{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,3]],"date-time":"2026-08-03T17:46:40Z","timestamp":1785779200282,"version":"3.56.0"},"reference-count":59,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2026,4,16]],"date-time":"2026-04-16T00:00:00Z","timestamp":1776297600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc\/4.0\/"},{"start":{"date-parts":[[2026,4,16]],"date-time":"2026-04-16T00:00:00Z","timestamp":1776297600000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2026,8]]},"abstract":"<jats:title>ABSTRACT<\/jats:title>\n                  <jats:p>We present four novel tests of equal predictive accuracy and encompassing \u00e1 Pitarakis (2023, 2025) for factor\u2010augmented regressions. Factors are estimated using cross\u2010section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors, tractability of different degrees of predictor persistence, and invariance to the location of structural breaks in the loadings. Simulations reveal good local power properties of our tests. We apply them to the novel EA\u2010MD\u2010QD dataset by Barigozzi et al. (2024b)\u2014which covers the Euro Area as a whole and its primary member countries\u2014and show that factors offer predictive power.<\/jats:p>","DOI":"10.1002\/jae.70056","type":"journal-article","created":{"date-parts":[[2026,4,16]],"date-time":"2026-04-16T11:11:51Z","timestamp":1776337911000},"page":"549-566","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Robust Tests of Forecast Accuracy for Factor\u2010Augmented Regressions With an Application to the Novel EA\u2010MD\u2010QD Dataset"],"prefix":"10.1002","volume":"41","author":[{"given":"Alessandro","family":"Morico","sequence":"first","affiliation":[{"name":"University of Bologna  Bologna Italy"},{"name":"University of Freiburg  Freiburg Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Ovidijus","family":"Stauskas","sequence":"additional","affiliation":[{"name":"BI Norwegian Business School  Oslo Norway"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2026,4,16]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA8968"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2467"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2003.10.022"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6135"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00696.x"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000413"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1574-8715(07)00204-7"},{"key":"e_1_2_10_10_1","volume-title":"Measuring the Euro Area Output Gap. 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