Introduction: Sources and Types of Big Data for Macroeconomic Forecasting -- Capturing Dynamic Relationships: Dynamic Factor Models -- Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs -- Large Bayesian Vector Autoregressions -- Volatility Forecasting in a Data Rich...

When estimating the parameters of a process, researchers can choose the reference unit of time (unit period) for their study. Frequently, they set the unit period equal to the observation interval. However, I show that decoupling the unit period from the observation interval facilitates the...

This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency...

We exploit advances in panel data econometrics to test whether real interest parity holds in the Pacific Basin region. We test for a unit root in the difference between either the US, Japanese or Euro area real interest rate and the real interest rates from a panel of eleven Pacific Basin...