期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2006
出版社：European Central Bank
摘要：This paper compares the predictive ability of the factor models of Stock and Watson (2002) and Forni, Hallin, Lippi, and Reichlin (2005) using a \large" panel of US macroeconomic variables. We propose a nesting procedure of comparison that clari¯es and partially overturns the results of similar exercises in the literature. As in Stock and Watson (2002), we ¯nd that e±ciency improvements due to the weighting of the idiosyncratic components do not lead to signi¯cant more accurate forecasts. In contrast to Boivin and Ng (2005), we show that the dynamic restrictions imposed by the procedure of Forni, Hallin, Lippi, and Reichlin (2005) are not harmful for predictability. Our main conclusion is that for the dataset at hand the two methods have a similar performance and produce highly collinear forecasts
关键词：Factor Models; Forecasting; Large Cross-Section.
