TY  - BOOK
AU  - Schumacher,Christian
TI  - Factor forecasting using international targeted predictors: the case of German GDP 
T2  - Discussion paper. Series 1: economic studies
SN  - 9783865585141
U1  - 338.5442 21
PY  - 2009///
CY  - Frankfurt am Main
PB  - Deutsche Bundesbank
KW  - PREVISIONES ECONOMICAS
KW  - INDICADORES ECONOMICOS
KW  - DATOS SOCIOECONOMICOS
KW  - ALEMANIA
KW  - PREDICCIONES ECONOMICAS
KW  - PRONOSTICOS ECONOMICOS
KW  - INDICADORES MACROECONOMICOS
N1  - Bibliografía: p. 11-13
N2  - This paper considers factor forecasting with national versus factor forecasting withinternational data. We forecast German GDP based on a large set of about 500 time series, consisting of German data as well as data from Euro-area and G7 countries. For factor estimation, we consider standard principal components as well as variable preselection prior to factor estimation using targeted predictors following Bai and Ng [Forecasting economic time series using targeted predictors, Journal of Econometrics 146 (2008), 304-317]. The results are as follows: Forecasting without data preselection favours the use of German data only, and no additional information content can be extracted from international data. However, when using targeted predictors for variable selection, international data generally improves the forecastability of German GDP
UR  - https://www.econstor.eu/bitstream/10419/27664/1/200910dkp.pdf
ER  -