We would like to thank Dante Amengual, Marco Capasso, Marc Hallin, Roman Liska and Uta Pigorsch for providing their codes, Christian Schumacher for sending the German database, Clément Marsilli for excellent research assistance, as well as the participants of the 29th International Symposium on Forecasting, San Diego, US, June 2010, and the 6th Colloquium on Modern Tools for Business Cycle Analysis, Luxembourg, September 2010. In addition, we would like to thank two anonymous referees for helpful remarks. The views expressed herein are those of the authors and do not necessarily reflect those of the Banque de France and the International Monetary Fund.
Testing the Number of Factors: An Empirical Assessment for a Forecasting Purpose*
Article first published online: 21 DEC 2012
© Blackwell Publishing Ltd and the Department of Economics, University of Oxford 2012
Oxford Bulletin of Economics and Statistics
Special Issue: Large Data Sets
Volume 75, Issue 1, pages 64–79, February 2013
How to Cite
Barhoumi, K., Darné, O. and Ferrara, L. (2013), Testing the Number of Factors: An Empirical Assessment for a Forecasting Purpose. Oxford Bulletin of Economics and Statistics, 75: 64–79. doi: 10.1111/obes.12010
- Issue published online: 21 DEC 2012
- Article first published online: 21 DEC 2012
- Final Manuscript Received: October 2012
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