{"id":114280,"date":"2024-01-22T18:50:49","date_gmt":"2024-01-22T17:50:49","guid":{"rendered":"https:\/\/www.wifo.ac.at\/publication\/114280\/"},"modified":"2024-11-07T04:20:43","modified_gmt":"2024-11-07T03:20:43","slug":"on-the-design-of-data-sets-for-forecasting-with-dynamic-factor-models","status":"publish","type":"publication","link":"https:\/\/www.wifo.ac.at\/en\/publication\/114280\/","title":{"rendered":"On the Design of Data Sets for Forecasting with Dynamic Factor Models"},"content":{"rendered":"","protected":false},"featured_media":0,"template":"","class_list":["post-114280","publication","type-publication","status-publish","hentry"],"acf":{"subtitle":"","text":"Forecasts from dynamic factor models potentially benefit from refining the data set by eliminating uninformative series. The paper proposes to use forecast weights as provided by the factor model itself for this purpose. Monte Carlo simulations and an empirical application to forecasting euro area, German, and French GDP growth from unbalanced monthly data suggest that both forecast weights and least angle regressions result in improved forecasts. Overall, forecast weights provide yet more robust results.","onlinedate":"2010-07-13 02:00:00","lang":"English","publication_series":"","publication_date":"20100701","publication_date_year":"","publication_date_full":false,"publication_num_pages":"26","keywords":"[\"KP_Berichte_Analysen\"]","jelcodes":"[]","related_publications":"[]","pdf":338586,"zip":null,"link":"","monthly_report":true,"monthly_report_main":false,"monthly_report_volume":"","monthly_report_pages":"","monthly_report_pages_sort":"0","issue":"376","journal":"WIFO Working Papers","publisher":"","invisible":false,"external":false,"embargo_date":null,"types":[44410],"research_groups":[3500],"collaboration":"","persons":[4173],"persons_data":"[{\"personId\":4173,\"personName\":\"Gerhard R\u00fcnstler\",\"organisationNames\":[]}]","clients":[],"subclients":[],"partners":[],"topics":[],"host_publication_title":"","host_publication_subtitle":"","place_of_publication":"","host_publication_editors":"[]","type_description":"","output_media":"","chapter":"","article_number":"","scientific_assistance":"[]","scientific_review":"[]","version":"","release_date":null,"expiration_date":null,"surveyor":"","research_assistance":"","edv":"","additional_info_de":"","additional_info_en":""},"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v27.3 (Yoast SEO v27.3) - 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