Comparing Alternative Predictors Based on Large‐Panel Factor Models
比较了Stock-Watson和Forni等人提出的两种因子模型的预测能力，发现两者表现相似且预测高度共线。
Abstract This article compares the predictive ability of the factor models of Stock and Watson (2002a) and Forni, Hallin, Lippi and Reichlin (2005) using a ‘large’ panel of macroeconomic variables of the United States. We propose a nesting procedure of comparison that clarifies and partially overturns the results of similar exercises in the literature. Our main conclusion is that with the dataset at hand the two methods have a similar performance and produce highly collinear forecasts.