{"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":"","citations":"{\"apa\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_apa rendering_contributiontoperiodical rendering_apa rendering_contributiontoperiodical_apa\\\"><span>R\u00fcnstler, G.<\\\/span> (2010). <span>On the Design of Data Sets for Forecasting with Dynamic Factor Models<\\\/span>. <span><em>WIFO Working Papers<\\\/em><\\\/span>, (376). <a onclick=\\\"window.open(this.href, '_blank','noopener,noreferrer'); return false;\\\" href=\\\"https:\\\/\\\/www.wifo.ac.at\\\/wwa\\\/pubid\\\/40093\\\" class=\\\"link\\\"><span>https:\\\/\\\/www.wifo.ac.at\\\/wwa\\\/pubid\\\/40093<\\\/span><\\\/a><\\\/div>\",\"vancouver\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_vancouver rendering_contributiontoperiodical rendering_vancouver rendering_contributiontoperiodical_vancouver\\\"><span>R\u00fcnstler G<\\\/span>. <span class=\\\"title\\\"><span>On the Design of Data Sets for Forecasting with Dynamic Factor Models<\\\/span><\\\/span>. <span>WIFO Working Papers<\\\/span>. 2010 Jul;(376).<\\\/div>\",\"bibtex\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_bibtex rendering_contributiontoperiodical rendering_bibtex rendering_contributiontoperiodical_bibtex\\\"><div>@misc{940fdee6642e4ae49499db4b4750131d,<\\\/div><div>  title    = \\\"On the Design of Data Sets for Forecasting with Dynamic Factor Models\\\",<\\\/div><div>  abstract = \\\"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.\\\",<\\\/div><div>  keywords = \\\"KP\\\\_Berichte\\\\_Analysen, KP\\\\_Berichte\\\\_Analysen\\\",<\\\/div><div>  author   = \\\"Gerhard R{\\\\\\\"u}nstler\\\",<\\\/div><div>  year     = \\\"2010\\\",<\\\/div><div>  month    = jul,<\\\/div><div>  language = \\\"English\\\",<\\\/div><div>  journal  = \\\"WIFO Working Papers\\\",<\\\/div><p>}<\\\/p><\\\/div>\",\"ris\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_ris rendering_contributiontoperiodical rendering_ris rendering_contributiontoperiodical_ris\\\"><p>TY  - GEN<\\\/p><p>T1  - On the Design of Data Sets for Forecasting with Dynamic Factor Models<\\\/p><p>AU  - R\u00fcnstler, Gerhard<\\\/p><p>PY  - 2010\\\/7<\\\/p><p>Y1  - 2010\\\/7<\\\/p><p>N2  - 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.<\\\/p><p>AB  - 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.<\\\/p><p>KW  - KP_Berichte_Analysen<\\\/p><p>KW  - KP_Berichte_Analysen<\\\/p><p>M3  - WIFO series<\\\/p><p>JO  - WIFO Working Papers<\\\/p><p>JF  - WIFO Working Papers<\\\/p><p>ER  - <\\\/p><\\\/div>\"}","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 v28.0 (Yoast SEO v28.0) - https:\/\/yoast.com\/product\/yoast-seo-premium-wordpress\/ -->\n<title>On the Design of Data Sets for Forecasting with Dynamic Factor Models - WIFO<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.wifo.ac.at\/en\/publication\/114280\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"On the Design of Data Sets for Forecasting with Dynamic Factor Models\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.wifo.ac.at\/en\/publication\/114280\/\" \/>\n<meta property=\"og:site_name\" content=\"WIFO\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/WIFOat\/\" \/>\n<meta property=\"article:modified_time\" content=\"2024-11-07T03:20:43+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.wifo.ac.at\/wp-content\/uploads\/2024\/05\/WIFO-Gebaeude-FotoAlexanderMueller-www.alexandermueller.at-IMG_6326-Bearbeitet-1.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"1920\" \/>\n\t<meta property=\"og:image:height\" content=\"1280\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:site\" content=\"@WIFOat\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/114280\\\/\",\"url\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/114280\\\/\",\"name\":\"On the Design of Data Sets for Forecasting with Dynamic Factor Models - 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