methods Our results suggest that model averaging does not dominate other well designed prediction model specification methods … using recursive estimation windows, which dominate other windowing" approaches in our experiments, prediction models …-spread variables in nonlinear prediction specification. …

of prediction using "big data". In this paper, our over-arching question is whether such "big data" are useful for … approaches, and benchmark econometric models; and all used in the prediction of 11 key macroeconomic variables relevant for … forms of shrinkage. For example, SPCA yields MSFE-best prediction models in many cases, particularly when coupled with …