2015. "Estimating and forecasting Bahrain quarterly GDP growth using simple regression and factor-based methods," Empirical Economics, Springer, vol. 49(2), pages 449-479, September.
  7. Alessandro Girardi & Roberto Golinelli & Carmine Pappalardo, 2017. "The role of indicator selection in nowcasting euro-area GDP in pseudo-real time," Empirical Economics, Springer, vol. 53(1), pages 79-99, August.
  8. Julieta Fuentes & Pilar Poncela & Julio Rodríguez, 2015. "Sparse Partial Least Squares in Time Series for Macroeconomic Forecasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 576-595, June.
  9. Siliverstovs Boriss & Kholodilin Konstantin A., 2012. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(4), pages 429-444, August.
  10. Sauvenier, Mathieu & Van Bellegem, Sébastien, 2023. "Goodness-of-fit test in high-dimensional linear sparse models," LIDAM Discussion Papers CORE 2023008, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  11. an de Meulen, Philipp, 2015. "Das RWI-Kurzfristprognosemodell," RWI Konjunkturberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, vol. 66(2), pages 25-46.
  12. Bessonovs, Andrejs, 2011. "GDP Modelling with Factor Model: an Impact of Nested Data on Forecasting Accuracy," MPRA Paper 30211, University Library of Munich, Germany.
  13. Oguzhan Cepni & I. Ethem Guney & Norman R. Swanson, 2020. "Forecasting and nowcasting emerging market GDP growth rates: The role of latent global economic policy uncertainty and macroeconomic data surprise factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 18-36, January.
  14. Evren Erdogan Cosar & Sevim Kosem & Cagri Sarikaya, 2013. "Do We Really Need Filters In Estimating Output Gap? : Evidence From Turkey," Working Papers 1333, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  15. Germán López, 2015. "Forecast Accuracy of Small and Large Scale Dynamic Factor Models in Developing Economies," Working Papers. Serie AD 2015-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  16. Mandalinci, Zeyyad, 2017. "Forecasting inflation in emerging markets: An evaluation of alternative models," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1082-1104.
  17. Bušs, Ginters, 2009. "Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach," MPRA Paper 16684, University Library of Munich, Germany.
  18. Cubadda, Gianluca & Guardabascio, Barbara, 2012. "A medium-N approach to macroeconomic forecasting," Economic Modelling, Elsevier, vol. 29(4), pages 1099-1105.
  19. Alain Galli & Christian Hepenstrick & Rolf Scheufele, 2019. "Mixed-Frequency Models for Tracking Short-Term Economic Developments in Switzerland," International Journal of Central Banking, International Journal of Central Banking, vol. 15(2), pages 151-178, June.
  20. Carstensen Kai & Wohlrabe Klaus & Ziegler Christina, 2011. "Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 82-106, February.
  21. Červená, Marianna & Schneider, Martin, 2014. "Short-term forecasting of GDP with a DSGE model augmented by monthly indicators," International Journal of Forecasting, Elsevier, vol. 30(3), pages 498-516.
  22. Bessonovs, Andrejs, 2010. "Faktoru modeļu agregēta un dezagregēta pieeja IKP prognožu precizitātes mērīšanā [Measuring GDP forecasting accuracy using factor models: aggregated vs. disaggregated approach]," MPRA Paper 30386, University Library of Munich, Germany.
  23. Cubadda, Gianluca & Guardabascio, Barbara, 2019. "Representation, estimation and forecasting of the multivariate index-augmented autoregressive model," International Journal of Forecasting, Elsevier, vol. 35(1), pages 67-79.
  24. Pilar Poncela & Esther Ruiz, 2016. "Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 401-434, Emerald Group Publishing Limited.
  25. Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, vol. 29(6), pages 2174-2182.
  26. Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.
  27. Derek Bunn, Julien Chevallier, Yannick Le Pen, and Benoit Sevi, 2017. "Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  28. Irma Hindrayanto & Siem Jan Koopman & Jasper de Winter, 2014. "Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components," Tinbergen Institute Discussion Papers 14-113/III, Tinbergen Institute.
  29. Hindrayanto, Irma & Koopman, Siem Jan & de Winter, Jasper, 2016. "Forecasting and nowcasting economic growth in the euro area using factor models," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1284-1305.
  30. Müller-Kademann Christian, 2015. "Internal Validation of Temporal Disaggregation: A Cloud Chamber Approach," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 235(3), pages 298-319, June.
  31. repec:dau:papers:123456789/11692 is not listed on IDEAS
  32. repec:ipg:wpaper:2014-414 is not listed on IDEAS
  33. Bellégo, C. & Ferrara, L., 2012. "Macro-financial linkages and business cycles: A factor-augmented probit approach," Economic Modelling, Elsevier, vol. 29(5), pages 1793-1797.
  34. Hauber, Philipp, 2022. "Real-time nowcasting with sparse factor models," EconStor Preprints 251551, ZBW - Leibniz Information Centre for Economics.
  35. Pérez-Quirós, Gabriel & Camacho, Máximo & Alvarez, Rocio, 2012. "Finite sample performance of small versus large scale dynamic factor models," CEPR Discussion Papers 8867, C.E.P.R. Discussion Papers.
  36. Nicoletta Pashourtidou & Christos Papamichael & Charalampos Karagiannakis, 2018. "Forecasting economic activity in sectors of the Cypriot economy," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 12(2), pages 24-66, December.
  37. Alvarez, Rocio & Camacho, Maximo & Perez-Quiros, Gabriel, 2016. "Aggregate versus disaggregate information in dynamic factor models," International Journal of Forecasting, Elsevier, vol. 32(3), pages 680-694.
  38. Christiana Anaxagorou & Nicoletta Pashourtidou, 2022. "Forecasting economic activity using preselected predictors: the case of Cyprus," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 16(1), pages 11-36, June.
  39. Kitlinski, Tobias & an de Meulen, Philipp, 2015. "The role of targeted predictors for nowcasting GDP with bridge models: Application to the Euro area," Ruhr Economic Papers 559, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  40. Solikin M. Juhro & Bernard Njindan Iyke, 2019. "Forecasting Indonesian Inflation Within An Inflation-Targeting Framework: Do Large-Scale Models Pay Off?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 22(4), pages 423-436, December.
  41. repec:dau:papers:123456789/11663 is not listed on IDEAS
  42. Aysun, Uluc & Wright, Cardel, 2024. "A two-step dynamic factor modelling approach for forecasting inflation in small open economies," Emerging Markets Review, Elsevier, vol. 62(C).
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