{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,6]],"date-time":"2026-04-06T22:59:54Z","timestamp":1775516394832,"version":"3.50.1"},"reference-count":43,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2018,6,6]],"date-time":"2018-06-06T00:00:00Z","timestamp":1528243200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2018,8]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>The paper compares the pseudo real\u2010time forecasting performance of three dynamic factor models: (i) the standard principal component model introduced by Stock and Watson in 2002; (ii) the model based on generalized principal components, introduced by Forni, Hallin, Lippi, and Reichlin in 2005; (iii) the model recently proposed by Forni, Hallin, Lippi, and Zaffaroni in 2015. We employ a large monthly dataset of macroeconomic and financial time series for the US economy, which includes the Great Moderation, the Great Recession and the subsequent recovery (an update of the so\u2010called Stock and Watson dataset). Using a rolling window for estimation and prediction, we find that model (iii) significantly outperforms models (i) and (ii) in the Great Moderation period for both industrial production and inflation, and that model (iii) is also the best method for inflation over the full sample. However, model (iii) is outperformed by models (ii) and (i) over the full sample for industrial production.<\/jats:p>","DOI":"10.1002\/jae.2634","type":"journal-article","created":{"date-parts":[[2018,6,6]],"date-time":"2018-06-06T09:37:23Z","timestamp":1528277843000},"page":"625-642","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":39,"title":["Dynamic factor model with infinite\u2010dimensional factor space: Forecasting"],"prefix":"10.1002","volume":"33","author":[{"given":"Mario","family":"Forni","sequence":"first","affiliation":[{"name":"University of Modena and Reggio Emilia  Modena Italy"},{"name":"Centre for Economic Policy Research  London UK"},{"name":"Centre for Economic Research (RECent) University of Modena and Reggio Emilia  Modena Italy"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Alessandro","family":"Giovannelli","sequence":"additional","affiliation":[{"name":"Universit\u00e0 di Roma Tor Vergata  Roma Italy"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Marco","family":"Lippi","sequence":"additional","affiliation":[{"name":"Einaudi Institute for Economics and Finance  Rome Italy"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Stefano","family":"Soccorsi","sequence":"additional","affiliation":[{"name":"Lancaster University Management School  Lancaster UK"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2018,6,6]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.spl.2010.08.005"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.9746\/jcmsi.1.284"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1574-8715(07)00204-7"},{"key":"e_1_2_8_6_1","unstructured":"Barigozzi M. Cho H. &Fryzlewicz P.(2016).Simultaneous multiple change\u2010point and factor analysis for high\u2010dimensional time series. Retrieved from arXiv:1612.06928."},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.04.014"},{"issue":"3","key":"e_1_2_8_8_1","first-page":"117","article-title":"Understanding and comparing factor\u2010based forecasts","volume":"1","author":"Boivin J.","year":"2005","journal-title":"International Journal of Central Banking"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.11.008"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.01.006"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/restud\/rdw005"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2015.01.011"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1257"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.2011.00642.x"},{"key":"e_1_2_8_15_1","volume-title":"(Un)Predictability and Macroeconomic Stability (CEPR Discussion Paper 6594)","author":"D'Agostino A.","year":"2007"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.08.011"},{"key":"e_1_2_8_17_1","volume-title":"Dynamic Factor Models with Time\u2010Varying Parameters: Measuring Changes in International Business Cycles (SSRN Scholarly Paper ID 1136163)","author":"Del Negro M.","year":"2008"},{"key":"e_1_2_8_18_1","volume-title":"Forecasting Dutch GDP Using Large Scale Factor Models (DNB Working Paper 2005\/28)","author":"den Reijer A. H. J.","year":"2005"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00225"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.1056"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1017\/S026646660809052X"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465300559037"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214504000002050"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.10.017"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2017.04.002"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1177"},{"key":"e_1_2_8_28_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466614000486"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.2009.00607.x"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.011"},{"key":"e_1_2_8_31_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2318"},{"key":"e_1_2_8_32_1","volume-title":"Estimation of Large Dimensional Factor Models with an Unknown Number of Breaks (Working Paper 05\u20102016)","author":"Ma S.","year":"2016"},{"key":"e_1_2_8_33_1","volume-title":"Unstable diffusion indexes: With an application to bond risk premia (SSRN Scholarly Paper ID 2816534)","author":"Massacci D.","year":"2016"},{"key":"e_1_2_8_34_1","volume-title":"Maximum likelihood estimation of time\u2010varying loadings in high\u2010dimensional factor models (CREATES Research Paper 2015\u201061)","author":"Mikkelsen J. G.","year":"2015"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2010.00319.x"},{"key":"e_1_2_8_36_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6964"},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00198-2"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.1026"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214502388618960"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102317351921"},{"key":"e_1_2_8_41_1","volume-title":"The Evolution of National and Regional Factors in US Housing Construction (Working paper)","author":"Stock J. H.","year":"2008"},{"key":"e_1_2_8_42_1","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199237197.003.0007"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1574-0706(05)01004-9"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.06.018"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.2634","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2634","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.2634","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2634","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,10]],"date-time":"2023-09-10T11:32:28Z","timestamp":1694345548000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2634"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2018,6,6]]},"references-count":43,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2018,8]]}},"alternative-id":["10.1002\/jae.2634"],"URL":"https:\/\/doi.org\/10.1002\/jae.2634","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2018,6,6]]},"assertion":[{"value":"2016-04-11","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-01-16","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-06-06","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}