Survey-based measures offer benefits over factor models: ECB paper
A European Central Bank (ECB) paper published on Monday says survey-based measures have considerable forecasting advantages over factor models during very volatile periods.
Marco Lombardi and Philipp Maier, the paper's authors, evaluate forecasts for the eurozone in data-rich and data-lean environments by comparing three different approaches: a simple PMI model based on Purchasing Managers' Indices (PMIs), a dynamic factor model with eurozone data, and a dynamic factor model with data from the
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