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How successful are dynamic factor models at forecasting output and inflation? A meta‐analytic approach
16 references·16 citing·30 second hopsampled
How successful are dynamic factor models at forecasting output and inflation? A meta‐analytic approach (2008)How successful are dynamic factor models …Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Determining the Number of Primitive Shocks in Factor Models (2006)Determining the Number of Pri…The Generalized Dynamic Factor Model (2005)The Generalized Dynamic Facto…A Meta-Analysis of the International Gender Wage Gap (2005)A Meta-Analysis of the Intern…A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series (2005)A comparison of direct and it…Combination forecasts of output growth in a seven‐country data set (2004)Combination forecasts of outp…Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Wheat From Chaff: Meta-Analysis As Quantitative Literature Review (2001)Wheat From Chaff: Meta-Analys…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…The Generalized Dynamic-Factor Model: Identification and Estimation (2000)The Generalized Dynamic-Facto…Practical Meta-Analysis (2000)Practical Meta-AnalysisForecasting inflation (1999)Forecasting inflationComparing Predictive Accuracy (1994)Comparing Predictive AccuracyMeasuring Business Cycles. (1948)Measuring Business Cycles.Nowcasting food inflation with a massive amount of online prices (2022)Nowcasting food inflation wit…Factor extraction using Kalman filter and smoothing: This is not just another survey (2021)Factor extraction using Kalma…Macroeconomic forecasting for Australia using a large number of predictors (2019)Macroeconomic forecasting for…Dynamic factor model with infinite‐dimensional factor space: Forecasting (2018)Dynamic factor model with inf…Forecasting Inflation with Online Prices (2017)Forecasting Inflation with On…Analyzing International Business and Financial Cycles using Multi-Level Factor Models: A Comparison of Alternative Approaches (2016)Analyzing International Busin…Forecasting with factor-augmented error correction models (2013)Forecasting with factor-augme…Forecasting GDP at the Regional Level with Many Predictors (2013)Forecasting GDP at the Region…Forecasting with Approximate Dynamic Factor Models: The Role of Non-Pervasive Shocks (2011)Forecasting with Approximate …Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis (2011)Classical Time-Varying FAVAR …A large factor model for forecasting macroeconomic variables in South Africa (2011)A large factor model for fore…Forecasting national activity using lots of international predictors: An application to New Zealand (2010)Forecasting national activity…Forecasting large datasets with Bayesian reduced rank multivariate models (2010)Forecasting large datasets wi…Forecasting Euro-Area Recessions Using Time-Varying Binary Response Models for Financial Markets (2009)Forecasting Euro-Area Recessi…Factor forecasting using international targeted predictors: The case of German GDP (2009)Factor forecasting using inte…Are disaggregate data useful for factor analysis in forecasting French GDP? 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References

  • 2000Practical Meta-Analysis9,196 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1999Forecasting inflation1,273 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 2004Combination forecasts of output growth in a seven‐country data set1,138 cited
  • 2001Wheat From Chaff: Meta-Analysis As Quantitative Literature Review948 cited
  • 2005The Generalized Dynamic Factor Model824 cited
  • 2005A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series808 cited
  • 2005A Meta-Analysis of the International Gender Wage Gap709 cited
  • 1948Measuring Business Cycles.563 cited
  • 2006Determining the Number of Primitive Shocks in Factor Models

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540 cited

Cited by

  • 2009Are disaggregate data useful for factor analysis in forecasting French GDP?116 cited
  • 2010Forecasting large datasets with Bayesian reduced rank multivariate models109 cited
  • 2013Forecasting with factor-augmented error correction models82 cited
  • 2009Factor forecasting using international targeted predictors: The case of German GDP69 cited
  • 2011A large factor model for forecasting macroeconomic variables in South Africa62 cited
  • 2017Forecasting Inflation with Online Prices59 cited
  • 2013Forecasting GDP at the Regional Level with Many Predictors57 cited
  • 2009Forecasting Euro-Area Recessions Using Time-Varying Binary Response Models for Financial Markets56 cited
  • 2011Forecasting with Approximate Dynamic Factor Models: The Role of Non-Pervasive Shocks56 cited
  • 2016Analyzing International Business and Financial Cycles using Multi-Level Factor Models: A Comparison of Alternative Approaches51 cited
  • 2010Forecasting national activity using lots of international predictors: An application to New Zealand48 cited
  • 2022Nowcasting food inflation with a massive amount of online prices44 cited
  • 2019Macroeconomic forecasting for Australia using a large number of predictors43 cited
  • 2018Dynamic factor model with infinite‐dimensional factor space: Forecasting42 cited
  • 2011Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis38 cited
  • 2021Factor extraction using Kalman filter and smoothing: This is not just another survey29 cited