| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6588 |
| DP6588 Advance Information and Asset Prices | |
| Rui Albuquerque; Jianjun Miao | |
| 发表日期 | 2007-11-29 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 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 clarifies and partially overturns the results of similar exercises in the literature. Our main conclusion is that for the dataset at hand the two methods have a similar performance and produce highly collinear forecasts. |
| 主题 | International Macroeconomics |
| 关键词 | Factor models Forecasting Large cross-section |
| URL | https://cepr.org/publications/dp6588 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535426 |
| 推荐引用方式 GB/T 7714 | Rui Albuquerque,Jianjun Miao. DP6588 Advance Information and Asset Prices. 2007. |
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