Evaluating factor forecasts for the UK: The role of asset prices

@article{Zaher2007EvaluatingFF,
  title={Evaluating factor forecasts for the UK: The role of asset prices},
  author={Fadi M. Zaher},
  journal={International Journal of Forecasting},
  year={2007},
  volume={23},
  pages={679-693}
}
  • F. Zaher
  • Published 2007
  • Economics
  • International Journal of Forecasting
Abstract This paper applies a large data set, consisting of 167 monthly time series for the UK, both economic and financial, to simulate out-of-sample predictions of industrial production, inflation, 3-month Treasury Bills, and other variables. Fifteen dynamic factor models that allow forecasting based on large panels of time series are considered. The performances of these factor models are then compared to the following competing models: a simple univariate autoregressive, a vector… Expand
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