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- W2529059826 abstract "Summary This paper discusses a large-scale factor model for the German economy, Following the recent literature, a data set of 121 time series is used to determine the factors by principal component analysis. The factors enter a linear dynamic model for German GDP. To evaluate its empirical properties, the model is compared with alternative univariate and multivariate models. These simpler models are based on regression techniques and considerably smaller data sets. Empirical forecast tests show that the large-scale factor model almost always encompasses its rivals. More over, out-of-sample forecasts of the large-scale factor model have smaller prediction errors than the forecasts of the alternative models. However, these advantages are not statistically significant, as a test for equal forecast accuracy shows. Therefore, the efficiency gains of using a large data set with this kind of factor models seem to be limited." @default.
- W2529059826 created "2016-10-14" @default.
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- W2529059826 date "2004-01-01" @default.
- W2529059826 modified "2023-09-27" @default.
- W2529059826 title "Die Schätzung von großen Faktormodellen für die deutsche Volkswirtschaft: Übertreffen sie einfachere Modelle?" @default.
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