A number of recent studies in the economics literature have focused on the usefulness of factor models in the context of prediction using "big data". In this paper, our over-arching question is whether such "big data" are useful for modelling low frequency macroeconomic variables such as...

In this paper, we empirically assess the predictive accuracy of a large group of models based on the use of principle components and other shrinkage methods, including Bayesian model averaging and various bagging, boosting, LASSO and related methods Our results suggest that model averaging does...

In this paper, we empirically assess the predictive accuracy of a large group of models that are specified using principle components and other shrinkage techniques, including Bayesian model averaging and various bagging, boosting, least angle regression and related methods. Our results suggest...