This paper develops an inferential theory for factor models of large dimensions. The
principal components estimator is considered because it is easy to compute and is …

We consider the situation when there is a large number of series, N, each with T
observations, and each series has some predictive ability for some variable of interest. A …

Econometric analysis of large dimensional factor models has been a heavily researched
topic in recent years. This review surveys the main theoretical results that relate to static …

This paper uses a large data set, consisting of 447 monthly macroeconomic time series
concerning the main countries of the Euro area to simulate out-of-sample predictions of the …

Monitoring and forecasting price developments in the euro area is essential in light of the
two-pillar framework of the ECB's monetary policy strategy. This study analyses whether the …

Factor models can cope with many variables without running into scarce degrees of freedom
problems often faced in a regression-based analysis. In this article we review recent work on …

In order to provide short‐run forecasts of headline and core HICP inflation for France, we
assess the forecasting performance of a large set of economic indicators, individually and …

In this paper, the conceptual and empirical bases for the role of monetary aggregates in
monetary policy making are reviewed. It is argued that money can act as a useful information …

Monetary policymakers and long-term investors would benefit greatly from a measure of
underlying inflation that uses all relevant information, is available in real time, and forecasts …

Linear relationships between inflation, unemployment, and labor force are obtained for two
European countries-Austria and France. The best fit models of inflation as a linear and …