RBA paper on forecasting with factors

The Reserve Bank of Australia Research Discussion Paper "Forecasting with factors: The accuracy of timeliness" demonstrates that factor-based forecasts for key Australian macroeconomic series can outperform standard time-series benchmarks.

In practice, however, the advantages of using large panels of data to construct the factors typically comes at the cost of using less timely series, thereby delaying when the forecasts can be made. To produce more timely forecasts it is possible to use a

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