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Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?
De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - 2006
This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large …
Persistent link: https://www.econbiz.de/10010295821
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Macroeconomic Nowcasting and Forecasting with Big Data
Bok, Brandyn - 2017
Data, data, data . . . Economists know it well, especially when it comes to monitoring macroeconomic conditions—the basis for making informed economic and policy decisions. Handling large and complex data sets was a challenge that macroeconomists engaged in real-time analysis faced long before...
Persistent link: https://www.econbiz.de/10012942980
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Exploiting the Monthly Data Flow in Structural Forecasting
Giannone, Domenico - 2017
predictive accuracy in now-casting and forecasting. Our empirical results show that both the monthly version of the DSGE and the …
Persistent link: https://www.econbiz.de/10014131135